USO Options History — May 2017 In May 2017, USO traded between $9.49 and $10.64. ATM implied volatility averaged 31.3%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 4.0% (HV 20d: 27.2%). Max pain ranged from $10.50 to $10.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.04.
Notable Days 2017-05-26 : Highest Volume — 465,929 contracts2017-05-26 : Largest IV drop — 10.4% change2017-05-09 : Highest IV Rank — 37.3%2017-05-12 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $10.08 $9.49 $10.64 $10.15 $9.97 Max Pain $10.50 $10.50 $10.50 $10.50 $10.50 ATM IV 31.3% 27.3% 33.9% 29.6% 30.0% Expected Move 8.9% 7.3% 9.5% 7.3% 8.6% HV 20d 27.2% 21.6% 33.4% 21.6% 33.4% HV 60d 24.6% 21.9% 27.6% 21.9% 27.6% IV Rank 28.9% 16.1% 37.3% 23.5% 24.7% IV Percentile 37.8% 16.7% 48.8% 29.4% 34.9% Term Structure -0.3% -1.9% 1.4% -0.0% -1.2% VWIV 31.1% 25.5% 33.8% 25.5% 31.6% Skew 25d 2.5% 1.6% 4.0% 2.1% 4.0% Skew 10d 3.9% 2.0% 6.2% 2.1% 5.7% Call IV 25d 30.2% 27.0% 33.0% 27.9% 28.5% Put IV 25d 32.7% 30.1% 35.7% 30.1% 32.4% Bid-Ask Spread % 5.27 2.01 38.54 4.70 2.52 Gamma HHI 0.19 0.14 0.26 0.19 0.18 Net GEX -7.8M -19.1M 10.5M -9.2M -18.7M Net DEX 238.9M -145.9M 630.2M 255.2M 368.1M Net VEX -4.8M -5.1M -4.3M -4.5M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.44 3.89 0.68 1.65 Total Volume 191,508.682 76,703 465,929 76,703 264,534 Total OI 3,290,573.318 2,796,818 3,739,935 2,796,818 3,739,935
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2017-05-01 $10.15 $10.50 29.6% 7.3% 21.6% 23.5% 25.5% 2.1% -0.0% -9.2M 255.2M -4.5M 0.68 4.70 45,746 30,957 1,441,710 1,355,108 2017-05-02 $9.93 $10.50 30.5% 8.0% 22.6% 26.5% 29.1% 2.7% -1.1% -13.8M 382.5M -4.3M 0.68 6.05 80,582 54,544 1,456,525 1,375,974 2017-05-03 $9.94 $10.50 30.8% 8.1% 21.6% 27.5% 28.4% 2.4% -0.2% -13.6M 364.3M -4.5M 2.09 38.54 88,870 185,676 1,493,635 1,410,873 2017-05-04 $9.49 $10.50 33.1% 9.4% 26.3% 34.7% 32.7% 3.3% 0.2% -19.1M 630.2M -4.3M 1.53 7.54 181,401 277,140 1,541,647 1,569,863 2017-05-05 $9.64 $10.50 33.1% 9.4% 26.4% 35.0% 32.9% 2.6% -0.5% -15.5M 526.5M -4.6M 0.62 4.92 130,555 81,549 1,638,958 1,569,569 2017-05-08 $9.67 $10.50 32.7% 9.4% 25.9% 33.4% 32.3% 2.2% 0.0% -15.9M 496.1M -4.6M 0.52 2.35 84,083 44,107 1,631,679 1,567,188 2017-05-09 $9.59 $10.50 33.9% 9.4% 24.6% 37.3% 32.9% 1.7% -0.9% -16.0M 521.5M -4.6M 0.74 6.01 91,166 67,514 1,671,440 1,575,993 2017-05-10 $9.88 $10.50 32.7% 9.2% 27.7% 33.5% 32.0% 2.1% -0.1% -11.6M 354.7M -4.9M 0.45 5.31 141,867 63,703 1,708,842 1,596,502 2017-05-11 $9.95 $10.50 32.9% 9.4% 28.1% 34.1% 32.7% 1.6% -0.6% -8.5M 287.8M -5.0M 0.44 2.51 81,570 35,826 1,766,268 1,604,730 2017-05-12 $9.97 $10.50 33.0% 9.5% 28.1% 34.4% 33.8% 2.4% 0.4% -6.8M 291.9M -5.0M 0.61 2.03 47,686 29,092 1,782,154 1,620,408 2017-05-15 $10.16 $10.50 32.1% 9.1% 29.3% 31.5% 31.9% 2.2% 0.1% -6.9M 171.6M -4.9M 0.98 2.37 103,307 101,061 1,756,857 1,608,230 2017-05-16 $10.11 $10.50 31.9% 9.1% 29.3% 31.0% 31.5% 1.6% -0.1% -10.4M 218.9M -4.9M 1.02 2.01 49,208 50,416 1,764,459 1,648,564 2017-05-17 $10.19 $10.50 33.1% 9.5% 25.7% 34.8% 33.1% 1.9% -0.3% -7.1M 145.5M -5.1M 1.65 3.37 67,290 110,944 1,789,190 1,684,004 2017-05-18 $10.25 $10.50 32.2% 9.2% 25.8% 31.8% 32.2% 2.9% -0.5% -6.3M 129.8M -5.1M 0.81 2.31 59,671 48,142 1,790,733 1,682,382 2017-05-19 $10.48 $10.50 29.7% 8.4% 26.2% 23.8% 29.0% 2.4% 1.4% 10.5M -50.3M -5.0M 0.51 2.52 124,916 63,744 1,797,056 1,665,486 2017-05-22 $10.54 $10.50 29.7% 8.7% 26.1% 23.7% 30.0% 2.4% -0.5% 4.5M -97.5M -4.9M 0.63 2.56 82,025 51,395 1,632,001 1,490,145 2017-05-23 $10.64 $10.50 29.9% 8.9% 26.0% 24.5% 31.3% 2.5% -0.2% 6.8M -145.9M -4.9M 0.81 3.71 70,645 56,947 1,659,335 1,514,449 2017-05-24 $10.60 $10.50 29.9% 8.7% 25.8% 24.4% 31.1% 3.3% -0.8% 5.5M -116.1M -4.9M 0.77 2.31 81,495 62,803 1,670,588 1,551,438 2017-05-25 $10.06 $10.50 30.5% 9.2% 32.1% 26.4% 32.7% 2.4% -1.9% -9.2M 248.1M -4.8M 1.18 4.00 169,085 199,512 1,769,221 1,588,307 2017-05-26 $10.26 $10.50 27.3% 7.9% 32.9% 16.1% 28.4% 2.9% 0.5% -4.2M 128.0M -5.0M 3.89 5.51 95,233 370,696 1,802,503 1,709,759 2017-05-30 $10.25 $10.50 29.2% 8.6% 32.8% 22.2% 29.0% 3.6% -0.4% -6.9M 144.9M -5.1M 0.68 2.75 51,525 34,963 1,780,453 1,918,452 2017-05-31 $9.97 $10.50 30.0% 8.6% 33.4% 24.7% 31.6% 4.0% -1.2% -18.7M 368.1M -5.0M 1.65 2.52 99,934 164,600 1,797,751 1,942,184
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