USO Options History — November 2017

In November 2017, USO traded between $10.90 and $11.79. ATM implied volatility averaged 24.3%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.2% (HV 20d: 19.1%). Max pain ranged from $10.50 to $11.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2017-11-08: Highest Volume — 396,220 contracts
  • 2017-11-27: Largest IV spike — 9.0% change
  • 2017-11-07: Highest IV Rank — 13.3%
  • 2017-11-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.36$10.90$11.79$10.90$11.47
Max Pain$10.86$10.50$11.00$10.50$11.00
ATM IV24.3%21.8%26.4%23.3%21.8%
Expected Move7.0%6.2%7.9%6.3%6.2%
HV 20d19.1%16.3%21.4%20.3%21.4%
HV 60d21.8%20.7%23.3%22.8%20.7%
IV Rank6.6%0.0%13.3%3.2%0.0%
IV Percentile13.9%0.0%29.8%5.2%0.0%
Term Structure-0.2%-1.3%0.4%0.4%-0.3%
VWIV25.2%22.2%28.5%22.2%22.8%
Skew 25d1.4%-0.9%3.6%2.1%2.1%
Skew 10d1.2%-4.5%5.5%3.6%2.2%
Call IV 25d24.3%20.7%27.8%23.1%20.7%
Put IV 25d25.7%22.9%28.8%25.2%22.9%
Bid-Ask Spread %9.022.1242.3142.317.81
Gamma HHI0.220.170.300.300.20
Net GEX10.6M-3.9M21.3M14.7M-3.9M
Net DEX-376.7M-617.6M-201.3M-244.4M-264.4M
Net VEX-3.4M-3.7M-3.2M-3.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.683.590.881.51
Total Volume191,216.47675,987396,220118,293278,672
Total OI3,354,473.4763,153,6043,586,1003,202,5793,414,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$10.90$10.5023.3%6.3%20.3%3.2%22.2%2.1%0.4%14.7M-244.4M-3.3M0.8842.3162,97555,3181,736,1051,466,474
2017-11-02$10.99$10.5023.5%6.7%19.8%4.1%24.2%2.7%0.3%16.1M-305.0M-3.2M0.682.4645,19430,7931,748,4641,489,500
2017-11-03$11.18$10.5023.5%6.5%16.3%4.0%22.7%1.4%0.2%15.7M-419.5M-3.2M0.746.57201,560148,9741,752,9551,502,664
2017-11-06$11.52$10.5025.2%7.2%18.4%9.5%25.6%1.3%-0.0%21.3M-617.6M-3.4M0.732.98208,688151,8201,802,9311,487,429
2017-11-07$11.48$10.5026.4%7.4%17.2%13.3%27.1%2.9%-0.7%17.7M-550.9M-3.6M1.975.08104,424205,1901,814,1401,526,945
2017-11-08$11.41$10.5024.6%7.0%17.7%7.6%24.9%1.8%-0.7%16.4M-498.0M-3.3M1.997.74132,399263,8211,819,9461,578,880
2017-11-09$11.47$11.0026.1%7.5%16.4%12.2%26.4%1.3%0.0%16.8M-504.5M-3.6M1.062.75103,276109,2921,855,3411,605,341
2017-11-10$11.42$11.0026.0%7.4%16.6%12.1%26.3%-0.3%-0.2%13.0M-450.3M-3.6M1.162.1968,69179,7811,868,2271,649,666
2017-11-13$11.39$11.0025.9%7.5%16.7%11.8%26.6%-0.9%-0.5%12.2M-421.7M-3.6M1.372.1251,91171,3241,870,4221,631,427
2017-11-14$11.14$11.0025.3%7.3%19.1%9.7%25.7%-0.9%0.0%11.4M-249.3M-3.6M1.594.5260,41896,0601,894,8131,660,885
2017-11-15$11.09$11.0025.2%7.2%19.3%9.4%25.6%-0.1%0.4%11.0M-206.9M-3.7M1.828.6842,16876,6161,904,6321,679,095
2017-11-16$11.08$11.0023.9%6.8%18.5%5.3%23.8%0.3%0.4%16.3M-201.3M-3.5M1.664.5140,05166,2921,909,9901,676,110
2017-11-17$11.35$11.0022.8%6.5%19.8%1.6%23.3%1.1%-0.0%7.8M-354.8M-3.4M1.484.4181,361120,3761,889,5181,684,019
2017-11-20$11.28$11.0023.3%6.7%20.0%3.2%24.4%1.7%0.0%4.7M-246.4M-3.5M2.443.0939,90397,4521,702,2251,451,379
2017-11-21$11.40$11.0023.0%6.8%20.0%2.2%23.9%1.0%-0.1%6.3M-320.9M-3.4M1.918.8237,97672,6671,714,8831,476,595
2017-11-22$11.60$11.0023.7%7.1%20.3%4.6%25.1%1.3%-0.6%8.7M-461.1M-3.4M1.2121.5068,40982,5721,719,8451,498,475
2017-11-24$11.79$11.0023.0%6.9%20.7%2.2%25.4%2.3%-1.3%9.9M-553.9M-3.3M1.885.1741,29377,7631,699,1831,526,021
2017-11-27$11.59$11.0025.0%7.8%20.9%8.9%27.3%2.1%-0.6%5.6M-398.7M-3.3M3.596.5730,182108,3821,684,1661,499,087
2017-11-28$11.60$11.0024.9%7.9%20.9%8.5%28.5%2.7%-0.9%2.9M-368.6M-3.3M1.808.9755,56499,9191,691,2841,549,432
2017-11-29$11.48$11.0023.9%7.4%21.4%5.4%26.5%3.6%-0.4%-1.4M-273.0M-3.3M2.0931.2179,637166,3821,728,9311,582,300
2017-11-30$11.47$11.0021.8%6.2%21.4%0.0%22.8%2.1%-0.3%-3.9M-264.4M-3.2M1.517.81110,966167,7061,746,1971,668,021