USO Options History — November 2020

In November 2020, USO traded between $26.27 and $31.35. ATM implied volatility averaged 42.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 0.1% (HV 20d: 42.1%). Max pain ranged from $27.00 to $29.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-11-25: Highest Volume — 47,968 contracts
  • 2020-11-04: Largest IV drop — 14.9% change
  • 2020-11-02: Highest IV Rank — 24.7%
  • 2020-11-02: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.81$26.27$31.35$26.27$31.06
Max Pain$28.57$27.00$29.50$29.00$29.50
ATM IV42.2%35.3%58.1%58.1%37.7%
Expected Move12.2%10.4%17.4%17.4%11.7%
HV 20d42.1%35.5%46.8%38.3%35.5%
HV 60d39.3%36.5%41.1%36.5%40.7%
IV Rank17.8%14.8%24.7%24.7%15.8%
IV Percentile51.3%31.7%75.4%75.4%39.3%
Term Structure-0.7%-2.8%0.2%-0.9%0.2%
VWIV43.9%37.3%64.1%62.0%45.2%
Skew 25d11.5%-0.8%20.2%20.2%-0.8%
Skew 10d21.2%-1.4%33.7%33.7%-1.4%
Call IV 25d38.9%32.7%50.6%50.6%43.7%
Put IV 25d50.4%41.3%70.8%70.8%42.8%
Bid-Ask Spread %7.342.6414.2714.272.64
Gamma HHI0.100.070.150.070.08
Net GEX4.3M-1.5M10.8M557.4K5.7M
Net DEX-723.8M-911.2M-554.1M-566.3M-854.2M
Net VEX-1.4M-1.6M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.341.580.501.58
Total Volume30,962.6516,74547,96825,14541,486
Total OI626,991.05577,903666,329601,578600,692

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$26.27$29.0058.1%17.4%38.3%24.7%62.0%20.2%-0.9%557.4K-566.3M-1.3M0.5014.2716,7198,426424,747176,831
2020-11-03$26.78$29.0055.2%16.4%38.4%23.4%64.1%19.3%-0.9%1.0M-596.0M-1.4M0.926.2312,70711,673424,747176,831
2020-11-04$27.45$29.0047.0%13.5%39.6%19.9%46.3%17.4%-0.1%2.6M-644.3M-1.4M0.4610.2312,4955,687439,786187,824
2020-11-05$27.12$27.0046.8%13.3%38.3%19.8%46.8%16.2%0.0%1.7M-612.3M-1.3M0.9412.598,6378,108442,312188,879
2020-11-06$26.46$27.0048.9%14.4%38.9%20.7%46.5%18.2%0.2%-1.5M-554.1M-1.3M0.888.1615,10113,308443,614192,697
2020-11-09$28.18$27.0045.4%12.8%44.9%19.1%47.8%13.3%-0.6%4.0M-694.5M-1.3M0.458.4427,25912,199432,150179,676
2020-11-10$28.93$27.0040.8%11.7%45.5%17.1%39.8%12.9%-0.2%7.2M-752.2M-1.4M1.1910.7020,26224,135439,381182,460
2020-11-11$29.02$28.0041.1%11.6%45.1%17.3%43.2%8.8%-0.6%5.8M-741.9M-1.4M0.793.1124,84419,672445,875198,194
2020-11-12$28.69$29.0043.1%11.7%45.3%18.1%39.7%11.0%-2.8%3.3M-705.2M-1.4M0.689.5318,32612,390451,807208,474
2020-11-13$28.09$29.0042.5%11.9%45.8%17.9%38.2%5.3%-1.6%943.3K-644.4M-1.3M0.783.1517,76913,829455,756210,573
2020-11-16$28.80$29.0039.5%11.3%46.8%16.6%38.5%14.3%-1.2%3.0M-710.1M-1.4M0.6111.9123,10614,195439,855193,864
2020-11-17$28.84$29.0038.4%11.0%46.4%16.1%40.3%11.7%0.0%4.5M-721.5M-1.4M0.7811.8812,0179,399447,407194,178
2020-11-18$29.03$29.0038.6%11.1%44.5%16.2%42.7%9.2%-0.5%5.2M-744.7M-1.3M1.077.5614,18215,199450,784196,179
2020-11-19$29.12$29.0038.9%11.2%44.2%16.3%40.4%11.4%-0.5%5.0M-741.6M-1.4M0.542.7414,8737,957454,047203,616
2020-11-20$29.34$29.0036.9%10.8%43.2%15.5%40.0%10.7%-1.5%6.4M-772.5M-1.4M0.532.7316,7578,884458,282205,989
2020-11-23$29.55$29.0036.4%10.5%41.7%15.2%37.3%9.8%-0.7%5.6M-752.8M-1.3M0.486.1415,7227,608425,391152,512
2020-11-24$30.87$29.0035.3%10.4%43.6%14.8%38.5%7.7%-0.4%8.4M-867.3M-1.4M0.343.4535,82012,033432,102154,377
2020-11-25$31.35$29.0035.3%10.6%38.5%14.8%39.7%5.6%-0.7%10.8M-911.2M-1.5M0.475.3732,61915,349443,292160,182
2020-11-27$31.21$29.0038.3%11.4%36.7%16.0%40.8%8.0%-1.3%5.7M-888.8M-1.6M0.425.9413,0505,451448,145176,313
2020-11-30$31.06$29.5037.7%11.7%35.5%15.8%45.2%-0.8%0.2%5.7M-854.2M-1.5M1.582.6416,11025,376436,623164,069