USO Options History — March 2009 In March 2009, USO traded between $24.48 and $32.02. ATM implied volatility averaged 65.0%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 10.9% (HV 20d: 75.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2009-03-11 : Highest Volume — 119,832 contracts2009-03-30 : Largest IV spike — 11.7% change2009-03-02 : Highest IV Rank — 67.4%2009-03-02 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $28.83 $24.48 $32.02 $24.48 $29.05 Max Pain $29.09 $25.00 $30.00 $25.00 $30.00 ATM IV 65.0% 56.1% 77.1% 77.1% 65.1% Expected Move 18.4% 16.1% 22.1% 22.1% 18.7% HV 20d 75.9% 65.1% 85.3% 69.6% 65.1% HV 60d 74.6% 70.2% 76.2% 74.6% 70.2% IV Rank 49.9% 37.0% 67.4% 67.4% 50.1% IV Percentile 60.7% 51.2% 77.8% 77.8% 59.9% Term Structure -2.5% -8.0% 2.8% -4.2% -3.3% VWIV 65.0% 56.9% 76.6% 76.6% 65.4% Skew 25d 4.9% 1.7% 6.8% 1.7% 5.8% Skew 10d 8.9% 5.2% 12.4% 6.3% 8.7% Call IV 25d 62.4% 53.9% 75.7% 75.7% 62.2% Put IV 25d 67.3% 59.6% 78.4% 77.4% 68.0% Bid-Ask Spread % 5.22 3.05 8.17 4.83 3.05 Gamma HHI 0.09 0.06 0.20 0.06 0.07 Net GEX 10.3M 2.0M 23.3M 2.0M 6.0M Net DEX -258.3M -723.7M 161.0M 161.0M -86.1M Net VEX -4.2M -4.5M -3.8M -3.8M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.40 1.37 0.81 0.89 Total Volume 77,609.773 27,652 119,832 78,343 44,691 Total OI 1,167,259.409 936,872 1,350,637 1,128,201 1,019,019
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-03-02 $24.48 $25.00 77.1% 22.1% 69.6% 67.4% 76.6% 1.7% -4.2% 2.0M 161.0M -3.8M 0.81 4.83 43,324 35,019 677,687 450,514 2009-03-03 $25.39 $25.00 74.8% 21.4% 71.0% 64.0% 75.4% 5.5% -5.8% 3.2M 78.5M -4.0M 0.64 7.65 56,854 36,598 683,787 456,927 2009-03-04 $27.61 $25.00 69.2% 19.8% 77.5% 55.9% 70.4% 5.6% -1.5% 7.7M -187.2M -4.4M 0.40 5.40 80,873 32,525 707,017 466,877 2009-03-05 $26.56 $25.00 74.0% 21.2% 78.3% 62.9% 75.2% 6.8% -5.2% 6.5M -68.6M -4.3M 1.37 8.17 25,913 35,409 730,822 477,453 2009-03-06 $27.99 $30.00 70.7% 19.2% 80.4% 58.1% 67.3% 4.5% -7.6% 8.9M -225.3M -4.5M 0.74 7.43 36,284 26,856 731,958 485,080 2009-03-09 $28.65 $30.00 73.3% 19.2% 80.5% 61.8% 67.3% 5.4% -8.0% 10.6M -326.5M -4.5M 0.65 5.59 65,330 42,386 736,990 491,936 2009-03-10 $27.83 $30.00 69.7% 18.2% 81.2% 56.6% 64.3% 4.4% -7.1% 9.5M -202.1M -4.3M 0.77 5.54 45,410 34,918 743,292 501,271 2009-03-11 $26.30 $30.00 68.4% 18.5% 81.9% 54.7% 65.8% 3.6% -5.2% 4.8M 9.9M -4.0M 0.91 5.20 62,888 56,944 749,017 505,612 2009-03-12 $28.23 $30.00 63.7% 18.3% 84.9% 48.0% 64.7% 5.5% -4.1% 11.0M -259.6M -4.3M 0.78 5.52 54,981 42,972 750,468 510,396 2009-03-13 $27.63 $30.00 66.3% 19.0% 85.3% 51.7% 66.1% 4.5% -6.3% 9.1M -179.4M -4.2M 0.61 5.17 60,358 36,553 753,308 520,850 2009-03-16 $28.25 $30.00 65.9% 18.9% 85.1% 51.2% 67.2% 5.7% -3.4% 12.4M -280.0M -4.2M 1.25 4.88 35,410 44,088 775,917 531,246 2009-03-17 $29.44 $30.00 63.6% 18.2% 78.7% 47.9% 63.8% 5.7% -2.5% 16.7M -471.7M -4.3M 0.64 5.12 53,209 34,015 776,521 540,091 2009-03-18 $29.61 $30.00 61.9% 17.7% 77.5% 45.4% 63.6% 6.5% -0.9% 19.6M -515.7M -4.3M 0.99 5.56 46,291 45,658 792,028 546,481 2009-03-19 $30.36 $30.00 61.1% 17.5% 75.6% 44.2% 61.9% 5.1% -0.0% 23.3M -678.2M -4.3M 0.55 4.09 67,231 37,102 799,012 551,625 2009-03-20 $30.76 $30.00 58.6% 16.8% 75.5% 40.6% 60.0% 4.7% 2.8% 21.9M -723.7M -4.4M 0.57 6.00 56,190 31,994 789,551 559,891 2009-03-23 $31.78 $30.00 57.7% 16.5% 73.0% 39.3% 58.2% 4.0% 0.6% 10.0M -370.3M -4.3M 0.57 5.22 56,769 32,383 590,889 345,983 2009-03-24 $31.65 $30.00 56.6% 16.2% 72.3% 37.7% 60.1% 3.9% 2.0% 10.2M -354.0M -4.3M 1.09 5.00 20,650 22,567 610,990 363,296 2009-03-25 $31.21 $30.00 57.6% 16.5% 70.5% 39.2% 58.7% 4.9% 1.2% 9.2M -312.0M -4.3M 1.04 4.75 21,900 22,713 611,004 367,573 2009-03-26 $32.02 $30.00 56.2% 16.1% 69.4% 37.1% 57.5% 6.1% 2.1% 10.2M -380.9M -4.3M 1.00 3.56 19,754 19,695 611,402 369,345 2009-03-27 $30.75 $30.00 56.1% 16.1% 71.4% 37.0% 56.9% 5.1% 2.3% 8.7M -258.9M -4.2M 0.85 3.24 14,925 12,727 615,857 378,033 2009-03-30 $28.70 $30.00 62.7% 18.0% 65.9% 46.5% 63.1% 3.6% -1.7% 5.6M -52.4M -3.9M 0.88 3.88 29,245 25,813 620,944 381,747 2009-03-31 $29.05 $30.00 65.1% 18.7% 65.1% 50.1% 65.4% 5.8% -3.3% 6.0M -86.1M -4.0M 0.89 3.05 23,698 20,993 630,063 388,956
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