USO Options History — January 2017

In January 2017, USO traded between $11.08 and $11.70. ATM implied volatility averaged 29.1%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.8% (HV 20d: 24.3%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-01-20: Highest Volume — 203,500 contracts
  • 2017-01-30: Largest IV spike — 7.1% change
  • 2017-01-10: Highest IV Rank — 10.2%
  • 2017-01-10: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.39$11.08$11.70$11.43$11.32
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV29.1%26.5%31.7%30.8%28.7%
Expected Move8.3%7.6%9.1%8.8%8.0%
HV 20d24.3%21.8%26.7%22.6%25.1%
HV 60d34.2%32.9%34.8%33.9%32.9%
IV Rank5.0%0.0%10.2%8.4%4.3%
IV Percentile4.0%0.0%8.3%5.6%6.0%
Term Structure0.1%-0.7%1.0%0.2%-0.0%
VWIV29.6%27.1%33.5%31.0%28.0%
Skew 25d3.7%2.1%4.7%4.1%3.6%
Skew 10d6.5%2.9%10.0%2.9%5.9%
Call IV 25d27.9%25.6%30.1%29.7%27.2%
Put IV 25d31.5%28.8%33.8%33.8%30.8%
Bid-Ask Spread %27.248.8573.1414.7611.09
Gamma HHI0.180.140.250.180.17
Net GEX3.2M-4.1M12.9M4.3M-145.4K
Net DEX-166.8M-369.2M-44.8M-196.7M-89.7M
Net VEX-4.3M-4.5M-4.1M-4.4M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.361.180.590.80
Total Volume115,535.360,121203,500149,34476,816
Total OI3,094,017.652,056,2893,780,8343,429,3312,274,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$11.43$11.0030.8%8.8%22.6%8.4%31.0%4.1%0.2%4.3M-196.7M-4.4M0.5914.7693,63255,7121,885,9041,543,427
2017-01-04$11.58$11.0030.8%8.6%22.8%8.3%30.8%4.0%-0.7%8.6M-295.0M-4.3M0.5612.4051,22928,4781,905,7711,548,637
2017-01-05$11.69$11.0030.3%8.8%22.8%7.3%30.8%4.1%0.8%11.2M-350.5M-4.4M0.6021.4453,90132,4341,912,2911,562,876
2017-01-06$11.70$11.0029.3%8.5%21.8%5.3%30.2%4.1%-0.0%12.9M-369.2M-4.2M0.6565.3355,72236,2911,926,8581,565,083
2017-01-09$11.31$11.0029.8%8.8%24.6%6.5%30.1%4.7%0.5%4.5M-162.5M-4.2M1.1453.7665,11874,0161,922,6001,557,253
2017-01-10$11.08$11.0031.7%9.1%25.3%10.2%33.5%2.9%0.2%-327.2K-44.8M-4.1M1.1820.9452,19861,4561,942,1231,573,912
2017-01-11$11.36$11.0030.2%8.8%26.3%7.3%30.8%4.5%0.3%4.8M-198.1M-4.3M0.9838.3666,42765,0821,950,0501,588,420
2017-01-12$11.54$11.0029.8%8.6%26.7%6.5%29.7%4.5%0.2%11.3M-295.7M-4.2M0.3656.18124,95045,3261,977,4361,613,585
2017-01-13$11.43$11.0028.9%8.3%23.8%4.7%30.8%3.8%0.1%9.7M-232.9M-4.3M0.8817.3252,23546,0282,057,4431,638,477
2017-01-17$11.41$11.0029.1%8.3%23.8%4.9%30.1%3.6%-0.6%7.5M-234.2M-4.2M1.019.9666,10166,5142,051,2081,632,532
2017-01-18$11.17$11.0030.2%8.7%24.1%7.2%30.1%3.1%-0.3%-936.1K-85.8M-4.2M0.6418.9187,02855,8592,067,7501,662,600
2017-01-19$11.18$11.0029.6%8.4%24.1%6.0%30.0%3.3%1.0%-4.1M-102.9M-4.3M0.6929.4538,16526,2402,090,6981,677,361
2017-01-20$11.39$11.0027.7%7.9%24.9%2.2%29.2%3.8%0.6%-814.0K-181.9M-4.2M1.0622.8398,741104,7592,093,3641,687,470
2017-01-23$11.32$11.0028.1%7.9%24.5%3.0%28.8%3.5%-0.5%-3.2M-50.1M-4.2M0.6311.6349,97831,6991,013,0181,043,271
2017-01-24$11.38$11.0027.0%7.6%24.5%0.7%27.1%4.2%0.7%-1.4M-76.8M-4.3M0.838.8556,43846,8911,036,9711,060,273
2017-01-25$11.34$11.0027.7%7.8%24.4%2.1%27.3%3.3%0.2%-1.6M-55.7M-4.3M0.5034.2989,22244,2661,064,6811,080,048
2017-01-26$11.54$11.0027.4%7.9%24.6%1.6%27.7%2.1%0.3%4.4M-146.8M-4.4M0.6612.9577,89451,3711,089,8991,093,204
2017-01-27$11.39$11.0026.5%7.7%25.0%0.0%27.1%3.1%0.0%-265.8K-97.0M-4.4M0.6173.1475,87946,4891,125,4421,111,987
2017-01-30$11.29$11.0028.4%8.0%25.1%3.7%28.2%3.3%0.0%-1.4M-70.0M-4.4M0.7611.2434,13025,9911,142,7141,109,204
2017-01-31$11.32$11.0028.7%8.0%25.1%4.3%28.0%3.6%-0.0%-145.4K-89.7M-4.5M0.8011.0942,59034,2261,155,6881,118,824