USO Options History — December 2017

In December 2017, USO traded between $11.20 and $12.02. ATM implied volatility averaged 18.7%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.4% (HV 20d: 21.1%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-12-06: Highest Volume — 215,715 contracts
  • 2017-12-26: Largest IV spike — 13.3% change
  • 2017-12-29: Highest IV Rank — 13.1%
  • 2017-12-06: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.58$11.20$12.02$11.67$12.02
Max Pain$11.00$11.00$11.00$11.00$11.00
ATM IV18.7%16.3%21.0%20.4%18.6%
Expected Move5.3%4.6%6.0%5.6%5.1%
HV 20d21.1%18.8%23.4%21.9%19.3%
HV 60d20.7%20.0%21.3%20.9%20.0%
IV Rank3.1%0.0%13.1%0.0%13.1%
IV Percentile0.9%0.0%3.6%0.0%3.6%
Term Structure0.6%-0.2%1.5%0.6%0.6%
VWIV19.1%16.1%21.9%19.5%18.4%
Skew 25d1.7%1.0%2.5%1.4%1.6%
Skew 10d3.3%1.2%6.8%2.0%2.0%
Call IV 25d18.5%15.5%20.9%20.1%18.6%
Put IV 25d20.3%17.9%22.0%21.4%20.2%
Bid-Ask Spread %5.031.8312.007.265.79
Gamma HHI0.260.190.350.280.33
Net GEX9.2M-941.9K18.3M7.5M18.3M
Net DEX-345.8M-604.4M-85.4M-452.6M-604.4M
Net VEX-2.8M-3.2M-2.5M-3.2M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.661.641.181.19
Total Volume133,671.95102,688215,715201,874161,465
Total OI3,137,326.52,811,2983,449,1273,449,1273,031,350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$11.67$11.0020.4%5.6%21.9%0.0%19.5%1.4%0.6%7.5M-452.6M-3.2M1.187.2692,749109,1251,786,2371,662,890
2017-12-04$11.49$11.0020.6%6.0%22.2%0.9%21.4%1.4%0.1%6.7M-315.7M-3.1M0.912.8154,45349,6611,769,1291,536,658
2017-12-05$11.52$11.0020.1%5.8%19.5%0.0%20.4%1.6%-0.1%6.9M-354.7M-3.1M0.832.3157,06147,4981,769,4201,544,254
2017-12-06$11.20$11.0021.0%6.0%21.9%5.6%21.9%1.1%1.0%-941.9K-85.4M-3.0M1.303.8993,592122,1231,771,9761,550,443
2017-12-07$11.33$11.0019.8%5.8%22.3%0.0%20.8%2.1%0.5%2.5M-187.6M-3.1M1.094.6549,11153,5771,795,3361,537,199
2017-12-08$11.48$11.0019.5%5.8%22.7%0.0%20.8%1.5%0.8%1.7M-292.5M-3.0M1.274.7060,55476,7911,793,4411,527,087
2017-12-11$11.60$11.0019.8%5.8%22.9%1.9%20.2%1.6%0.8%11.5M-417.8M-2.8M0.923.0571,52266,1451,772,6741,480,497
2017-12-12$11.45$11.0020.1%5.9%23.4%4.2%20.3%1.0%0.8%9.1M-275.3M-2.9M1.104.9759,68065,6241,782,3371,491,192
2017-12-13$11.33$11.0019.9%5.8%22.3%2.7%20.9%1.6%0.1%7.1M-185.8M-2.9M0.6612.0067,88344,5901,801,1201,495,975
2017-12-14$11.43$11.0018.7%5.5%22.4%0.0%19.7%1.8%0.5%11.6M-272.3M-2.8M0.742.8363,36947,0931,826,4451,503,016
2017-12-15$11.46$11.0017.5%5.1%22.3%0.0%19.4%1.8%0.6%6.4M-278.6M-2.8M1.193.5876,29590,4661,826,9581,503,683
2017-12-18$11.43$11.0017.0%4.9%20.7%0.0%18.2%2.5%0.7%6.3M-232.1M-2.6M0.722.6360,44043,2761,611,6391,239,628
2017-12-19$11.51$11.0016.5%4.7%20.7%0.0%16.8%2.3%1.5%7.4M-241.1M-2.5M0.931.8354,24550,6541,589,2961,222,002
2017-12-20$11.61$11.0016.6%4.7%20.6%0.3%17.1%2.3%1.0%10.2M-347.5M-2.7M0.889.0663,04255,3911,634,0201,237,939
2017-12-21$11.65$11.0016.7%4.7%19.7%1.0%16.6%2.0%0.9%12.0M-372.5M-2.7M0.983.5859,27158,0831,653,0181,247,050
2017-12-22$11.66$11.0016.3%4.6%18.8%0.0%16.1%2.5%0.7%12.3M-390.4M-2.6M1.042.0453,98556,2881,664,4281,263,916
2017-12-26$11.95$11.0018.5%5.1%19.7%12.4%18.3%2.5%-0.2%17.2M-540.0M-2.6M0.995.1477,64676,7661,660,7941,254,968
2017-12-27$11.92$11.0018.0%5.0%19.8%9.6%17.3%1.1%0.6%14.7M-513.5M-2.7M1.6411.1442,11668,8981,660,5871,282,112
2017-12-28$11.98$11.0018.2%4.9%19.3%10.8%17.2%1.3%0.7%14.7M-555.7M-2.6M0.747.4199,32773,5841,660,8541,304,962
2017-12-29$12.02$11.0018.6%5.1%19.3%13.1%18.4%1.6%0.6%18.3M-604.4M-2.8M1.195.7973,66187,8041,719,2391,312,111