USO Options History — February 2009

In February 2009, USO traded between $22.86 and $28.87. ATM implied volatility averaged 69.5%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 6.3% (HV 20d: 63.3%). Max pain ranged from $25.00 to $31.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-02-18: Highest Volume — 252,808 contracts
  • 2009-02-17: Largest IV spike — 14.0% change
  • 2009-02-02: Highest IV Rank — 66.0%
  • 2009-02-23: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.24$22.86$28.87$28.40$27.05
Max Pain$27.47$25.00$31.00$31.00$25.00
ATM IV69.5%63.3%75.9%74.7%63.3%
Expected Move19.7%18.1%21.8%21.4%18.1%
HV 20d63.3%54.4%74.8%74.8%60.7%
HV 60d75.5%72.3%79.0%79.0%72.3%
IV Rank57.7%47.4%66.0%66.0%47.4%
IV Percentile69.6%61.1%75.8%74.6%61.1%
Term Structure-2.1%-6.8%1.4%0.9%0.3%
VWIV69.1%64.0%76.4%75.5%64.7%
Skew 25d2.7%0.4%7.0%3.6%5.2%
Skew 10d4.9%1.2%12.0%7.6%10.0%
Call IV 25d67.9%61.2%74.5%73.0%61.2%
Put IV 25d70.6%65.4%77.3%76.7%66.4%
Bid-Ask Spread %7.674.9511.196.877.37
Gamma HHI0.090.060.160.060.07
Net GEX-3.2M-11.3M6.3M-999.8K6.3M
Net DEX370.4M-115.0M849.0M299.5M-81.6M
Net VEX-3.7M-4.3M-3.0M-3.7M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.341.801.450.83
Total Volume136,444.15855,133252,80898,79855,133
Total OI1,297,602.7371,017,5711,653,5601,127,6821,115,997

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$28.40$31.0074.7%21.4%74.8%66.0%75.5%3.6%0.9%-999.8K299.5M-3.7M1.456.8740,39558,403607,628520,054
2009-02-03$28.87$30.0070.7%20.3%72.5%60.4%71.0%3.4%-1.2%-946.9K259.4M-3.8M0.617.4668,12741,310619,026535,952
2009-02-04$28.27$30.0068.4%19.6%72.5%57.4%71.0%1.1%0.7%-1.5M302.8M-3.9M1.458.1448,56770,629656,763554,888
2009-02-05$28.81$30.0065.1%18.7%63.0%52.7%65.8%0.4%1.4%-1.2M244.2M-4.0M0.348.8567,31122,704663,202565,980
2009-02-06$28.20$30.0068.0%18.5%63.2%56.8%64.0%4.1%-3.7%-1.4M296.6M-3.9M1.039.42118,533121,820696,053574,014
2009-02-09$28.25$29.0068.6%18.6%62.9%57.6%65.2%2.4%-2.3%-2.2M284.8M-4.0M0.918.2949,31145,001729,868602,856
2009-02-10$26.91$29.0070.9%19.2%62.4%60.7%67.4%0.6%-3.1%-5.9M448.0M-3.8M0.6611.1973,37348,542741,277608,192
2009-02-11$26.08$29.0071.9%19.1%60.6%62.0%66.7%1.1%-2.6%-8.7M564.3M-3.6M0.989.3773,31072,181756,373623,146
2009-02-12$26.13$28.0064.6%18.5%60.7%52.1%65.4%0.7%-2.0%-9.7M579.8M-3.7M0.788.9385,24666,223771,307641,736
2009-02-13$25.60$28.0064.5%18.5%60.1%50.0%64.4%0.6%-2.7%-10.0M577.2M-3.6M0.747.4377,73957,865811,978650,816
2009-02-17$23.46$27.0073.6%21.1%66.3%62.9%73.2%2.5%-6.8%-11.3M800.0M-3.1M0.587.22131,23075,797842,629652,446
2009-02-18$22.86$26.0074.6%21.4%65.7%63.8%73.5%1.1%-5.2%-10.7M849.0M-3.0M1.805.1490,167162,641898,174669,783
2009-02-19$24.28$25.0073.3%21.0%62.4%61.9%73.4%3.5%-5.0%-10.2M655.2M-3.5M0.708.02101,53271,083935,330696,077
2009-02-20$24.35$25.0072.0%20.7%62.1%60.1%73.1%3.2%-2.5%-4.0M601.9M-3.6M1.568.5066,818103,972966,738686,822
2009-02-23$23.32$25.0075.9%21.8%54.4%65.6%76.4%2.8%-4.9%402.9K253.0M-3.3M0.575.8055,96932,032610,509407,062
2009-02-24$24.44$25.0071.0%20.3%58.8%58.5%71.0%4.2%-1.3%1.4M179.0M-3.6M0.647.5647,32630,409630,862423,099
2009-02-25$26.00$25.0065.9%18.9%58.2%51.1%66.3%3.7%-0.3%3.7M39.0M-4.0M0.544.9586,52246,743644,936433,189
2009-02-26$27.23$25.0064.3%18.4%60.9%48.9%65.0%7.0%0.3%6.2M-115.0M-4.3M0.425.1890,61137,864667,369442,321
2009-02-27$27.05$25.0063.3%18.1%60.7%47.4%64.7%5.2%0.3%6.3M-81.6M-4.2M0.837.3730,14624,987670,418445,579