United States Oil

USO

11.46

-0.07

-0.6%

After Hours:

11.48

+0.02

+0.2%

Stock Price
Open: 11.44
Prev. Close: 11.53
Low/Hi: 11.44 - 11.51
52-Week: 8.14 - 12.45
Volumes
Equity: 11,275,722
90-Day Avg: 32,356,515
Option: 43,244
90-Day Avg: 145,601
Volatility
Today: 13.3
20-Day: 21.8
52-Week: 34.8
30-Day IV: 22.4 -0.6
IV Rank: 0.00 (Subdued)
Fundamental
Div. Yield: 0.0%
Net Expense Ratio: 0.45%
Stock Type: ETF | Family: United States Commodity Funds LLC | Category: Commodities Energy

USO Symbol Review Report

Report Date: 24-Feb-2017

Price Performance:

On the day, USO has moved -0.6%, while SPY has moved +0.1%.

Over the last two weeks, USO has moved -0.4%, and SPY has moved +2.3%.

Volume:

USO's stock volume on the day is 11,275,722, which is 0.3x relative to the 90-day average of 32,356,515

SPY's relative volume on the day is 0.9x, trading 77,141,484 shares against an average of 82,740,785 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for USO is 13.3 for the day. The 20-day average is 20.9, and the 52-week average is 31.7.

The 1-Day OHLC Volatility for SPY is 8.3, while the average over the last 20 days is 6.1, and for the last 52 weeks is 8.7.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 22.4, and has moved -2.7% from the previous day. Its IV Ranking is 0.00, which is considered Subdued.

As a comparison, the current IV30 for SPY is 8.6, down -3.1% from the previous day. SPY's IV Rank is Subdued at 0.40.

Over the last 52 weeks, the IV30 Range is 22.4 - 63.1.

Over the same span, SPY's IV30 Range is 8.5 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 2.5%, compared to a 52-week range of 2.5% - 7.1%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Feb-17 0.02 0.1% 11.45 11.48
03-Mar-17 0.25 2.2% 11.21 11.72
10-Mar-17 0.39 3.4% 11.08 11.85
17-Mar-17 0.49 4.2% 10.98 11.95
24-Mar-17 0.59 5.1% 10.88 12.05
31-Mar-17 0.67 5.9% 10.79 12.14
07-Apr-17 0.74 6.4% 10.73 12.20
21-Apr-17 0.88 7.6% 10.59 12.34
19-May-17 1.15 10.0% 10.32 12.61
16-Jun-17 1.37 11.9% 10.10 12.83
21-Jul-17 1.62 14.1% 9.85 13.08
20-Oct-17 2.15 18.8% 9.31 13.62
19-Jan-18 2.47 21.6% 8.99 13.94
18-Jan-19 3.73 32.5% 7.74 15.19

Volatility Skew:

The current downside put implied volatility is trading 10.0% higher than the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 10.2% higher than the upside call.

Option Volume:

On the day, USO traded 43,244 contracts, with 52.9% being put options. This represents a relative volume of 0.3x compared to the last 90 days, when the average volume was 145,601 and 50.9% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 3,469 10.1% 257,907 6,412 18.6% 203,174 6,594 19.1% 23,869 16,475 47.7% 484,950
Put 7,219 20.9% 141,685 6,696 19.4% 246,544 4,117 11.9% 45,300 18,032 52.3% 433,529
Total 34,507 918,479

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
USO 24Feb17 P 11.5 5,667 152 0.05 0.03 0.07 9,219 35.1 +77.9%
USO 24Feb17 C 11.5 4,034 95 0.01 0.01 0.05 13,933 27.5 +32.7%
USO 3Mar17 C 11.5 3,157 97 0.11 0.10 0.14 4,961 18.9 -14.5%
USO 3Mar17 P 11.5 2,977 79 0.14 0.14 0.17 3,785 20.4 -5.8%
USO 17Mar17 C 11.5 1,638 56 0.22 0.22 0.26 79,950 21.2 -6.1%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 19May17 P 11 31,482 10,474 +21,008 +200.6% 0
USO 17Mar17 C 12 127,658 114,757 +12,901 +11.2% 797
USO 17Mar17 C 11.5 79,950 68,865 +11,085 +16.1% 1,638
USO 17Mar17 P 11 100,627 93,082 +7,545 +8.1% 685
USO 21Jul17 C 12 23,433 15,926 +7,507 +47.1% 16

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 19May17 P 10.5 20,745 30,525 -9,780 -32.0% 0
USO 24Feb17 C 11.5 13,933 15,803 -1,870 -11.8% 4,034
USO 21Apr17 P 11 61,558 61,977 -419 -0.7% 147
USO 19Jan18 C 11 24,465 24,647 -182 -0.7% 130
USO 24Feb17 C 11 2,153 2,324 -171 -7.4% 1,149

Upcoming Dividend:

The next dividend for USO has not yet been announced. Its indicative dividend yield going forward is 0.00%.