USO Options History — January 2016

In January 2016, USO traded between $8.26 and $10.97. ATM implied volatility averaged 57.9%, placing in the 85.6% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 11.0% (HV 20d: 46.9%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-01-22: Highest Volume — 649,443 contracts
  • 2016-01-11: Largest IV spike — 12.7% change
  • 2016-01-20: Highest IV Rank — 100.0%
  • 2016-01-28: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.35$8.26$10.97$10.97$9.65
Max Pain$10.71$10.00$11.50$11.50$10.00
ATM IV57.9%46.3%64.3%47.1%59.2%
Expected Move16.6%13.3%18.8%13.3%17.3%
HV 20d46.9%38.5%63.6%39.7%63.1%
HV 60d40.5%36.5%47.4%37.1%47.4%
IV Rank85.6%54.8%100.0%57.1%86.2%
IV Percentile93.9%67.5%100.0%71.4%95.2%
Term Structure-0.4%-2.4%2.4%-0.4%0.1%
VWIV57.9%46.5%66.0%46.5%60.8%
Skew 25d4.5%0.5%7.5%2.2%5.0%
Skew 10d6.4%-0.2%12.0%4.2%8.3%
Call IV 25d56.6%44.8%64.0%46.7%57.2%
Put IV 25d61.1%48.5%69.2%48.9%62.3%
Bid-Ask Spread %10.446.6616.9610.626.80
Gamma HHI0.120.080.160.130.08
Net GEX-508.5K-5.0M8.5M-3.5M3.6M
Net DEX567.8M-21.8M961.9M675.5M30.5M
Net VEX-3.4M-4.7M-2.6M-3.7M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.541.830.540.78
Total Volume348,096.053184,291649,443264,688196,366
Total OI3,897,1792,834,3514,642,8703,828,7283,885,037

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$10.97$11.5047.1%13.3%39.7%57.1%46.5%2.2%-0.4%-3.5M675.5M-3.7M0.5410.62172,37992,3092,403,7181,425,010
2016-01-05$10.65$11.5046.3%13.3%39.9%54.8%47.4%3.7%1.8%-1.8M767.6M-3.4M0.937.12102,18695,0302,502,3041,444,908
2016-01-06$10.11$11.5050.9%14.2%38.5%68.0%49.0%3.7%0.4%-5.0M908.8M-3.1M0.8215.68208,333170,3552,568,0901,506,489
2016-01-07$9.90$11.5053.8%15.0%38.8%76.6%52.2%3.9%-0.4%-4.6M961.9M-3.0M0.898.20214,333191,7332,654,3011,552,138
2016-01-08$9.79$11.5053.3%15.0%38.8%74.9%50.6%6.4%-0.2%-4.3M954.2M-3.0M0.958.85117,148111,1532,789,2981,560,868
2016-01-11$9.28$11.5060.0%16.8%41.9%94.4%59.3%6.0%-1.6%-3.6M946.9M-2.7M0.8810.82250,972220,8212,623,8461,512,044
2016-01-12$9.15$11.0060.4%17.2%41.5%95.7%59.9%2.9%-0.6%-2.9M930.8M-2.9M0.868.70286,058245,3522,770,4341,576,921
2016-01-13$9.09$11.0058.4%16.2%40.8%89.9%56.9%4.7%-2.4%-1.7M922.9M-2.9M0.7712.90208,226159,7542,918,9381,614,418
2016-01-14$9.22$11.0054.9%15.3%40.2%79.5%53.6%4.7%-1.5%-1.2M846.0M-3.1M0.6110.73114,71169,5802,985,9641,604,784
2016-01-15$8.80$10.5057.8%16.5%41.3%88.0%57.9%6.2%-0.6%363.5K924.8M-2.9M1.079.22215,156229,5273,039,1431,603,727
2016-01-19$8.51$10.5061.5%17.6%41.9%98.9%60.7%7.5%-2.3%-731.6K393.2M-2.6M0.997.34237,933235,7671,883,980950,371
2016-01-20$8.26$10.5064.3%18.4%42.3%100.0%65.2%6.3%-0.1%-1.7M413.0M-3.0M0.9615.77224,748216,4042,035,9451,113,921
2016-01-21$8.56$10.0062.9%18.1%45.6%96.2%62.2%5.4%-0.6%-168.8K322.6M-3.4M0.666.66228,012149,3572,146,5541,163,012
2016-01-22$9.26$10.0058.7%16.9%55.3%84.8%59.7%3.3%0.0%4.6M92.9M-4.0M1.839.25229,845419,5982,228,0381,172,479
2016-01-25$8.57$10.0063.5%18.1%56.6%97.9%63.5%4.4%2.4%-1.2M339.0M-3.6M0.989.64132,268129,9672,175,7521,405,097
2016-01-26$8.99$10.0061.9%18.2%60.5%93.6%64.0%5.1%-0.4%2.1M214.7M-4.2M0.698.61131,48491,0892,247,5651,453,533
2016-01-27$9.18$10.0062.7%18.4%60.9%95.7%64.7%3.0%0.4%3.5M165.4M-4.2M0.7516.96130,42598,1542,272,3391,468,858
2016-01-28$9.69$10.0062.5%18.8%63.6%95.2%66.0%0.5%-1.1%8.5M-21.8M-4.7M1.3114.48124,432162,8602,296,3871,490,190
2016-01-29$9.65$10.0059.2%17.3%63.1%86.2%60.8%5.0%0.1%3.6M30.5M-4.5M0.786.80110,14886,2182,307,9451,577,092