USO Options History — November 2019

In November 2019, USO traded between $11.57 and $12.20. ATM implied volatility averaged 30.3%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.4% (HV 20d: 24.9%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2019-11-21: Highest Volume — 104,566 contracts
  • 2019-11-29: Largest IV spike — 15.9% change
  • 2019-11-29: Highest IV Rank — 32.3%
  • 2019-11-29: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$11.57$12.20$11.72$11.61
Max Pain$11.97$11.50$12.00$11.50$12.00
ATM IV30.3%28.5%33.0%31.5%33.0%
Expected Move8.7%8.3%10.0%8.9%10.0%
HV 20d24.9%22.0%30.1%25.5%30.1%
HV 60d35.7%34.2%37.5%37.5%35.4%
IV Rank22.0%18.9%32.3%24.4%32.3%
IV Percentile35.0%25.4%58.3%42.1%58.3%
Term Structure-0.2%-1.2%2.7%2.7%-1.2%
VWIV30.9%27.4%35.0%30.9%35.0%
Skew 25d4.1%1.5%5.5%1.5%5.5%
Skew 10d7.3%2.6%10.0%2.6%9.5%
Call IV 25d29.1%26.5%32.2%29.9%30.6%
Put IV 25d33.2%31.3%36.1%31.3%36.1%
Bid-Ask Spread %4.041.879.403.342.95
Gamma HHI0.150.110.290.130.13
Net GEX2.7M-4.2M12.4M637.4K-3.6M
Net DEX-35.9M-106.5M81.1M-5.2M71.0M
Net VEX-1.9M-2.0M-1.7M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.162.930.430.79
Total Volume51,597.6513,693104,56639,61292,271
Total OI1,509,914.31,383,5721,564,7331,508,3921,564,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$11.72$11.5031.5%8.9%25.5%24.4%30.9%1.5%2.7%637.4K-5.2M-2.0M0.433.3427,66811,944717,454790,938
2019-11-04$11.80$12.0032.1%9.1%25.5%26.0%32.8%2.6%-0.6%1.9M-16.5M-2.0M0.593.0628,23516,717700,462783,663
2019-11-05$11.93$12.0031.6%9.0%25.1%24.9%31.4%2.6%-0.4%4.0M-52.0M-2.0M0.296.4422,2136,505710,351788,562
2019-11-06$11.80$12.0030.7%8.8%25.7%22.5%31.2%4.3%0.8%2.6M-11.2M-1.9M1.058.1922,67823,734712,936791,173
2019-11-07$11.88$12.0029.8%8.6%24.9%20.1%29.8%3.6%-0.2%4.4M-30.4M-1.9M0.724.9637,39026,860719,297798,817
2019-11-08$11.98$12.0030.1%8.5%24.2%20.8%32.5%3.7%-0.3%12.4M-66.5M-1.9M0.997.3236,03335,546733,657809,505
2019-11-11$11.88$12.0030.5%8.8%22.5%22.0%31.0%4.5%-0.0%3.2M-26.3M-1.9M0.902.6120,24618,244717,670814,090
2019-11-12$11.86$12.0030.1%8.6%22.1%20.9%30.8%4.0%-0.3%4.1M-25.2M-1.8M2.933.5710,95532,065723,475815,862
2019-11-13$11.97$12.0030.3%8.7%22.2%21.3%30.8%4.1%-0.1%6.0M-50.4M-1.9M1.843.166,36711,721727,691830,853
2019-11-14$11.89$12.0029.9%8.5%22.0%20.5%30.7%4.0%-0.3%6.7M-26.1M-1.8M0.451.8723,63110,728729,888834,732
2019-11-15$12.09$12.0029.7%8.5%22.3%19.8%29.6%3.9%-0.1%5.4M-106.5M-1.8M0.755.4134,33525,853728,497835,934
2019-11-18$11.89$12.0029.3%8.4%23.3%18.9%29.6%3.9%-0.5%-983.9K-5.5M-1.7M1.692.1215,63426,456623,031760,541
2019-11-19$11.57$12.0031.3%9.0%25.2%24.1%31.0%4.3%-0.1%-4.2M81.1M-1.7M1.183.2826,15530,733630,086768,144
2019-11-20$11.91$12.0030.3%8.7%25.7%21.3%31.5%5.3%-1.0%-614.0K-15.0M-1.7M0.612.1250,37830,924640,722781,263
2019-11-21$12.20$12.0029.6%8.5%26.9%19.7%30.5%4.0%-0.4%1.9M-90.3M-1.7M0.769.4059,42345,143658,094796,377
2019-11-22$12.10$12.0029.4%8.5%27.0%19.1%27.4%4.8%-0.8%588.8K-66.1M-1.8M0.162.4186,84113,499690,313824,166
2019-11-25$12.12$12.0029.3%8.5%26.1%21.2%30.7%4.6%-0.4%2.7M-87.4M-1.9M1.182.209,57111,322730,685810,490
2019-11-26$12.18$12.0028.9%8.5%26.0%20.3%29.8%5.1%0.1%3.6M-102.6M-1.9M1.032.766,7346,959734,994815,111
2019-11-27$12.14$12.0028.5%8.3%25.6%18.9%31.6%4.9%-0.2%3.2M-86.7M-1.9M0.533.7419,71210,530737,967816,062
2019-11-29$11.61$12.0033.0%10.0%30.1%32.3%35.0%5.5%-1.2%-3.6M71.0M-1.9M0.792.9551,61740,654746,878817,855