USO Options History — August 2015

In August 2015, USO traded between $12.55 and $15.91. ATM implied volatility averaged 41.5%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 8.7% (HV 20d: 32.8%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-08-28: Highest Volume — 620,453 contracts
  • 2015-08-28: Largest IV spike — 10.2% change
  • 2015-08-31: Highest IV Rank — 77.4%
  • 2015-08-31: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$12.55$15.91$15.10$15.91
Max Pain$16.43$15.00$18.00$18.00$15.00
ATM IV41.5%37.8%51.3%39.3%51.3%
Expected Move12.1%10.8%15.9%11.8%15.9%
HV 20d32.8%26.7%57.0%28.8%57.0%
HV 60d32.6%30.5%41.8%31.7%41.8%
IV Rank57.4%49.5%77.4%52.7%77.4%
IV Percentile66.9%57.9%86.1%65.1%86.1%
Term Structure-0.1%-1.6%1.2%-0.1%-1.2%
VWIV42.6%37.7%56.0%41.5%56.0%
Skew 25d3.8%1.8%6.6%3.8%1.8%
Skew 10d6.3%3.6%14.8%6.9%6.3%
Call IV 25d40.3%37.2%50.2%37.8%50.2%
Put IV 25d44.2%39.7%52.1%41.6%52.1%
Bid-Ask Spread %6.722.5314.364.5614.36
Gamma HHI0.120.060.170.160.06
Net GEX-7.9M-14.0M5.3M-14.0M5.3M
Net DEX751.1M-102.3M979.9M802.8M-102.3M
Net VEX-4.7M-7.2M-4.0M-4.6M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.511.641.380.74
Total Volume261,713116,201620,453282,803519,853
Total OI2,585,350.9052,143,7243,027,9102,143,7243,027,910

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$15.10$18.0039.3%11.8%28.8%52.7%41.5%3.8%-0.1%-14.0M802.8M-4.6M1.384.56118,845163,9581,087,2681,056,456
2015-08-04$15.22$18.0039.5%11.7%29.0%53.2%40.2%3.4%-1.0%-10.4M755.5M-4.8M0.514.5377,17139,0301,148,2521,083,234
2015-08-05$15.01$18.0039.2%11.8%28.4%52.4%40.5%4.4%-1.2%-9.4M792.8M-4.8M0.515.3191,82846,9861,185,2451,100,227
2015-08-06$14.86$17.0039.3%11.2%26.7%52.7%38.9%3.6%-0.6%-10.0M813.7M-4.8M1.605.0586,987139,4181,212,3871,103,024
2015-08-07$14.57$17.0040.5%11.2%26.8%55.2%39.5%4.9%-0.7%-9.8M862.1M-4.6M1.064.7680,35185,1521,241,7821,140,915
2015-08-10$14.90$17.0038.9%11.2%29.2%51.9%40.2%4.3%0.5%-8.6M766.6M-4.8M0.595.0399,44058,3751,217,5731,122,657
2015-08-11$14.48$17.0039.3%11.5%29.1%52.8%40.4%3.7%0.5%-9.2M827.4M-4.5M0.685.12109,45374,0031,261,4311,118,901
2015-08-12$14.46$17.0040.1%11.5%28.6%54.4%40.9%3.6%-0.1%-7.4M786.2M-4.6M1.358.2280,508108,6331,316,2331,131,421
2015-08-13$14.07$17.0041.0%11.9%29.3%56.3%41.2%3.2%0.4%-10.8M884.8M-4.4M1.164.71110,890128,7671,351,0441,176,109
2015-08-14$13.99$17.0038.9%11.1%29.3%51.8%38.9%3.5%0.1%-9.0M871.6M-4.4M1.065.6176,17881,1251,399,5481,189,308
2015-08-17$13.90$16.5038.0%10.9%29.2%50.0%39.0%3.4%0.3%-10.7M892.9M-4.2M0.696.3790,80963,1001,367,3591,195,291
2015-08-18$14.05$16.5037.8%10.8%28.9%49.5%37.7%2.4%0.2%-9.8M872.6M-4.3M0.685.22113,48077,1601,408,9331,220,265
2015-08-19$13.43$16.0039.2%11.2%30.1%52.5%39.5%2.8%0.6%-11.9M979.9M-4.0M0.928.54164,023150,9031,466,6241,247,163
2015-08-20$13.37$16.0040.1%11.5%30.2%54.3%40.5%2.6%-1.6%-9.9M930.8M-4.2M1.616.16107,535173,1471,549,1701,246,775
2015-08-21$13.22$16.0042.9%12.3%30.2%60.1%42.5%3.2%-0.0%-8.4M962.1M-4.4M1.175.94117,333137,1531,593,7711,322,669
2015-08-24$12.55$15.5045.9%13.7%33.4%66.4%46.4%5.4%1.2%-9.9M877.5M-4.1M0.732.53168,931124,0441,352,0651,217,331
2015-08-25$12.77$15.5044.1%12.8%33.8%62.8%45.5%6.6%-0.8%-7.4M817.2M-4.2M0.789.76176,235136,7591,430,2321,219,834
2015-08-26$12.76$15.0042.9%12.3%31.4%60.1%48.7%5.8%0.7%-7.6M830.1M-4.6M1.649.55104,581171,2391,526,6411,295,373
2015-08-27$13.91$15.0044.8%13.2%47.0%64.1%46.7%6.0%1.1%2.1M429.1M-5.7M0.749.76243,196178,9411,578,0981,365,165
2015-08-28$14.86$15.0049.4%14.2%52.6%73.7%50.1%2.1%0.2%215.5K120.8M-6.5M0.7110.00362,519257,9341,580,8171,437,868
2015-08-31$15.91$15.0051.3%15.9%57.0%77.4%56.0%1.8%-1.2%5.3M-102.3M-7.2M0.7414.36298,253221,6001,535,9901,491,920