USO Options History — October 2017

In October 2017, USO traded between $9.96 and $10.93. ATM implied volatility averaged 24.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.1% (HV 20d: 22.0%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-10-06: Highest Volume — 216,160 contracts
  • 2017-10-30: Largest IV spike — 6.0% change
  • 2017-10-02: Highest IV Rank — 13.3%
  • 2017-10-06: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.40$9.96$10.93$10.22$10.93
Max Pain$10.50$10.00$11.00$10.00$10.50
ATM IV24.1%22.3%26.5%26.5%23.9%
Expected Move6.9%6.1%7.5%7.3%6.4%
HV 20d22.0%20.6%23.4%22.7%20.8%
HV 60d23.8%22.6%24.9%23.8%22.9%
IV Rank5.8%0.0%13.3%13.3%5.4%
IV Percentile7.4%0.0%20.6%20.6%7.9%
Term Structure0.7%-1.1%3.1%0.3%0.3%
VWIV24.4%22.6%26.4%25.0%23.0%
Skew 25d2.4%0.7%3.8%2.1%2.2%
Skew 10d4.5%2.9%8.4%4.0%3.3%
Call IV 25d23.2%21.1%25.1%25.1%23.6%
Put IV 25d25.7%23.5%28.2%27.2%25.8%
Bid-Ask Spread %2.501.824.742.282.15
Gamma HHI0.190.150.270.150.27
Net GEX4.7M-7.9M13.0M-4.1M12.0M
Net DEX-12.9M-256.7M243.3M65.7M-256.7M
Net VEX-3.5M-3.8M-3.2M-3.8M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.282.041.331.45
Total Volume127,016.09169,315216,160187,502137,817
Total OI3,430,185.8642,964,2423,701,6263,495,1613,176,229

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$10.22$10.0026.5%7.3%22.7%13.3%25.0%2.1%0.3%-4.1M65.7M-3.8M1.332.2880,305107,1971,821,9451,673,216
2017-10-03$10.18$10.0026.2%7.0%21.0%12.3%24.6%2.4%-0.1%-2.9M75.9M-3.7M0.371.9480,60529,8351,840,0311,673,241
2017-10-04$10.08$10.0025.3%6.9%21.0%9.7%24.3%2.0%0.3%-7.9M136.9M-3.7M0.404.7480,12231,9361,849,3641,679,320
2017-10-05$10.25$11.0024.9%7.4%21.8%8.1%26.0%1.8%0.4%1.8M11.9M-3.7M0.622.2299,69661,7581,864,8971,688,281
2017-10-06$9.96$11.0025.5%7.5%21.6%10.3%26.3%0.7%0.3%-4.4M243.3M-3.7M0.922.62112,776103,3841,893,6231,719,046
2017-10-09$10.01$10.5025.6%7.4%21.5%10.5%26.4%2.5%0.2%-4.4M173.5M-3.6M0.304.1271,20021,2831,877,9341,669,840
2017-10-10$10.28$11.0024.3%7.0%23.3%6.4%25.4%2.8%-0.3%5.7M-4.2M-3.7M0.411.8291,11737,6041,879,3521,677,627
2017-10-11$10.36$10.5024.5%7.1%22.4%6.9%24.2%2.9%0.2%8.4M-48.3M-3.6M0.282.0085,77623,6491,886,0551,688,432
2017-10-12$10.23$10.5023.9%7.2%22.8%5.1%24.7%1.4%1.5%4.5M36.7M-3.5M0.542.2984,43845,1961,888,1151,688,553
2017-10-13$10.36$10.5024.1%7.0%23.1%5.7%26.4%2.7%-0.0%10.7M-55.5M-3.5M1.431.8761,33587,6331,903,4351,697,163
2017-10-16$10.47$10.5025.1%7.2%23.3%9.0%25.5%3.8%-1.1%11.5M-112.9M-3.5M1.802.4747,56585,7561,888,0541,723,180
2017-10-17$10.48$10.5024.8%7.1%23.2%8.0%25.5%3.2%-1.0%11.4M-95.2M-3.5M0.912.2446,27542,0941,907,0551,773,905
2017-10-18$10.48$10.5023.7%6.8%22.7%4.5%23.5%2.5%-0.4%13.0M-52.2M-3.5M0.932.1653,55350,0381,883,1661,791,977
2017-10-19$10.35$10.5023.0%6.6%23.3%2.2%24.2%3.2%0.3%8.3M47.1M-3.5M1.222.2237,33245,3571,892,4481,806,032
2017-10-20$10.44$10.5022.3%6.4%23.4%0.0%22.6%2.0%0.3%551.3K18.1M-3.4M0.692.6749,64934,1141,887,3831,814,243
2017-10-23$10.41$10.5022.5%6.5%20.6%0.8%23.3%2.2%2.4%1.5M43.5M-3.3M0.751.8239,62329,6921,598,0431,366,199
2017-10-24$10.53$10.5022.9%6.5%21.0%1.9%23.0%3.0%2.9%4.7M-19.9M-3.3M1.941.8755,198107,0871,612,5121,378,015
2017-10-25$10.49$10.5022.5%6.5%21.0%0.6%23.6%2.3%3.1%4.5M414.3K-3.3M0.424.68108,74745,3991,647,1151,402,023
2017-10-26$10.57$10.5023.0%6.5%20.8%2.2%22.6%1.9%2.8%7.7M-56.9M-3.3M0.422.1479,99833,8551,671,8961,421,034
2017-10-27$10.83$10.5022.3%6.1%22.4%0.2%23.4%2.5%2.4%10.9M-222.6M-3.4M0.572.76107,19861,0641,718,6101,435,370
2017-10-30$10.88$10.5023.7%6.4%20.9%4.5%23.6%2.8%0.1%10.7M-213.6M-3.3M2.041.8632,96967,1291,679,2071,430,923
2017-10-31$10.93$10.5023.9%6.4%20.8%5.4%23.0%2.2%0.3%12.0M-256.7M-3.2M1.452.1556,16381,6541,722,3221,453,907