USO Options History — April 2017

In April 2017, USO traded between $10.23 and $11.17. ATM implied volatility averaged 26.6%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.4% (HV 20d: 21.2%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-04-19: Highest Volume — 251,790 contracts
  • 2017-04-19: Largest IV spike — 10.5% change
  • 2017-04-27: Highest IV Rank — 31.0%
  • 2017-04-19: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.70$10.23$11.17$10.55$10.23
Max Pain$10.74$10.50$11.00$10.50$10.50
ATM IV26.6%23.9%31.9%25.1%29.7%
Expected Move7.3%6.9%7.9%6.9%7.2%
HV 20d21.2%16.7%27.7%26.8%21.8%
HV 60d21.6%20.3%22.8%22.5%21.9%
IV Rank13.7%5.0%31.0%8.8%23.9%
IV Percentile14.2%3.6%38.9%5.2%30.2%
Term Structure0.7%-2.6%4.4%-0.5%-1.0%
VWIV25.6%24.0%28.3%24.0%24.9%
Skew 25d2.4%0.8%3.2%2.7%2.1%
Skew 10d4.2%1.8%8.9%6.1%1.8%
Call IV 25d25.9%23.3%30.0%24.3%28.5%
Put IV 25d28.2%25.2%32.7%27.0%30.5%
Bid-Ask Spread %20.662.9269.8169.814.78
Gamma HHI0.150.120.170.160.17
Net GEX-1.5M-9.0M9.9M-4.3M-6.9M
Net DEX26.9M-262.9M331.1M80.6M224.5M
Net VEX-4.6M-4.8M-4.3M-4.6M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.241.780.941.33
Total Volume130,387.78947,376251,79074,459126,658
Total OI2,929,693.0532,557,9223,200,1902,776,6112,822,509

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$10.55$10.5025.1%6.9%26.8%8.8%24.0%2.7%-0.5%-4.3M80.6M-4.6M0.9469.8138,33436,1251,416,2101,360,401
2017-04-04$10.72$10.5026.5%7.5%27.7%13.4%25.6%1.9%-0.2%-1.4M6.3M-4.6M1.7319.0453,38292,5331,427,3941,369,395
2017-04-05$10.68$10.5025.2%7.2%20.4%9.2%24.5%1.6%0.1%-2.6M15.9M-4.7M0.6724.5060,71340,4191,435,4251,396,470
2017-04-06$10.84$10.5023.9%7.1%20.6%5.2%24.7%2.7%0.4%1.2M-59.4M-4.7M0.644.2541,27026,5441,447,0701,480,044
2017-04-07$10.96$10.5024.9%7.3%17.7%8.3%25.8%1.6%0.3%8.3M-132.5M-4.7M0.686.6653,80136,6201,454,2091,485,234
2017-04-10$11.13$10.5024.6%7.3%18.2%7.2%24.6%2.1%0.6%8.2M-210.3M-4.6M0.249.93148,66635,6751,445,3021,478,013
2017-04-11$11.17$10.5025.9%7.4%17.3%11.4%25.9%2.9%-1.1%9.9M-262.9M-4.7M1.1750.9074,57887,5311,509,8671,501,391
2017-04-12$11.10$11.0023.9%7.1%16.9%5.0%25.4%2.5%0.5%3.4M-193.9M-4.8M1.0822.2152,21156,2171,522,7791,542,885
2017-04-13$11.14$11.0024.0%6.9%16.9%5.3%24.6%1.9%-0.2%3.5M-204.7M-4.8M1.0721.6743,69746,9071,530,3441,564,724
2017-04-17$11.13$11.0024.8%7.1%16.9%7.8%24.5%2.4%3.4%1.4M-172.9M-4.7M0.592.9229,85317,5231,509,5451,569,776
2017-04-18$11.05$11.0024.8%7.1%16.7%7.9%25.0%2.1%3.5%-1.5M-139.9M-4.6M0.9943.3044,85444,5341,514,3451,578,705
2017-04-19$10.58$11.0027.4%7.9%22.9%16.4%27.8%3.0%3.5%-5.4M167.3M-4.5M1.5417.5899,223152,5671,517,1431,593,147
2017-04-20$10.53$11.0026.0%7.3%23.0%12.0%25.7%2.9%4.4%-8.3M204.9M-4.4M0.7421.4875,21355,7241,545,2121,638,414
2017-04-21$10.33$11.0028.1%7.8%23.9%18.8%28.3%3.2%2.8%-7.0M331.1M-4.4M1.7822.6565,984117,3921,576,1181,624,072
2017-04-24$10.26$11.0029.1%7.2%24.0%21.8%26.3%2.6%-0.4%-9.0M235.8M-4.3M0.665.21142,24093,2471,290,7551,267,167
2017-04-25$10.37$11.0029.7%7.2%24.2%23.8%25.8%0.8%-0.3%-5.9M176.7M-4.6M0.7820.8290,98971,0161,375,6611,314,566
2017-04-26$10.27$10.5029.4%7.4%24.2%22.9%26.2%2.9%-0.9%-6.4M207.8M-4.6M0.4719.7875,96735,6881,426,4241,344,836
2017-04-27$10.25$10.5031.9%7.8%22.8%31.0%27.0%3.0%-2.6%-6.2M236.2M-4.6M0.875.0460,55352,9201,438,7331,349,883
2017-04-28$10.23$10.5029.7%7.2%21.8%23.9%24.9%2.1%-1.0%-6.9M224.5M-4.5M1.334.7854,44072,2181,462,7901,359,719