United States Oil

USO

10.09

+0.08

+0.8%

After Hours:

10.09

0.00

0.0%

Stock Price
Open: 10.05
Prev. Close: 10.01
Low/Hi: 9.98 - 10.10
52-Week: 8.99 - 12.45
Volumes
Equity: 15,995,298
90-Day Avg: 28,811,716
Option: 114,912
90-Day Avg: 148,093
Volatility
Today: 9.9
20-Day: 25.1
52-Week: 32.7
30-Day IV: 28.1 +0.1
IV Rank: 0.39 (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-Mar-2017

Price Performance:

On the day, USO has moved +0.8%, while SPY has moved -0.1%.

Over the last two weeks, USO has moved -1.9%, and SPY has moved -1.6%.

Volume:

USO's stock volume on the day is 15,995,298, which is 0.6x relative to the 90-day average of 28,811,716

SPY's relative volume on the day is 1.4x, trading 107,532,274 shares against an average of 78,973,395 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for USO is 9.9 for the day. The 20-day average is 21.5, and the 52-week average is 29.7.

The 1-Day OHLC Volatility for SPY is 9.3, while the average over the last 20 days is 6.8, and for the last 52 weeks is 8.3.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 28.1, and has moved +0.3% from the previous day. Its IV Ranking is 0.39, which is considered Subdued.

As a comparison, the current IV30 for SPY is 10.8, down slightly -0.4% from the previous day. SPY's IV Rank is Moderate at 0.74.

Over the last 52 weeks, the IV30 Range is 21.2 - 57.5.

Over the same span, SPY's IV30 Range is 8.1 - 20.7.

Based on the IV30, a synthetic put to protect downside risk would cost 3.2%, compared to a 52-week range of 2.4% - 6.5%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
24-Mar-17 0.00 0.0% 10.08 10.09
31-Mar-17 0.30 3.0% 9.78 10.39
07-Apr-17 0.43 4.2% 9.66 10.51
13-Apr-17 0.51 5.1% 9.57 10.60
21-Apr-17 0.62 6.1% 9.47 10.70
28-Apr-17 0.71 7.0% 9.38 10.79
05-May-17 0.78 7.8% 9.30 10.87
19-May-17 0.94 9.3% 9.14 11.03
16-Jun-17 1.20 11.9% 8.89 11.28
21-Jul-17 1.45 14.4% 8.63 11.54
20-Oct-17 1.93 19.1% 8.16 12.01
19-Jan-18 2.31 22.9% 7.77 12.40
18-Jan-19 3.44 34.1% 6.64 13.53

Volatility Skew:

The current downside put implied volatility is trading 7.9% higher than the upside call volatility, which represents a slightly bullish tone when compared to the past year. Over the last year, the downside put has traded on average 10.1% higher than the upside call.

Option Volume:

On the day, USO traded 114,912 contracts, with 64.6% being put options. This represents a relative volume of 0.8x compared to the last 90 days, when the average volume was 148,093 and 51.4% 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 101 0.1% 30,493 7,527 9.3% 188,925 10,048 12.5% 17,227 17,676 21.9% 236,645
Put 221 0.3% 27,029 41,680 51.7% 2,601,360 21,094 26.1% 547,211 62,995 78.1% 3,175,600
Total 80,671 3,412,245

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
USO 19Jan18 P 9 25,020 5 0.63 0.63 0.69 30,607 33.9 +1.3%
USO 20Oct17 P 9 10,028 4 0.50 0.50 0.52 21,145 32.7 -0.1%
USO 20Oct17 P 8.5 10,015 4 0.36 0.36 0.38 1,340 33.9 -1.2%
USO 20Oct17 P 7.5 10,000 1 0.17 0.17 0.17 73 36.0 -2.6%
USO 21Apr17 C 12.5 8,657 37 0.01 0.01 0.01 18,087 18.6 -55.4%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 16Jun17 C 12 25,052 3,041 +22,011 +723.8% 0
USO 20Oct17 P 9 21,145 1,132 +20,013 +1767.9% 10,028
USO 16Jun17 P 12 21,396 1,396 +20,000 +1432.7% 0
USO 19May17 P 9.5 30,580 26,955 +3,625 +13.5% 0
USO 21Apr17 C 11 54,534 51,049 +3,485 +6.8% 158

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 24Mar17 P 11 4,724 8,804 -4,080 -46.3% 0
USO 21Apr17 C 12.5 18,087 19,956 -1,869 -9.4% 8,657
USO 19Jan18 C 12 73,764 74,956 -1,192 -1.6% 87
USO 21Apr17 C 11.5 42,264 42,783 -519 -1.2% 238
USO 19Jan18 C 10 81,127 81,504 -377 -0.5% 128

Upcoming Dividend:

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