USO Options History — January 2009

In January 2009, USO traded between $28.66 and $37.30. ATM implied volatility averaged 78.1%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded below realized volatility by 5.3% (HV 20d: 83.4%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-01-16: Highest Volume — 174,250 contracts
  • 2009-01-20: Largest IV spike — 12.7% change
  • 2009-01-07: Highest IV Rank — 81.4%
  • 2009-01-02: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.73$28.66$37.30$35.63$29.22
Max Pain$31.40$30.00$40.00$40.00$31.00
ATM IV78.1%69.4%86.1%83.9%74.5%
Expected Move22.2%19.9%24.1%24.1%21.3%
HV 20d83.4%78.9%90.4%82.5%80.3%
HV 60d81.2%78.6%82.5%78.6%81.6%
IV Rank70.6%58.7%81.4%78.5%65.6%
IV Percentile81.4%74.6%89.7%87.7%74.6%
Term Structure-3.1%-7.3%2.1%-3.7%-1.4%
VWIV77.9%70.8%86.4%86.4%75.2%
Skew 25d4.6%1.6%8.0%7.3%4.3%
Skew 10d7.9%1.5%16.0%13.3%5.2%
Call IV 25d75.6%70.0%82.6%82.6%73.7%
Put IV 25d80.1%71.6%89.9%89.9%78.0%
Bid-Ask Spread %9.845.9615.405.966.93
Gamma HHI0.070.050.310.060.05
Net GEX-338.2K-8.2M6.6M4.1M494.7K
Net DEX393.4M-13.4M894.8M299.1M211.7M
Net VEX-3.3M-3.9M-2.8M-3.4M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.551.550.651.15
Total Volume119,539.581,015174,250118,24887,854
Total OI1,124,817.6763,3781,440,5761,130,4101,093,306

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$35.63$40.0083.9%24.1%82.5%78.5%86.4%7.3%-3.7%4.1M299.1M-3.4M0.655.9671,55946,689613,835516,575
2009-01-05$37.30$30.0079.9%21.7%80.0%73.0%76.1%8.0%-4.2%6.6M173.3M-3.3M0.9215.2187,15579,855619,199529,360
2009-01-06$37.25$31.0076.7%21.6%78.9%68.6%75.6%6.3%-6.9%4.9M224.2M-3.3M0.8615.4068,31158,594627,921564,106
2009-01-07$33.27$31.0086.1%23.2%86.9%81.4%81.6%3.8%-7.0%-1.7M585.3M-3.2M0.838.7276,52163,414642,722578,204
2009-01-08$33.20$31.0083.7%23.4%85.4%78.2%82.4%5.1%-7.3%-1.1M580.6M-3.3M0.728.9955,57340,246670,191590,699
2009-01-09$32.37$31.0076.0%22.2%84.4%67.7%78.1%2.9%-6.0%-2.7M665.5M-3.1M0.7111.3960,71543,122683,269593,414
2009-01-12$30.65$31.0084.6%22.9%80.4%79.4%80.4%1.6%-4.6%-4.6M790.9M-2.9M0.797.7247,81037,692710,428602,509
2009-01-13$31.84$31.0076.3%21.4%82.3%68.1%74.9%3.7%-0.8%-3.5M700.3M-3.0M0.578.8860,11833,988722,961613,650
2009-01-14$31.23$31.0070.6%20.9%81.8%60.3%72.9%4.1%-0.8%-4.9M768.1M-2.8M0.8710.1776,64766,616737,636616,360
2009-01-15$30.18$31.0073.0%20.9%82.4%63.6%73.6%3.4%-1.1%-7.5M853.7M-2.8M1.2313.4977,95796,026760,289630,014
2009-01-16$29.86$31.0069.4%19.9%81.2%58.7%70.8%1.7%2.1%-8.2M894.8M-2.9M1.5510.7068,313105,937789,811650,765
2009-01-20$28.66$31.0078.2%22.4%79.7%70.7%79.8%5.0%-1.1%-9.8K245.5M-2.9M1.087.8964,23869,116418,733344,645
2009-01-21$31.03$31.0075.4%21.6%85.3%66.8%76.4%7.0%-0.4%1.8M110.7M-3.5M0.558.2260,20133,323452,771385,278
2009-01-22$30.02$31.0077.4%22.2%81.7%69.6%77.3%5.4%-3.0%1.5M152.4M-3.5M0.959.9441,54339,472480,536400,448
2009-01-23$32.33$31.0077.4%22.2%85.5%69.7%78.5%7.8%-4.0%3.8M-13.4M-3.9M0.759.0368,01251,013490,660414,704
2009-01-26$32.14$31.0078.0%22.4%84.5%70.5%78.3%6.8%-4.1%3.7M-4.1M-3.8M0.877.7955,36648,281504,780430,493
2009-01-27$29.50$31.0083.3%23.9%90.4%77.6%82.7%2.0%-4.3%668.3K197.0M-3.5M1.278.8054,53669,067518,318444,311
2009-01-28$29.75$31.0081.0%23.2%87.7%74.5%81.1%2.8%-3.7%420.5K198.0M-3.6M0.7612.0871,07054,034533,603465,639
2009-01-29$29.22$31.0076.7%22.0%87.5%68.7%76.6%2.0%-0.2%-546.2K235.4M-3.8M0.719.4059,02841,778560,771493,438
2009-01-30$29.22$31.0074.5%21.3%80.3%65.6%75.2%4.3%-1.4%494.7K211.7M-3.9M1.156.9340,95746,897589,438503,868