USO Options History — May 2009

In May 2009, USO traded between $29.62 and $36.40. ATM implied volatility averaged 42.3%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 1.3% (HV 20d: 41.1%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-05-06: Highest Volume — 111,730 contracts
  • 2009-05-08: Largest IV drop — 12.5% change
  • 2009-05-04: Highest IV Rank — 27.0%
  • 2009-05-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.67$29.62$36.40$29.62$36.40
Max Pain$30.40$28.00$32.00$29.00$32.00
ATM IV42.3%36.7%49.2%48.7%38.2%
Expected Move12.1%10.5%14.0%14.0%10.9%
HV 20d41.1%33.4%48.0%46.5%33.9%
HV 60d59.3%49.8%64.0%63.3%49.8%
IV Rank12.7%0.0%27.0%26.3%2.4%
IV Percentile14.5%0.0%36.9%36.1%0.8%
Term Structure1.1%-1.2%3.6%-1.2%2.0%
VWIV42.8%37.9%49.8%49.8%38.6%
Skew 25d5.4%2.8%7.1%7.1%5.4%
Skew 10d10.1%7.8%14.3%12.1%14.3%
Call IV 25d39.8%35.1%46.6%46.6%36.0%
Put IV 25d45.2%39.0%53.7%53.7%41.4%
Bid-Ask Spread %11.357.4715.507.478.54
Gamma HHI0.090.080.110.080.09
Net GEX11.2M5.7M14.5M5.7M14.3M
Net DEX-572.2M-878.6M-276.3M-276.3M-878.6M
Net VEX-4.4M-4.7M-4.2M-4.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.291.550.800.42
Total Volume52,165.6523,327111,73036,48986,403
Total OI913,752.1767,3881,030,094897,404925,281

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$29.62$29.0048.7%14.0%46.5%26.3%49.8%7.1%-1.2%5.7M-276.3M-4.2M0.807.4720,31116,178508,002389,402
2009-05-04$30.56$28.0049.2%13.3%48.0%27.0%46.3%5.9%-0.1%8.4M-399.2M-4.2M0.7112.4232,81523,239514,707394,149
2009-05-05$30.15$28.0048.4%13.2%47.5%25.9%45.7%2.8%-0.2%8.9M-372.6M-4.2M0.7915.5013,25610,445529,434402,285
2009-05-06$31.43$28.0047.7%12.9%46.8%24.8%45.4%5.5%0.5%11.1M-540.2M-4.2M0.2912.7786,52325,207530,057406,693
2009-05-07$31.49$29.0046.9%13.2%46.4%23.7%46.0%5.4%-0.7%13.4M-596.2M-4.5M0.4414.9846,56720,474569,157407,962
2009-05-08$32.49$29.0041.0%12.4%45.6%15.2%43.5%6.1%-0.1%14.5M-703.6M-4.4M0.7212.6425,02517,933564,444411,483
2009-05-11$32.29$29.0044.2%12.7%43.7%19.7%45.1%5.1%0.1%14.3M-688.9M-4.3M0.8810.0319,99417,609565,927417,245
2009-05-12$32.63$30.0041.6%12.4%43.1%16.0%44.7%5.2%0.3%14.4M-715.8M-4.3M0.7112.1037,98927,057567,196423,189
2009-05-13$32.19$31.0044.5%12.8%43.7%20.1%44.9%5.9%1.4%13.4M-657.8M-4.4M0.659.8026,86017,383582,537435,308
2009-05-14$32.40$31.0044.1%12.7%43.6%19.7%45.1%4.8%1.0%13.2M-693.7M-4.4M0.8011.4124,15719,282586,706438,624
2009-05-15$31.30$31.0044.1%12.6%45.8%12.2%44.6%5.2%-0.3%8.4M-515.6M-4.2M0.9012.0028,28925,465584,623445,471
2009-05-18$32.71$31.0040.2%11.5%36.5%6.0%41.0%6.2%1.9%8.4M-429.6M-4.3M0.6510.3726,63917,394466,427300,961
2009-05-19$32.79$31.0039.5%11.3%36.6%5.0%40.0%5.3%1.9%9.6M-457.8M-4.3M1.559.0116,51125,581485,793310,844
2009-05-20$33.87$31.0038.3%11.0%37.3%3.1%39.6%4.8%3.0%10.2M-533.3M-4.4M0.9110.8637,56034,240485,599325,905
2009-05-21$33.38$32.0038.6%11.1%38.2%2.6%39.5%6.0%2.7%9.4M-488.3M-4.6M1.0310.5711,48411,843501,067346,095
2009-05-22$33.70$32.0038.3%11.0%36.9%2.0%39.2%5.9%2.1%10.1M-525.5M-4.5M0.7912.7213,66210,813501,738345,733
2009-05-26$34.11$32.0038.6%11.1%34.3%2.6%39.5%5.6%2.4%11.5M-588.0M-4.4M0.7911.4816,37912,984509,320345,617
2009-05-27$34.58$32.0038.0%10.9%33.6%0.0%39.4%6.1%2.1%12.3M-637.0M-4.4M0.7811.5928,61222,224512,768350,967
2009-05-28$35.34$32.0036.7%10.5%33.4%0.0%37.9%3.9%3.6%13.3M-746.2M-4.5M0.5610.7556,94431,982525,451360,875
2009-05-29$36.40$32.0038.2%10.9%33.9%2.4%38.6%5.4%2.0%14.3M-878.6M-4.7M0.428.5460,76625,637551,969373,312