USO Options History — April 2009

In April 2009, USO traded between $27.22 and $30.98. ATM implied volatility averaged 56.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 1.1% (HV 20d: 57.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-04-20: Highest Volume — 112,681 contracts
  • 2009-04-27: Largest IV spike — 11.2% change
  • 2009-04-01: Highest IV Rank — 47.3%
  • 2009-04-01: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.98$27.22$30.98$28.58$28.63
Max Pain$29.19$29.00$30.00$30.00$29.00
ATM IV56.2%51.5%63.2%63.2%52.0%
Expected Move16.0%14.8%18.1%18.1%14.9%
HV 20d57.3%53.0%63.0%58.7%53.7%
HV 60d66.2%62.6%71.7%69.5%63.1%
IV Rank37.1%30.4%47.3%47.3%31.1%
IV Percentile47.8%41.7%55.6%55.6%41.7%
Term Structure-2.6%-6.4%-0.3%-1.6%-3.2%
VWIV56.3%51.5%65.0%65.0%52.6%
Skew 25d5.2%2.9%7.7%4.1%4.4%
Skew 10d8.9%3.4%13.0%8.0%9.7%
Call IV 25d53.4%48.8%63.1%63.1%51.4%
Put IV 25d58.6%53.5%67.2%67.2%55.8%
Bid-Ask Spread %8.393.2614.063.265.93
Gamma HHI0.080.060.160.070.07
Net GEX5.1M170.8K10.5M5.3M3.0M
Net DEX-122.1M-302.2M4.4M-40.4M-154.8M
Net VEX-4.0M-4.3M-3.5M-4.0M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.482.181.040.86
Total Volume56,913.42924,268112,68165,63124,268
Total OI981,875.381683,3401,181,7011,031,850889,107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$28.58$30.0063.2%18.1%58.7%47.3%65.0%4.1%-1.6%5.3M-40.4M-4.0M1.043.2632,19933,432635,268396,582
2009-04-02$30.98$30.0061.8%17.7%63.0%45.3%62.2%7.7%-3.0%8.8M-302.2M-4.3M0.734.0345,63133,196643,790416,836
2009-04-03$30.93$30.0058.9%16.4%60.8%41.0%58.8%6.4%-3.6%9.1M-290.7M-4.3M1.4914.0613,17819,589653,092427,943
2009-04-06$30.23$30.0062.4%16.8%61.1%46.1%58.7%6.3%-4.3%8.2M-207.0M-4.1M0.8611.4625,26421,824656,967431,114
2009-04-07$28.94$29.0061.0%16.7%62.3%44.0%59.2%5.6%-2.6%5.9M-65.3M-4.0M0.749.8426,84819,945663,436435,704
2009-04-08$29.49$29.0056.8%16.0%58.6%37.9%57.4%5.1%-2.0%6.9M-111.3M-4.0M1.098.8935,23238,280666,729443,987
2009-04-09$30.69$29.0054.5%15.6%54.9%34.6%55.1%6.2%-1.1%10.5M-293.7M-4.1M1.049.7820,09120,953676,540450,939
2009-04-13$29.68$29.0056.8%16.3%55.8%38.0%57.8%5.1%-3.3%8.3M-154.0M-3.9M0.869.6229,42525,418675,874453,583
2009-04-14$29.21$29.0057.0%16.3%55.8%38.3%57.1%5.6%-2.4%7.1M-97.7M-3.8M0.757.8033,69325,434677,039457,795
2009-04-15$29.31$29.0055.2%15.8%53.8%35.6%55.2%5.0%-2.4%7.4M-82.7M-3.7M1.407.3343,80861,407681,103469,138
2009-04-16$29.29$29.0053.5%15.3%53.8%33.2%53.4%4.7%-1.2%8.9M-67.3M-3.6M0.9010.3539,90635,747676,596472,709
2009-04-17$29.45$29.0051.9%14.9%53.0%30.9%51.5%4.7%-1.9%7.0M-107.0M-3.7M0.948.6832,28430,418693,431488,270
2009-04-20$27.22$29.0056.2%16.1%59.3%37.1%56.3%3.4%-2.2%170.8K4.4M-3.5M0.675.4167,32645,355399,056284,284
2009-04-21$27.33$29.0054.9%15.7%57.6%35.3%55.0%5.3%-2.0%674.3K-28.2M-3.8M1.217.8228,92235,042437,443311,321
2009-04-22$27.34$29.0052.4%15.0%57.7%31.7%52.5%2.9%-1.0%205.3K-24.6M-3.8M0.6210.2020,27212,528448,138329,237
2009-04-23$27.88$29.0052.2%15.0%58.4%31.3%53.2%5.0%-0.3%974.1K-71.0M-4.0M2.189.5214,90432,524456,288335,359
2009-04-24$28.90$29.0051.5%14.8%59.2%30.4%51.5%5.2%-1.3%2.2M-159.9M-4.1M0.486.3727,90013,420463,263358,357
2009-04-27$28.08$29.0057.3%16.4%58.5%38.7%58.2%6.0%-5.9%1.5M-89.0M-4.1M0.817.7732,44226,277473,648360,853
2009-04-28$27.85$29.0057.5%16.5%53.3%39.0%57.4%4.5%-6.4%1.3M-71.2M-4.0M0.818.6019,45215,837486,659369,927
2009-04-29$28.56$29.0053.5%15.3%54.0%33.2%54.6%6.4%-3.5%3.1M-151.3M-4.1M0.849.5419,29716,214494,942377,036
2009-04-30$28.63$29.0052.0%14.9%53.7%31.1%52.6%4.4%-3.2%3.0M-154.8M-4.2M0.865.9313,05911,209503,655385,452