USO Options History — April 2015 In April 2015, USO traded between $17.56 and $20.50. ATM implied volatility averaged 39.2%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 9.2% (HV 20d: 48.5%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.22.
Notable Days 2015-04-01 : Highest Volume — 436,249 contracts2015-04-10 : Largest IV drop — 7.8% change2015-04-01 : Highest IV Rank — 72.2%2015-04-01 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.14 $17.56 $20.50 $17.57 $20.50 Max Pain $18.26 $18.00 $19.00 $19.00 $18.50 ATM IV 39.2% 33.6% 48.3% 48.3% 34.0% Expected Move 11.2% 9.6% 13.9% 13.9% 9.7% HV 20d 48.5% 36.4% 55.8% 49.6% 36.4% HV 60d 49.9% 45.2% 53.2% 51.4% 45.2% IV Rank 53.7% 42.2% 72.2% 72.2% 43.0% IV Percentile 66.4% 59.5% 76.2% 76.2% 60.7% Term Structure 0.1% -1.5% 1.7% 1.2% 0.8% VWIV 41.2% 34.5% 50.5% 50.5% 34.9% Skew 25d 5.3% 3.0% 7.0% 6.2% 3.0% Skew 10d 10.5% 5.1% 14.8% 13.8% 6.2% Call IV 25d 37.4% 32.1% 46.3% 46.3% 32.9% Put IV 25d 42.7% 35.9% 52.5% 52.5% 35.9% Bid-Ask Spread % 9.61 6.06 14.96 8.77 8.97 Gamma HHI 0.08 0.06 0.12 0.10 0.12 Net GEX 213.8K -22.9M 25.9M -16.6M 25.9M Net DEX -94.1M -668.0M 564.6M 519.8M -668.0M Net VEX -8.3M -8.6M -7.9M -8.5M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.65 2.79 2.79 0.65 Total Volume 234,775.571 121,955 436,249 436,249 159,787 Total OI 3,585,031.286 3,122,619 4,036,429 3,580,775 3,341,457
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2015-04-01 $17.57 $19.00 48.3% 13.9% 49.6% 72.2% 50.5% 6.2% 1.2% -16.6M 519.8M -8.5M 2.79 8.77 115,126 321,123 1,476,102 2,104,673 2015-04-02 $17.56 $18.00 47.8% 13.5% 49.3% 71.1% 49.4% 6.6% 1.6% -22.9M 564.6M -8.6M 1.35 11.15 125,236 169,683 1,499,425 2,255,142 2015-04-06 $18.41 $18.00 45.2% 12.8% 51.6% 65.8% 46.9% 6.7% -0.3% -10.9M 225.2M -8.6M 1.35 7.95 122,987 166,514 1,462,453 2,179,220 2015-04-07 $19.06 $18.00 43.2% 12.3% 53.0% 61.7% 46.0% 6.5% -0.0% -1.7M -85.8M -8.5M 1.47 9.89 139,388 204,599 1,497,762 2,238,645 2015-04-08 $18.07 $18.00 44.3% 12.9% 55.8% 64.1% 46.4% 6.9% 0.6% -18.3M 413.3M -8.6M 0.93 14.96 135,456 126,337 1,533,697 2,284,993 2015-04-09 $18.06 $18.00 43.0% 12.3% 55.7% 61.3% 45.1% 7.0% -0.1% -19.3M 392.9M -8.5M 1.12 8.83 85,356 95,833 1,589,143 2,307,402 2015-04-10 $18.43 $18.00 39.6% 11.2% 55.7% 54.5% 42.8% 5.1% -1.1% -11.0M 197.7M -8.4M 1.31 7.28 96,581 126,233 1,604,738 2,308,818 2015-04-13 $18.50 $18.00 39.8% 11.4% 53.6% 54.8% 41.6% 6.3% -0.9% -8.4M 189.7M -8.2M 1.58 7.24 67,167 106,417 1,545,478 2,261,336 2015-04-14 $18.82 $18.00 38.8% 11.1% 52.4% 52.8% 41.2% 5.8% -0.4% -1.1M -1.7M -8.2M 0.96 6.06 129,762 125,102 1,567,404 2,310,920 2015-04-15 $19.69 $18.00 41.3% 11.8% 52.7% 57.8% 43.0% 4.9% -1.5% 13.9M -464.8M -8.5M 1.01 10.89 197,097 198,997 1,613,918 2,334,139 2015-04-16 $19.92 $18.00 39.2% 11.3% 50.7% 53.6% 42.1% 4.9% -0.4% 14.3M -566.6M -8.5M 0.95 8.85 156,653 148,975 1,625,118 2,384,508 2015-04-17 $19.86 $18.00 37.7% 10.7% 47.4% 50.5% 40.4% 4.5% 1.5% 7.6M -476.8M -8.6M 0.80 7.74 129,454 103,691 1,629,520 2,406,909 2015-04-20 $19.88 $18.50 37.8% 10.9% 47.3% 50.8% 41.4% 5.2% -0.8% 9.3M -382.7M -8.5M 1.95 11.03 70,397 136,994 1,331,845 1,790,774 2015-04-21 $19.48 $18.50 37.4% 10.8% 48.3% 50.0% 39.0% 5.5% -0.6% 105.0K -182.2M -8.5M 1.48 10.57 71,963 106,433 1,343,350 1,855,149 2015-04-22 $19.37 $18.50 35.5% 10.1% 48.4% 46.1% 36.5% 5.6% -0.3% -1.7M -155.5M -8.3M 0.92 12.28 63,613 58,342 1,358,957 1,876,056 2015-04-23 $19.78 $18.50 35.0% 9.8% 47.7% 45.0% 35.4% 4.7% -1.0% 9.7M -334.3M -8.2M 1.34 8.41 87,209 116,617 1,351,554 1,895,236 2015-04-24 $19.66 $18.50 34.0% 9.6% 45.5% 43.0% 34.5% 3.6% 0.0% 4.6M -275.9M -7.9M 1.01 7.41 68,492 68,887 1,370,984 1,946,347 2015-04-27 $19.52 $18.50 34.1% 10.1% 39.2% 43.1% 36.3% 4.7% 1.7% 3.5M -182.4M -8.0M 1.34 9.03 65,766 87,821 1,330,895 1,886,439 2015-04-28 $19.61 $18.50 34.4% 10.0% 39.2% 43.8% 35.9% 4.7% 0.9% 6.6M -223.4M -7.9M 0.67 10.64 93,635 62,728 1,352,933 1,915,187 2015-04-29 $20.11 $18.50 33.6% 10.0% 38.2% 42.2% 35.1% 3.3% 1.4% 21.2M -479.9M -7.9M 0.74 13.83 125,448 92,388 1,383,724 1,933,307 2015-04-30 $20.50 $18.50 34.0% 9.7% 36.4% 43.0% 34.9% 3.0% 0.8% 25.9M -668.0M -7.9M 0.65 8.97 97,061 62,726 1,401,740 1,939,717
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