USO Options History — September 2021

In September 2021, USO traded between $47.80 and $52.85. ATM implied volatility averaged 30.1%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 2.1% (HV 20d: 27.9%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-09-30: Highest Volume — 57,262 contracts
  • 2021-09-20: Largest IV spike — 10.2% change
  • 2021-09-30: Highest IV Rank — 18.4%
  • 2021-09-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.13$47.80$52.85$47.98$52.74
Max Pain$49.90$48.00$50.00$48.00$50.00
ATM IV30.1%28.5%33.8%29.6%33.8%
Expected Move8.5%8.1%9.5%8.3%9.5%
HV 20d27.9%21.0%33.1%32.4%21.5%
HV 60d31.8%30.9%32.4%30.9%31.8%
IV Rank7.5%2.8%18.4%6.0%18.4%
IV Percentile16.9%2.4%58.3%9.9%58.3%
Term Structure0.1%-0.4%0.5%0.3%0.2%
VWIV30.1%27.3%34.6%29.2%34.6%
Skew 25d4.4%2.6%6.3%5.5%4.0%
Skew 10d8.4%4.1%20.1%10.2%7.6%
Call IV 25d28.6%26.8%32.4%27.5%32.4%
Put IV 25d33.0%31.0%36.4%32.9%36.4%
Bid-Ask Spread %35.6310.0848.6310.0833.84
Gamma HHI0.180.130.240.200.13
Net GEX13.3M-3.5M27.9M-3.5M19.8M
Net DEX-738.1M-938.5M-491.3M-528.1M-928.7M
Net VEX-1.8M-2.0M-1.7M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.201.911.340.46
Total Volume31,876.23814,88157,26221,88657,262
Total OI477,418.429397,413531,652517,954488,168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$47.98$48.0029.6%8.3%32.4%6.0%29.2%5.5%0.3%-3.5M-528.1M-2.0M1.3410.089,33312,553329,021188,933
2021-09-02$49.01$50.0028.5%8.1%32.8%2.8%28.8%4.2%0.0%9.8M-689.1M-2.0M0.8125.4026,15221,282330,717192,685
2021-09-03$48.70$50.0029.0%8.2%32.6%4.3%28.7%4.7%-0.2%11.2M-649.5M-2.0M0.6425.0513,0868,311332,468197,515
2021-09-07$48.07$50.0029.5%8.4%32.2%5.9%27.3%5.3%-0.3%5.8M-526.1M-1.9M0.2531.2419,4694,826327,760171,681
2021-09-08$48.62$50.0028.9%8.2%31.5%3.9%27.9%5.1%-0.4%9.3M-598.2M-1.9M0.3039.3017,5895,299330,391174,005
2021-09-09$47.80$50.0030.8%8.7%31.8%9.7%28.5%5.1%-0.3%2.0M-491.3M-1.8M0.2037.4224,6494,937332,778175,718
2021-09-10$48.82$50.0029.8%8.5%32.7%6.6%28.8%5.0%0.1%9.5M-626.5M-1.9M0.5440.3524,52713,338334,143177,808
2021-09-13$49.42$50.0029.9%8.6%32.4%7.1%30.9%5.0%-0.2%11.3M-706.6M-1.8M0.7139.6111,8088,380326,520171,983
2021-09-14$49.31$50.0029.7%8.5%32.2%6.4%30.9%4.6%-0.4%7.3M-691.5M-1.8M0.6548.6310,0046,500327,921176,515
2021-09-15$50.70$50.0029.2%8.4%33.1%4.8%30.8%3.8%0.2%23.9M-904.7M-1.8M0.3632.8735,39712,886331,327179,024
2021-09-16$50.68$50.0029.2%8.4%30.9%5.0%29.8%3.4%0.5%27.9M-909.2M-1.8M0.4448.3113,7446,080331,544180,863
2021-09-17$50.31$50.0028.9%8.3%30.6%3.9%27.9%4.3%-0.1%13.7M-875.6M-1.8M0.3448.0617,6505,947343,296188,356
2021-09-20$49.47$50.0031.8%9.2%29.0%12.5%32.5%5.8%0.0%9.5M-637.6M-1.7M1.9135.429,85918,861281,108116,305
2021-09-21$49.66$50.0030.7%8.8%22.9%9.2%30.1%6.3%-0.1%10.6M-653.6M-1.7M0.8839.397,9316,950280,079117,770
2021-09-22$50.58$50.0028.8%8.3%21.0%3.7%28.5%4.8%0.3%12.9M-708.1M-1.8M0.2340.1516,7613,875284,019131,668
2021-09-23$51.34$50.0029.2%8.2%21.3%4.8%29.5%3.0%0.3%16.9M-791.6M-1.8M0.6940.2921,00614,574287,754137,007
2021-09-24$51.84$50.0029.1%8.2%21.0%4.7%29.7%2.7%0.5%17.9M-851.1M-1.8M0.5337.8029,35815,623292,708137,723
2021-09-27$52.85$50.0031.1%8.7%21.4%10.6%31.4%2.6%0.5%20.5M-938.5M-1.8M0.4331.9823,96210,403295,214128,352
2021-09-28$52.39$50.0032.3%9.1%21.9%14.1%32.7%2.9%0.2%21.3M-902.5M-1.8M0.4029.7340,46016,083307,892135,747
2021-09-29$52.44$50.0031.7%8.9%21.7%12.3%33.0%4.3%0.4%21.1M-892.6M-1.8M1.8833.2414,84427,842309,339141,962
2021-09-30$52.74$50.0033.8%9.5%21.5%18.4%34.6%4.0%0.2%19.8M-928.7M-1.9M0.4633.8439,27217,990319,898168,270