USO Options History — September 2017

In September 2017, USO traded between $9.65 and $10.55. ATM implied volatility averaged 25.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.9% (HV 20d: 24.9%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-09-20: Highest Volume — 224,798 contracts
  • 2017-09-11: Largest IV drop — 4.4% change
  • 2017-09-06: Highest IV Rank — 18.0%
  • 2017-09-06: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.14$9.65$10.55$9.65$10.42
Max Pain$9.97$9.50$10.00$9.50$10.00
ATM IV25.7%24.4%27.9%26.7%24.4%
Expected Move7.3%6.7%8.1%7.4%6.7%
HV 20d24.9%21.1%28.1%24.9%21.1%
HV 60d25.7%23.9%26.7%26.0%23.9%
IV Rank10.9%6.6%18.0%14.1%6.6%
IV Percentile13.1%5.6%32.9%17.5%5.6%
Term Structure0.4%-0.4%1.5%0.7%0.4%
VWIV25.9%24.1%28.7%25.7%24.1%
Skew 25d1.7%0.8%2.6%1.0%2.6%
Skew 10d2.8%-0.7%5.7%2.5%4.3%
Call IV 25d25.2%23.4%27.5%26.5%23.4%
Put IV 25d26.9%25.8%28.8%27.4%25.9%
Bid-Ask Spread %3.051.7014.577.283.19
Gamma HHI0.180.150.250.190.15
Net GEX2.3M-6.5M13.1M-6.5M3.0M
Net DEX-40.5M-220.4M181.8M181.8M-77.4M
Net VEX-3.9M-4.0M-3.8M-3.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.462.371.000.46
Total Volume142,817.870,584224,798121,168120,322
Total OI3,322,119.153,140,1893,555,9123,230,7953,534,111

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$9.65$9.5026.7%7.4%24.9%14.1%25.7%1.0%0.7%-6.5M181.8M-3.9M1.007.2860,71460,4541,717,5521,513,243
2017-09-05$9.91$10.0027.3%7.9%26.9%16.2%28.2%2.0%0.5%2.0M21.0M-3.9M0.551.70115,51562,9571,701,8281,508,877
2017-09-06$10.03$10.0027.9%8.1%27.3%18.0%28.7%0.8%0.4%8.2M-81.9M-4.0M0.791.9359,33946,6951,754,8201,488,573
2017-09-07$10.02$10.0027.3%7.8%27.0%16.1%28.0%1.3%0.0%8.0M-57.6M-3.9M1.721.9666,718114,5241,758,6861,509,722
2017-09-08$9.73$10.0027.4%7.9%27.9%16.4%27.2%1.1%-0.1%-6.0M165.2M-3.8M0.652.8482,79354,0471,765,9331,593,198
2017-09-11$9.82$10.0026.2%7.6%28.1%12.4%27.1%1.6%0.4%-3.3M130.8M-3.8M0.461.7367,56431,2831,764,4111,593,874
2017-09-12$9.86$10.0026.4%7.8%26.7%13.0%27.6%1.4%0.7%615.2K84.0M-3.8M0.552.0847,70126,0271,793,7911,606,513
2017-09-13$10.07$10.0025.4%7.2%27.7%9.9%25.5%1.9%-0.4%13.1M-87.3M-3.8M1.192.2385,688101,8441,811,2001,621,066
2017-09-14$10.13$10.0025.7%7.4%26.8%10.7%25.1%0.8%0.1%10.9M-113.3M-4.0M0.672.23123,38882,9091,810,4741,684,744
2017-09-15$10.20$10.0025.5%7.2%26.8%10.3%26.4%1.5%-0.4%636.7K-151.5M-3.9M1.171.9464,59075,2691,836,0841,719,828
2017-09-18$10.16$10.0025.1%7.2%24.3%8.8%25.2%2.0%1.2%-175.2K-20.0M-3.9M0.861.9047,70541,1061,643,6521,496,537
2017-09-19$10.11$10.0024.6%7.0%22.7%7.2%24.7%2.0%0.7%-2.0M22.4M-3.8M0.941.9036,29134,2931,653,2071,510,851
2017-09-20$10.25$10.0024.8%7.1%23.0%7.8%24.6%2.3%0.7%-24.2K-49.8M-3.8M2.3714.5766,691158,1071,672,1241,525,904
2017-09-21$10.25$10.0025.0%7.1%22.9%8.4%24.8%2.0%-0.1%-925.0K-51.0M-3.9M2.322.3843,579100,9161,685,8571,560,922
2017-09-22$10.23$10.0024.9%7.0%22.1%8.2%24.5%1.6%1.5%-2.0M-37.7M-3.9M1.081.9133,98136,7911,701,1771,578,891
2017-09-25$10.55$10.0024.7%7.0%24.3%7.7%25.5%2.0%-0.0%6.5M-220.4M-3.8M1.592.2076,685121,8671,684,7921,555,008
2017-09-26$10.49$10.0025.4%7.1%22.5%9.7%25.9%2.4%0.4%3.5M-171.1M-3.8M0.582.27102,32459,4211,692,8001,601,076
2017-09-27$10.53$10.0025.4%7.0%22.0%9.7%24.6%1.7%0.0%6.2M-195.1M-3.8M0.711.85103,55173,1671,723,8801,622,771
2017-09-28$10.42$10.0024.8%7.1%22.1%7.8%25.1%2.6%0.9%3.7M-101.0M-3.9M0.582.91107,31562,2251,776,2901,668,116
2017-09-29$10.42$10.0024.4%6.7%21.1%6.6%24.1%2.6%0.4%3.0M-77.4M-3.9M0.463.1982,33237,9901,838,3301,695,781