USO Options History — November 2014

In November 2014, USO traded between $25.58 and $29.94. ATM implied volatility averaged 30.6%, placing in the 78.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.6% (HV 20d: 25.0%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.28.

Notable Days

  • 2014-11-28: Highest Volume — 286,824 contracts
  • 2014-11-13: Largest IV spike — 10.6% change
  • 2014-11-25: Highest IV Rank — 100.0%
  • 2014-11-25: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.77$25.58$29.94$29.74$25.58
Max Pain$29.55$29.00$30.00$30.00$29.50
ATM IV30.6%26.8%35.6%29.3%33.7%
Expected Move8.4%7.6%9.3%8.1%9.2%
HV 20d25.0%22.1%37.8%23.6%37.8%
HV 60d22.4%21.0%27.9%21.0%27.9%
IV Rank78.7%61.7%100.0%73.0%91.8%
IV Percentile97.7%92.9%100.0%98.8%99.2%
Term Structure-0.6%-2.2%0.6%0.0%-1.0%
VWIV29.9%26.8%36.4%27.0%31.5%
Skew 25d3.9%2.4%6.2%3.3%6.2%
Skew 10d6.0%3.7%9.7%6.9%9.3%
Call IV 25d29.5%25.9%33.6%28.8%31.4%
Put IV 25d33.4%30.4%37.6%32.1%37.6%
Bid-Ask Spread %23.5615.7033.7833.7820.52
Gamma HHI0.130.100.170.110.11
Net GEX-25.6M-31.5M-18.7M-21.3M-22.8M
Net DEX990.1M768.1M1.49B810.8M1.49B
Net VEX-3.7M-4.2M-2.8M-3.3M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.712.891.402.89
Total Volume131,970.05360,117286,824128,391286,824
Total OI1,259,052.211977,4511,483,330977,4511,464,618

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$29.74$30.0029.3%8.1%23.6%73.0%27.0%3.3%0.0%-21.3M810.8M-3.3M1.4033.7853,41474,977440,158537,293
2014-11-04$29.27$30.0030.9%8.2%23.5%80.0%29.2%5.4%-0.2%-23.3M920.4M-3.3M1.3526.2453,56672,143470,761574,298
2014-11-05$29.94$29.0029.5%8.1%25.6%74.1%28.4%3.1%-1.3%-18.9M768.1M-3.7M1.6924.0241,01669,430498,505591,485
2014-11-06$29.59$29.0028.7%8.1%24.2%70.3%28.5%5.6%-0.1%-26.9M882.6M-3.7M0.7318.2435,49225,753512,594637,030
2014-11-07$29.78$29.0026.8%7.6%24.4%61.7%27.3%4.9%-1.3%-21.7M833.1M-3.7M1.1524.9243,45749,952521,679643,918
2014-11-10$29.32$29.0027.8%7.7%24.8%66.2%26.8%2.4%0.6%-26.1M924.0M-3.6M1.1429.9148,48055,347519,571643,150
2014-11-11$29.40$29.0027.7%7.8%24.9%65.7%27.5%4.9%-1.2%-26.6M914.6M-3.6M1.4828.8326,55239,221516,610641,083
2014-11-12$29.19$30.0028.0%7.8%22.1%67.0%27.1%2.8%0.6%-31.2M999.2M-3.8M0.7127.0435,07625,041555,137692,695
2014-11-13$28.29$30.0030.9%8.4%23.6%80.3%29.5%3.5%-0.5%-31.5M1.20B-3.4M1.5927.1175,787120,176569,257697,500
2014-11-14$28.83$30.0030.0%8.4%24.8%75.9%29.4%4.7%0.1%-25.3M1.06B-3.7M0.9625.8242,71041,095603,165707,053
2014-11-17$28.66$29.0032.0%8.4%24.8%84.9%29.7%3.8%-1.1%-26.3M1.05B-3.6M0.9423.1437,18634,928602,953694,107
2014-11-18$28.22$29.0031.2%8.6%24.9%81.7%28.8%3.8%-0.4%-28.5M1.16B-3.4M0.8917.6150,95545,593613,833711,977
2014-11-19$28.25$29.0030.2%8.7%23.8%77.0%31.0%4.1%-0.8%-30.8M1.16B-3.7M1.2322.3255,52668,372637,516734,916
2014-11-20$28.71$30.0030.9%8.2%23.6%80.2%31.5%3.1%-0.9%-29.1M1.03B-3.8M1.5021.6360,72291,099656,298740,780
2014-11-21$29.10$30.0032.5%8.9%24.3%87.1%33.4%2.7%-0.4%-18.7M847.5M-4.2M1.5027.5071,663107,274689,238794,092
2014-11-24$28.74$30.0032.9%9.2%24.5%89.2%32.1%2.6%-0.9%-19.3M777.1M-4.1M0.9917.1298,45597,966550,955702,193
2014-11-25$28.05$30.0035.6%9.3%25.3%100.0%36.4%3.9%-2.2%-27.3M957.0M-4.2M1.2016.2983,723100,326590,208758,646
2014-11-26$27.90$30.0033.2%8.8%24.4%89.4%32.7%3.4%-0.4%-30.8M1.02B-4.1M0.9915.7094,65993,475619,679787,041
2014-11-28$25.58$29.5033.7%9.2%37.8%91.8%31.5%6.2%-1.0%-22.8M1.49B-2.8M2.8920.5273,648213,176672,452792,166