USO Options History — June 2017

In June 2017, USO traded between $8.76 and $9.98. ATM implied volatility averaged 29.7%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.0% (HV 20d: 31.6%). Max pain ranged from $9.50 to $10.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2017-06-20: Highest Volume — 725,499 contracts
  • 2017-06-20: Largest IV spike — 9.1% change
  • 2017-06-07: Highest IV Rank — 29.7%
  • 2017-06-07: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.33$8.76$9.98$9.95$9.49
Max Pain$9.91$9.50$10.50$10.50$9.50
ATM IV29.7%27.3%31.5%29.6%27.3%
Expected Move8.5%7.6%9.2%8.4%7.6%
HV 20d31.6%28.0%34.9%33.4%31.1%
HV 60d27.6%25.2%28.8%27.6%28.8%
IV Rank23.6%15.9%29.7%23.4%15.9%
IV Percentile33.4%15.9%43.7%29.8%15.9%
Term Structure0.2%-1.6%1.9%-1.2%0.3%
VWIV30.0%27.6%33.0%29.7%28.1%
Skew 25d2.3%1.1%3.7%3.4%1.4%
Skew 10d3.7%1.4%5.5%5.4%4.0%
Call IV 25d29.2%27.0%31.4%28.4%27.4%
Put IV 25d31.5%28.6%34.0%31.8%28.7%
Bid-Ask Spread %2.241.794.172.822.55
Gamma HHI0.230.140.380.180.14
Net GEX-23.1M-44.9M-9.6M-21.3M-9.6M
Net DEX583.1M201.9M888.3M379.8M201.9M
Net VEX-4.6M-5.0M-4.2M-4.9M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.392.610.741.00
Total Volume243,952.545120,703725,499120,703210,668
Total OI3,849,540.2733,403,4184,198,5873,783,9773,862,592

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$9.95$10.5029.6%8.4%33.4%23.4%29.7%3.4%-1.2%-21.3M379.8M-4.9M0.742.8269,32051,3831,818,1281,965,849
2017-06-02$9.87$10.5029.1%8.6%28.8%21.8%31.4%3.7%-1.6%-22.4M445.6M-5.0M0.762.65100,93877,1301,831,2221,961,261
2017-06-05$9.79$10.0029.8%8.7%28.5%24.2%30.5%3.1%0.4%-25.6M478.2M-4.9M1.252.1079,99899,8771,825,6201,980,796
2017-06-06$9.98$10.0029.1%8.5%29.3%21.9%30.8%3.0%0.7%-19.8M344.0M-5.0M1.592.6076,215120,9011,843,5682,007,425
2017-06-07$9.47$10.0031.5%9.2%34.9%29.7%33.0%2.5%0.2%-33.2M701.0M-4.7M1.672.25157,939263,5341,856,3892,019,407
2017-06-08$9.44$10.0031.3%9.0%33.0%29.1%33.0%2.5%-0.3%-36.8M700.7M-4.9M1.602.0291,453146,3771,928,9942,084,323
2017-06-09$9.47$10.0029.7%8.7%32.9%23.8%32.2%1.7%0.5%-44.9M669.8M-4.8M1.401.80114,547160,2781,959,0802,080,930
2017-06-12$9.52$10.0030.1%8.8%33.0%25.1%30.6%2.5%0.3%-31.5M606.6M-4.7M0.491.8883,95441,2561,946,4422,020,222
2017-06-13$9.60$10.0030.0%8.6%32.3%24.9%29.6%2.4%-0.5%-30.7M552.5M-4.8M0.391.9290,66035,4341,968,3422,014,476
2017-06-14$9.24$10.0030.8%8.9%34.6%27.3%29.9%2.5%0.2%-30.2M790.7M-4.4M1.572.19152,863240,5101,986,0032,016,351
2017-06-15$9.17$10.0029.8%8.6%34.3%24.0%29.8%1.9%0.4%-23.4M888.3M-4.4M1.061.7987,14492,6072,029,5792,119,951
2017-06-16$9.24$10.0028.2%8.0%34.4%18.9%27.6%2.6%-0.2%-19.2M861.7M-4.4M1.581.81109,350172,3242,056,5292,142,058
2017-06-19$9.13$10.0027.6%7.9%32.9%16.9%27.9%1.1%0.2%-21.9M589.7M-4.3M0.911.95110,591100,1971,638,3121,765,106
2017-06-20$8.95$10.0030.1%8.6%32.9%25.0%30.2%2.7%-0.6%-22.7M687.5M-4.2M2.612.13200,944524,5551,687,6471,815,236
2017-06-21$8.76$10.0030.6%8.8%32.5%26.7%32.0%2.7%0.3%-18.9M730.9M-4.2M1.081.95158,886171,1941,802,1871,851,793
2017-06-22$8.79$10.0029.5%8.4%32.8%23.1%29.7%2.5%0.7%-18.1M690.8M-4.3M0.534.17101,31253,8101,868,4331,885,059
2017-06-23$8.86$9.5029.5%8.3%29.1%23.1%29.0%2.9%1.9%-18.4M659.1M-4.4M0.682.1584,18056,8861,895,2961,902,663
2017-06-26$8.94$9.5029.8%8.2%28.0%24.1%28.9%1.2%0.8%-17.0M578.0M-4.5M1.292.1488,796114,2911,860,1301,887,061
2017-06-27$9.10$9.5030.3%8.4%29.3%25.6%29.6%2.1%0.4%-13.9M466.0M-4.7M0.562.14120,10166,6651,889,1231,892,775
2017-06-28$9.20$9.5029.7%8.0%28.7%23.9%27.9%1.5%0.2%-14.3M417.0M-4.8M0.872.1296,98684,2761,913,3361,930,155
2017-06-29$9.21$9.5029.1%8.2%28.8%21.8%28.1%1.6%0.4%-13.9M388.8M-4.8M1.842.15107,930198,6961,940,0201,940,017
2017-06-30$9.49$9.5027.3%7.6%31.1%15.9%28.1%1.4%0.3%-9.6M201.9M-4.9M1.002.55105,515105,1531,958,1291,904,463