USO Options History — May 2014

In May 2014, USO traded between $36.14 and $38.18. ATM implied volatility averaged 15.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.2% (HV 20d: 10.9%). 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 13 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2014-05-21: Highest Volume — 76,472 contracts
  • 2014-05-29: Largest IV drop — 4.8% change
  • 2014-05-05: Highest IV Rank — 15.3%
  • 2014-05-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.13$36.14$38.18$36.16$37.68
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV15.1%14.1%16.7%16.4%14.2%
Expected Move5.6%5.3%5.8%5.8%5.3%
HV 20d10.9%9.4%12.6%12.6%9.9%
HV 60d14.0%12.5%14.6%14.6%12.5%
IV Rank7.0%1.5%15.3%13.9%2.2%
IV Percentile3.9%1.6%10.7%7.9%2.4%
Term Structure0.0%-0.4%0.4%0.3%-0.1%
VWIV20.5%18.3%23.0%22.4%22.3%
Skew 25d0.9%0.2%1.9%1.9%0.8%
Skew 10d1.3%-0.2%4.0%4.0%1.1%
Call IV 25d15.1%14.1%16.6%16.0%14.1%
Put IV 25d16.0%14.7%17.9%17.9%14.9%
Bid-Ask Spread %20.2916.4425.2519.8316.44
Gamma HHI0.080.060.100.070.10
Net GEX-3.0M-20.2M11.9M-20.2M-4.5M
Net DEX-51.5M-272.8M179.1M179.1M-100.4M
Net VEX-4.3M-4.4M-4.1M-4.3M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.464.052.261.36
Total Volume29,238.9529,71576,47221,94519,143
Total OI814,489.143760,693874,359760,693874,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$36.16$37.0016.4%5.8%12.6%13.9%22.4%1.9%0.3%-20.2M179.1M-4.3M2.2619.836,73715,208271,733488,960
2014-05-02$36.29$37.0016.0%5.8%12.2%11.7%21.0%1.1%-0.1%-15.9M141.2M-4.3M0.4621.9438,12117,529272,415488,452
2014-05-05$36.14$37.0016.7%5.8%11.9%15.3%22.6%1.1%-0.0%-13.7M154.3M-4.4M2.0621.138,30917,080292,910491,265
2014-05-06$36.19$37.0016.3%5.8%11.9%13.3%19.7%1.3%0.1%-14.1M144.4M-4.4M1.2925.258,31710,730296,418502,665
2014-05-07$36.60$37.0016.0%5.7%10.9%11.4%21.8%1.7%0.2%-10.0M57.5M-4.4M0.5220.6112,7616,657294,681509,000
2014-05-08$36.49$37.0015.8%5.8%10.4%10.8%19.9%1.1%0.0%-11.2M84.6M-4.3M1.1822.798,92910,517301,168510,722
2014-05-09$36.40$37.0015.5%5.8%10.4%9.0%20.1%1.3%0.1%-12.7M117.5M-4.4M1.3418.1514,67919,694305,685517,966
2014-05-12$36.59$37.0015.4%5.7%10.7%8.5%22.3%1.1%-0.4%-15.3M65.9M-4.4M0.6519.005,8993,816306,137525,792
2014-05-13$37.04$37.0015.3%5.6%11.4%8.1%20.4%0.8%-0.4%-5.5M-62.8M-4.3M1.0519.668,6139,046307,621526,834
2014-05-14$37.18$37.0015.3%5.6%11.5%7.8%18.9%0.5%0.1%-1.4M-106.8M-4.2M0.5823.9119,58611,458310,585527,218
2014-05-15$37.04$37.0014.6%5.7%11.6%4.2%21.8%0.6%-0.1%-3.2M-68.2M-4.2M1.2220.4513,11315,938311,300519,409
2014-05-16$37.23$37.0014.1%5.6%11.6%1.5%19.8%0.6%0.0%2.0M-109.2M-4.1M1.8717.8315,91929,780313,298526,913
2014-05-19$37.38$37.0014.2%5.5%11.7%2.4%18.8%0.7%0.4%9.0M-127.9M-4.2M2.3919.397,65718,275287,894477,764
2014-05-20$37.52$37.0014.3%5.4%9.9%2.6%19.7%0.4%0.3%8.4M-141.0M-4.2M3.0422.235,28616,072290,131490,267
2014-05-21$37.98$37.0014.9%5.4%10.7%5.6%19.5%0.2%0.3%11.9M-251.8M-4.1M1.3521.8832,55143,921291,663500,246
2014-05-22$38.01$37.0014.5%5.4%10.6%3.9%20.7%0.5%0.2%10.5M-243.8M-4.3M2.1121.956,62513,958305,405519,292
2014-05-23$38.18$37.0014.4%5.4%9.4%3.1%19.2%0.2%0.3%9.2M-272.8M-4.2M0.8017.4116,29613,037305,143525,072
2014-05-27$38.14$37.0014.7%5.4%9.4%4.8%23.0%0.5%0.0%9.2M-243.1M-4.2M1.0618.145,7936,160303,304526,225
2014-05-28$37.68$37.0014.8%5.4%10.7%5.3%18.7%1.1%-0.2%2.8M-122.1M-4.2M3.6917.317,62528,163305,071529,339
2014-05-29$37.91$37.0014.1%5.4%9.8%1.5%18.3%0.6%-0.0%2.0M-175.5M-4.2M4.0520.828,92236,098306,968546,982
2014-05-30$37.68$37.0014.2%5.3%9.9%2.2%22.3%0.8%-0.1%-4.5M-100.4M-4.3M1.3616.448,11811,025312,010562,349