United States Oil

USO

11.46

+0.03

+0.3%

After Hours:

11.40

-0.06

-0.5%

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Stock Price
Open: 11.47
Prev. Close: 11.43
Low/Hi: 11.40 - 11.49
52-Week: 8.65 - 12.00
Volumes
Equity: 9,484,640
90-Day Avg: 17,597,862
Option: 93,999
90-Day Avg: 117,463
Volatility
Todays Stock Vol: 9.2
20-Day (HV): 21.2
52-Week (HV): 24.6
30-Day IV: 18.1 -1.4
IV Pct Rank: 0% Subdued
Fundamental
Div. Yield:
Net Expense Ratio: 0.45%
Stock Info
Type: ETF
Family: United States Commodity Funds LLC
Category: Commodities Energy

USO Symbol Review Report

Report Date: 15-Dec-2017

Price Performance:

On the day, USO has moved +0.3%, while SPY has moved +0.8%.

Over the last two weeks, USO has moved -1.8%, and SPY has moved +0.8%.

Volume:

USO's stock volume on the day is 9,484,640, which is 0.5x relative to the 90-day average of 17,597,862

SPY's relative volume on the day is 1.9x, trading 132,836,676 shares against an average of 68,562,346 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for USO is 9.2 for the day. The 20-day average is 19.9, and the 52-week average is 22.2.

The 1-Day OHLC Volatility for SPY is 9.2, while the average over the last 20 days is 6.3, and for the last 52 weeks is 6.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 18.1, and has moved -7.0% from the previous day. Its IV % Rank is 0.00, which is considered Subdued.

As a comparison, the current IV30 for SPY is 7.4, down slightly -1.8% from the previous day. SPY's IV % Rank is Subdued at 0.30.

Over the last 52 weeks, the IV30 Range is 19.4 - 33.9.

Over the same span, SPY's IV30 Range is 6.4 - 13.5.

Based on the IV30, a synthetic put to protect downside risk would cost 2.0%, compared to a 52-week range of 2.2% - 3.8%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
15-Dec-17 0.04 0.3% 11.43 11.50
22-Dec-17 0.22 1.9% 11.25 11.68
29-Dec-17 0.32 2.8% 11.15 11.78
05-Jan-18 0.38 3.3% 11.08 11.85
12-Jan-18 0.44 3.8% 11.03 11.90
19-Jan-18 0.51 4.4% 10.96 11.97
26-Jan-18 0.58 5.0% 10.89 12.04
16-Feb-18 0.75 6.5% 10.72 12.21
16-Mar-18 0.96 8.3% 10.51 12.42
20-Apr-18 1.17 10.2% 10.30 12.63
20-Jul-18 1.67 14.6% 9.79 13.14
18-Jan-19 2.50 21.8% 8.96 13.97
17-Jan-20 3.51 30.6% 7.95 14.98

Volatility Skew:

The current downside put implied volatility is trading 15.6% higher than the upside call volatility, which represents a bearish tone when compared to the past year. Over the last year, the downside put has traded on average 7.5% higher than the upside call.

Option Volume:

On the day, USO traded 93,999 contracts, with 64.0% being put options. This represents a relative volume of 0.8x compared to the last 90 days, when the average volume was 117,463 and 54.5% 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 12,093 12.8% 803,241 11,633 12.3% 179,257 10,112 10.7% 29,851 33,838 35.9% 1,012,349
Put 2,693 2.9% 309,352 26,487 28.1% 1,003,150 31,202 33.1% 295,556 60,382 64.1% 1,608,058
Total 94,220 2,620,407

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
USO 19Jan18 P 11 20,501 20 0.10 0.10 0.13 81,643 21.2 -3.4%
USO 16Feb18 P 11.5 10,125 20 0.39 0.39 0.44 18,617 21.0 -3.5%
USO 20Apr18 P 11.5 7,434 7 0.61 0.61 0.64 9,505 22.9 -2.5%
USO 20Apr18 P 9 7,401 5 0.06 0.06 0.08 37,084 28.8 -1.9%
USO 22Dec17 C 11.5 7,357 64 0.08 0.08 0.10 5,236 16.3 -8.9%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 15Dec17 P 11 60,981 57,466 +3,515 +6.1% 16
USO 20Apr18 C 13.5 653 21 +632 +3009.5% 0
USO 29Dec17 P 11 6,526 6,044 +482 +8.0% 1,146
USO 16Feb18 C 19 375 0 +375 1,294
USO 29Dec17 C 11 7,829 7,467 +362 +4.9% 5,351

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
USO 15Dec17 P 11.5 33,432 37,999 -4,567 -12.0% 5,368
USO 15Dec17 C 11 64,581 65,537 -956 -1.5% 2,711
USO 15Dec17 C 11.5 51,930 52,552 -622 -1.2% 2,136
USO 19Jan18 C 11.5 37,200 37,521 -321 -0.9% 2,509
USO 19Jan18 C 11 113,686 113,934 -248 -0.2% 1,638

Upcoming Dividend:

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

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