USO Options History — May 2015

In May 2015, USO traded between $19.46 and $20.84. ATM implied volatility averaged 32.3%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.0% (HV 20d: 28.3%). Max pain ranged from $18.50 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-05-05: Highest Volume — 263,847 contracts
  • 2015-05-19: Largest IV spike — 15.0% change
  • 2015-05-07: Highest IV Rank — 47.3%
  • 2015-05-07: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.27$19.46$20.84$20.39$20.33
Max Pain$19.57$18.50$20.00$18.50$20.00
ATM IV32.3%28.7%36.1%32.9%31.8%
Expected Move9.3%8.2%10.3%9.2%9.2%
HV 20d28.3%23.6%36.6%36.6%32.0%
HV 60d40.5%39.3%42.7%42.7%40.1%
IV Rank39.6%32.2%47.3%40.8%38.5%
IV Percentile54.8%46.4%63.9%57.9%51.2%
Term Structure0.1%-0.6%1.6%1.6%-0.6%
VWIV33.0%28.8%36.5%33.3%33.1%
Skew 25d3.6%2.6%4.5%2.8%2.6%
Skew 10d6.7%5.0%10.2%6.6%5.4%
Call IV 25d31.2%27.7%34.1%32.3%31.3%
Put IV 25d34.8%31.3%38.5%35.1%34.0%
Bid-Ask Spread %9.275.3421.767.268.66
Gamma HHI0.120.070.420.100.08
Net GEX8.3M-30.0M60.1M22.5M243.1K
Net DEX-312.8M-734.9M224.1M-612.7M-231.2M
Net VEX-7.5M-7.9M-7.2M-7.8M-7.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.682.170.680.91
Total Volume177,515.7594,094263,847195,280242,571
Total OI3,036,018.452,493,4283,400,2453,372,8842,784,157

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$20.39$18.5032.9%9.2%36.6%40.8%33.3%2.8%1.6%22.5M-612.7M-7.8M0.687.26116,26879,0121,420,8281,952,056
2015-05-04$20.28$19.0033.4%9.6%33.7%41.8%35.8%3.4%-0.1%22.8M-511.8M-7.6M1.595.3436,32357,7711,354,2881,871,707
2015-05-05$20.77$19.0033.7%9.6%32.6%42.3%34.2%2.9%-0.5%26.2M-733.5M-7.8M0.985.67133,573130,2741,374,5261,898,807
2015-05-06$20.84$19.0034.0%9.8%24.5%42.9%34.9%3.7%-0.0%24.5M-734.9M-7.9M0.7211.96137,62799,3601,380,8961,939,849
2015-05-07$20.20$19.5036.1%10.3%27.9%47.3%36.5%4.4%-0.5%11.2M-395.2M-7.8M0.8610.76119,596103,1041,393,5611,964,950
2015-05-08$20.42$19.5033.0%9.6%27.5%40.9%34.3%3.6%0.1%17.7M-511.6M-7.6M1.089.0567,32072,4751,392,5751,975,163
2015-05-11$20.38$19.5033.0%9.6%27.6%40.9%35.2%3.9%0.5%18.0M-451.2M-7.5M1.638.1342,45169,2361,355,6051,899,803
2015-05-12$20.80$19.5032.9%9.1%27.8%40.7%34.0%3.6%-0.6%24.8M-661.2M-7.6M1.298.6279,144102,0741,369,5521,938,630
2015-05-13$20.62$19.5032.5%9.4%23.8%39.8%33.2%3.7%0.5%22.1M-562.3M-7.7M0.8310.47128,174106,2591,378,4271,989,865
2015-05-14$20.53$19.5031.1%8.9%23.6%37.1%31.4%3.9%0.2%18.1M-499.3M-7.4M1.126.6573,25581,9951,381,0772,013,201
2015-05-15$20.51$19.5028.7%8.2%23.6%32.2%28.8%3.5%-0.5%60.1M-424.5M-7.4M0.845.35102,48686,5041,366,5192,033,726
2015-05-18$20.44$19.5029.0%8.3%23.6%32.8%29.6%3.5%0.4%4.7M-233.6M-7.2M2.177.2148,122104,3891,143,9321,349,496
2015-05-19$19.63$20.0033.3%9.5%26.9%41.6%33.7%3.9%0.0%-14.6M137.9M-7.4M1.867.4579,397147,3091,154,8311,419,330
2015-05-20$19.84$20.0032.2%9.2%27.1%39.4%32.9%3.7%0.2%-16.1M50.2M-7.5M1.0721.7658,32262,3051,191,8111,471,592
2015-05-21$20.50$20.0030.3%8.6%28.5%35.3%30.6%3.3%1.1%3.5M-279.0M-7.6M0.918.86101,94392,9821,198,9181,479,201
2015-05-22$20.23$20.0030.3%8.7%28.9%35.4%30.3%2.9%-0.2%-3.7M-147.9M-7.6M1.466.9451,31874,7021,221,9141,514,269
2015-05-26$19.67$20.0033.2%9.6%30.6%41.3%33.0%3.7%0.3%-20.4M126.2M-7.3M1.688.7178,657131,8951,180,3821,470,075
2015-05-27$19.46$20.0033.4%9.8%30.8%41.8%33.9%4.5%-0.4%-26.6M224.1M-7.4M1.666.6542,80471,1481,204,4551,528,236
2015-05-28$19.54$20.0032.4%9.3%29.4%39.6%32.1%4.2%0.1%-30.0M195.9M-7.4M1.0719.8866,77671,3941,216,4921,545,667
2015-05-29$20.33$20.0031.8%9.2%32.0%38.5%33.1%2.6%-0.6%243.1K-231.2M-7.5M0.918.66126,887115,6841,227,4271,556,730