USO Options History — February 2016

In February 2016, USO traded between $7.95 and $9.32. ATM implied volatility averaged 64.8%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 6.1% (HV 20d: 70.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2016-02-11: Highest Volume — 502,081 contracts
  • 2016-02-16: Largest IV drop — 10.9% change
  • 2016-02-04: Highest IV Rank — 100.0%
  • 2016-02-12: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.64$7.95$9.32$9.02$9.01
Max Pain$9.30$9.00$10.00$10.00$9.00
ATM IV64.8%56.4%76.8%62.8%56.4%
Expected Move18.9%16.9%21.8%19.3%17.1%
HV 20d70.9%60.7%76.2%66.5%61.7%
HV 60d53.1%48.1%55.7%48.1%55.7%
IV Rank84.3%58.7%100.0%95.9%58.7%
IV Percentile96.3%87.3%100.0%98.8%87.3%
Term Structure-1.1%-3.1%3.9%0.0%-3.1%
VWIV66.2%59.3%77.9%67.3%60.8%
Skew 25d6.0%3.9%8.0%5.3%7.6%
Skew 10d9.4%3.4%15.8%3.9%14.9%
Call IV 25d62.7%51.0%74.4%61.6%51.0%
Put IV 25d68.7%58.7%82.2%66.9%58.7%
Bid-Ask Spread %7.105.3010.478.198.78
Gamma HHI0.100.080.130.090.10
Net GEX-1.2M-6.9M2.7M-750.2K2.7M
Net DEX264.1M49.3M537.0M268.8M49.3M
Net VEX-4.0M-4.4M-3.6M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.481.441.400.65
Total Volume271,570.5161,926502,081230,334215,540
Total OI3,939,802.23,593,0254,394,6243,660,3433,717,262

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$9.02$10.0062.8%19.3%66.5%95.9%67.3%5.3%0.0%-750.2K268.8M-4.0M1.408.1995,793134,5412,132,6931,527,650
2016-02-02$8.59$10.0064.0%19.8%67.8%99.2%69.2%5.1%3.9%-3.3M383.0M-3.8M0.737.09119,58987,5742,175,8211,558,068
2016-02-03$9.32$10.0062.8%19.3%75.2%95.9%67.8%7.8%-1.5%2.1M145.5M-4.4M0.888.13162,069141,9772,223,9451,573,248
2016-02-04$9.11$9.5064.9%18.3%73.5%100.0%61.5%4.7%1.1%103.7K221.5M-4.3M0.487.62220,287106,0272,253,1261,605,443
2016-02-05$8.90$9.5064.0%18.0%73.6%97.6%63.6%3.9%-0.4%-1.4M311.1M-4.2M0.797.42104,69782,7832,327,2301,639,914
2016-02-08$8.63$9.5066.3%18.6%74.1%100.0%65.0%4.4%-0.9%-3.0M366.5M-3.9M1.008.0199,77399,9762,275,6051,587,546
2016-02-09$8.17$9.5070.8%19.8%74.2%100.0%68.5%5.3%-2.6%-5.8M497.2M-3.6M0.9210.47150,028138,2562,281,0521,617,050
2016-02-10$7.95$9.5070.0%19.9%74.6%98.1%68.0%5.2%-1.3%-6.9M537.0M-3.6M0.546.17192,395103,9552,353,4931,637,832
2016-02-11$8.02$9.5075.5%21.4%74.8%100.0%75.3%8.0%-1.2%-5.2M475.9M-3.8M0.606.10313,152188,9292,451,2891,643,098
2016-02-12$8.34$9.0076.8%21.8%76.2%100.0%77.9%7.8%-0.5%-2.0M322.3M-4.3M0.675.30244,428162,9002,600,2891,699,104
2016-02-16$8.32$9.0068.4%19.6%74.6%83.1%69.3%5.1%-0.7%-3.5M382.6M-4.0M0.875.61177,785154,3192,559,6721,679,833
2016-02-17$8.77$9.0066.6%19.1%76.1%79.4%67.3%5.8%-1.0%-310.4K196.5M-4.3M0.565.76196,365109,3592,585,3911,705,292
2016-02-18$8.65$9.0064.8%18.7%75.5%75.9%64.2%5.8%-2.7%-69.4K226.5M-4.2M0.537.75157,08383,5532,661,6841,685,524
2016-02-19$8.55$9.0059.5%17.1%74.6%65.1%59.9%5.9%-0.8%-614.9K264.4M-4.0M1.445.79128,352185,0132,687,6121,707,012
2016-02-22$8.89$9.0059.2%17.7%70.2%64.4%63.0%5.6%-1.6%2.5M67.2M-4.2M0.875.62130,274112,8592,132,4461,460,579
2016-02-23$8.50$9.0062.8%18.7%66.4%71.8%65.4%5.6%-1.9%-870.3K190.0M-3.9M1.037.6179,92482,0022,181,1421,502,499
2016-02-24$8.59$9.0063.0%19.0%64.1%72.2%66.2%5.8%-3.0%-227.4K161.2M-4.1M1.208.22100,885121,2322,206,5431,525,395
2016-02-25$8.79$9.0061.0%17.9%64.2%68.1%65.2%6.8%-2.1%1.9M102.1M-4.1M1.425.6695,635135,8462,218,2551,566,432
2016-02-26$8.78$9.0057.3%16.9%60.7%60.6%59.3%7.6%-1.6%714.4K113.0M-4.1M0.716.74126,36389,8922,235,5611,614,414
2016-02-29$9.01$9.0056.4%17.1%61.7%58.7%60.8%7.6%-3.1%2.7M49.3M-4.1M0.658.78130,33285,2082,182,9901,534,272