USO Options History — April 2014

In April 2014, USO traded between $35.80 and $37.66. ATM implied volatility averaged 17.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.1% (HV 20d: 13.9%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2014-04-17: Highest Volume — 54,378 contracts
  • 2014-04-03: Largest IV drop — 7.1% change
  • 2014-04-02: Highest IV Rank — 22.1%
  • 2014-04-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.85$35.80$37.66$35.83$36.32
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV17.0%16.6%18.0%17.9%17.2%
Expected Move6.0%5.7%6.4%6.2%5.8%
HV 20d13.9%12.3%16.8%16.8%12.5%
HV 60d14.8%14.3%15.5%15.3%14.6%
IV Rank16.9%14.6%22.1%21.6%17.8%
IV Percentile13.8%7.9%22.6%21.8%19.4%
Term Structure0.0%-0.3%0.5%0.1%0.0%
VWIV22.0%19.6%25.4%20.4%19.8%
Skew 25d1.6%0.9%2.5%2.5%1.8%
Skew 10d2.7%1.0%4.6%1.0%3.2%
Call IV 25d16.7%16.3%17.6%17.4%17.0%
Put IV 25d18.4%17.7%19.9%19.9%18.8%
Bid-Ask Spread %27.3315.3037.3221.9327.80
Gamma HHI0.100.060.260.070.06
Net GEX2.0M-20.8M28.6M-9.3M-17.4M
Net DEX-65.8M-314.1M147.2M131.9M147.2M
Net VEX-4.5M-4.7M-4.2M-4.7M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.763.901.741.70
Total Volume33,251.23812,57054,37844,51927,577
Total OI847,065.19708,572939,000867,078752,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$35.83$37.0017.9%6.2%16.8%21.6%20.4%2.5%0.1%-9.3M131.9M-4.7M1.7421.9316,22628,293341,678525,400
2014-04-02$35.80$37.0018.0%6.4%14.9%22.1%21.2%2.1%0.3%-10.7M133.0M-4.6M2.1828.3416,30835,596347,387531,166
2014-04-03$36.14$37.0016.7%6.1%14.9%15.5%24.4%1.7%0.2%-2.2M38.8M-4.6M2.2417.999,14420,478355,874535,252
2014-04-04$36.43$37.0016.7%6.1%15.0%15.0%21.7%1.6%0.3%7.4M-46.5M-4.6M0.7615.3022,45717,077360,104541,617
2014-04-07$36.28$37.0016.7%6.1%14.4%15.4%20.0%1.9%-0.2%-1.2M16.8M-4.6M1.0028.3310,27110,270358,808538,969
2014-04-08$36.90$37.0017.4%6.2%14.6%18.9%24.1%1.6%-0.0%15.0M-162.1M-4.5M1.8228.6419,01934,521362,012542,616
2014-04-09$37.22$37.0017.1%5.9%13.8%17.5%20.5%1.5%-0.0%22.3M-260.2M-4.5M0.8533.1217,69114,974359,315555,106
2014-04-10$37.20$37.0017.2%6.0%13.8%17.9%21.4%1.7%-0.1%20.1M-227.5M-4.5M0.8128.148,0806,547359,826562,928
2014-04-11$37.18$37.0016.9%5.9%13.8%16.1%24.5%1.8%-0.1%17.9M-233.9M-4.5M1.2027.6722,32426,791359,078564,980
2014-04-14$37.38$37.0016.7%6.1%12.9%15.5%22.0%1.4%0.2%22.5M-271.3M-4.5M0.9337.3213,14612,161361,002573,112
2014-04-15$37.39$37.0017.0%6.0%12.5%16.8%22.3%1.2%-0.0%23.6M-281.1M-4.4M1.1631.6814,41816,713363,107574,740
2014-04-16$37.48$37.0016.7%5.9%12.5%15.0%20.8%0.9%0.5%23.4M-277.5M-4.3M1.7627.5716,32328,685357,880569,127
2014-04-17$37.66$37.0016.9%5.8%12.3%16.1%23.5%1.0%0.5%28.6M-314.1M-4.2M2.8129.1314,28540,093357,166581,834
2014-04-21$37.64$37.0016.6%6.1%12.3%14.6%22.9%1.2%-0.3%-6.3M-102.3M-4.3M3.9026.586,19324,179247,152461,420
2014-04-22$37.00$37.0017.0%5.8%14.1%16.8%25.4%2.0%-0.3%-14.5M30.1M-4.4M1.8533.4413,60925,192249,345478,600
2014-04-23$36.91$37.0016.9%5.8%14.1%16.3%19.8%1.9%-0.1%-15.6M45.5M-4.4M1.5929.709,19614,599257,306483,258
2014-04-24$37.05$37.0016.8%5.7%13.9%15.6%23.0%1.7%-0.1%-14.8M14.2M-4.5M1.0528.658,5208,938263,133491,496
2014-04-25$36.60$37.0016.7%5.8%14.1%15.5%0.0%1.7%-0.1%-20.8M118.5M-4.5M2.3125.6111,62226,860267,578496,126
2014-04-28$36.71$37.0017.3%5.8%14.1%18.3%0.0%1.6%-0.1%-13.9M68.0M-4.5M3.7022.023,68513,645266,545483,611
2014-04-29$36.72$37.0017.2%5.8%14.1%17.7%19.6%1.6%0.0%-12.7M49.8M-4.4M1.5725.024,8927,678267,247482,684
2014-04-30$36.32$37.0017.2%5.8%12.5%17.8%19.8%1.8%0.0%-17.4M147.2M-4.4M1.7027.8010,21717,360267,971484,813