USO Options History — January 2021

In January 2021, USO traded between $32.34 and $36.25. ATM implied volatility averaged 32.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.8% (HV 20d: 26.6%). Max pain ranged from $33.00 to $35.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2021-01-08: Highest Volume — 85,284 contracts
2021-01-27: Largest IV spike — 8.5% change
2021-01-04: Highest IV Rank — 15.1%
2021-01-04: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.18	$32.34	$36.25	$32.34	$35.17
Max Pain	$34.55	$33.00	$35.50	$33.00	$35.50
ATM IV	32.4%	29.6%	36.0%	36.0%	34.6%
Expected Move	9.3%	8.5%	10.3%	10.3%	9.8%
HV 20d	26.6%	20.6%	29.2%	20.6%	26.5%
HV 60d	31.6%	27.2%	33.4%	32.2%	27.2%
IV Rank	13.5%	12.3%	15.1%	15.1%	14.5%
IV Percentile	16.9%	5.6%	31.3%	31.3%	26.6%
Term Structure	0.4%	-0.8%	1.5%	-0.1%	0.8%
VWIV	33.5%	30.0%	39.2%	36.9%	34.7%
Skew 25d	5.8%	-1.4%	11.5%	0.1%	8.7%
Skew 10d	11.6%	3.8%	21.0%	3.8%	21.0%
Call IV 25d	31.2%	27.8%	40.3%	40.3%	31.4%
Put IV 25d	37.0%	33.7%	41.5%	40.4%	40.1%
Bid-Ask Spread %	17.18	2.97	36.91	9.94	31.34
Gamma HHI	0.18	0.12	0.31	0.12	0.16
Net GEX	9.6M	-5.0M	22.8M	6.4M	-5.0M
Net DEX	-761.6M	-1.24B	-316.4M	-843.5M	-316.4M
Net VEX	-1.6M	-1.8M	-1.4M	-1.4M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.23	3.78	0.39	0.91
Total Volume	35,185.368	16,401	85,284	39,465	21,798
Total OI	562,102.263	384,053	732,182	642,811	474,262

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$32.34	$33.00	36.0%	10.3%	20.6%	15.1%	36.9%	0.1%	-0.1%	6.4M	-843.5M	-1.4M	0.39	9.94	28,412	11,053	463,323	179,488
2021-01-05	$33.92	$33.00	34.7%	9.7%	26.0%	14.5%	34.6%	-1.4%	1.3%	14.9M	-1.01B	-1.5M	0.46	30.55	39,848	18,344	467,820	182,065
2021-01-06	$34.10	$34.00	33.1%	9.2%	25.8%	13.8%	32.7%	4.6%	-0.2%	14.2M	-1.00B	-1.5M	0.37	32.95	31,235	11,559	467,466	195,799
2021-01-07	$34.51	$34.00	31.0%	8.7%	25.9%	12.9%	30.9%	1.1%	-0.3%	18.5M	-1.05B	-1.5M	0.24	31.51	23,929	5,758	470,581	198,838
2021-01-08	$35.45	$34.00	31.0%	8.9%	26.9%	12.9%	32.6%	4.2%	1.5%	22.4M	-1.18B	-1.5M	0.23	7.57	69,281	16,003	479,365	200,295
2021-01-11	$35.20	$34.00	32.9%	9.3%	26.6%	13.7%	32.6%	7.6%	-0.5%	21.2M	-1.13B	-1.5M	0.42	23.75	23,551	9,776	486,956	198,000
2021-01-12	$35.93	$34.00	31.9%	9.2%	26.8%	13.3%	32.5%	6.1%	0.4%	21.0M	-1.21B	-1.5M	0.30	36.91	19,772	5,858	488,092	200,684
2021-01-13	$35.86	$34.00	31.3%	8.9%	26.9%	13.0%	31.9%	5.3%	0.1%	22.8M	-1.21B	-1.5M	0.30	36.34	20,770	6,175	490,826	203,466
2021-01-14	$36.25	$35.00	31.6%	8.9%	26.9%	13.2%	34.2%	5.5%	-0.8%	20.4M	-1.24B	-1.6M	0.75	16.23	22,569	16,855	495,098	228,442
2021-01-15	$35.31	$35.00	32.5%	9.6%	29.1%	13.6%	35.7%	6.1%	1.1%	12.7M	-1.13B	-1.6M	0.46	3.02	25,549	11,843	493,181	239,001
2021-01-19	$35.76	$35.00	30.4%	8.7%	29.2%	12.6%	31.6%	6.6%	0.8%	4.6M	-434.5M	-1.6M	0.49	9.10	15,569	7,707	244,175	139,878
2021-01-20	$35.77	$35.00	30.0%	8.6%	29.1%	12.5%	35.5%	6.8%	0.6%	5.1M	-437.9M	-1.6M	1.72	3.56	12,582	21,687	251,842	145,845
2021-01-21	$35.81	$35.00	29.6%	8.5%	27.1%	12.3%	31.9%	5.9%	0.2%	3.6M	-428.0M	-1.7M	1.17	2.97	7,570	8,831	253,118	164,388
2021-01-22	$35.20	$35.00	32.1%	9.2%	27.2%	13.4%	31.7%	6.8%	0.1%	57.5K	-370.2M	-1.7M	0.58	3.26	15,942	9,200	255,435	170,909
2021-01-25	$35.60	$35.00	32.1%	9.1%	26.3%	13.4%	30.0%	8.7%	0.7%	1.8M	-394.0M	-1.7M	0.44	5.58	11,686	5,114	251,734	166,724
2021-01-26	$35.44	$35.00	31.7%	9.0%	26.4%	13.2%	31.5%	8.0%	0.6%	1.7M	-393.8M	-1.7M	3.78	3.14	7,440	28,153	254,587	167,920
2021-01-27	$35.47	$35.50	34.4%	9.7%	26.1%	14.4%	39.2%	11.5%	1.3%	-1.7M	-357.4M	-1.8M	2.34	8.51	16,195	37,852	256,869	192,700
2021-01-28	$35.25	$35.50	35.0%	10.3%	26.4%	14.6%	35.3%	8.2%	0.7%	-2.4M	-335.4M	-1.8M	1.09	30.19	11,005	12,051	264,609	196,162
2021-01-29	$35.17	$35.50	34.6%	9.8%	26.5%	14.5%	34.7%	8.7%	0.8%	-5.0M	-316.4M	-1.8M	0.91	31.34	11,394	10,404	269,507	204,755