USO Options History — June 2009 In June 2009, USO traded between $36.25 and $39.68. ATM implied volatility averaged 41.8%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.3% (HV 20d: 34.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.14.
Notable Days 2009-06-10 : Highest Volume — 115,114 contracts2009-06-25 : Largest IV drop — 9.9% change2009-06-22 : Highest IV Rank — 12.8%2009-06-22 : Largest Expected Move — 12.8%Monthly Statistics Metric Avg Min Max Open Close Price $37.98 $36.25 $39.68 $37.43 $37.93 Max Pain $32.64 $30.00 $35.00 $32.00 $35.00 ATM IV 41.8% 36.4% 44.7% 40.3% 37.9% Expected Move 12.0% 10.4% 12.8% 11.5% 10.9% HV 20d 34.4% 29.2% 37.3% 33.5% 37.3% HV 60d 44.8% 39.7% 49.2% 49.2% 40.0% IV Rank 8.2% 0.0% 12.8% 5.7% 2.3% IV Percentile 12.5% 0.0% 25.8% 5.6% 1.6% Term Structure 1.3% -0.4% 3.7% 0.8% 3.2% VWIV 42.7% 37.7% 46.4% 41.4% 39.1% Skew 25d 5.3% 4.4% 6.8% 4.5% 4.9% Skew 10d 10.7% 7.7% 19.7% 19.7% 9.8% Call IV 25d 39.9% 35.4% 42.9% 38.1% 37.1% Put IV 25d 45.2% 40.3% 48.0% 42.7% 41.9% Bid-Ask Spread % 6.96 4.91 10.65 7.84 4.99 Gamma HHI 0.12 0.09 0.43 0.10 0.11 Net GEX 13.5M 6.2M 33.7M 15.8M 7.2M Net DEX -932.1M -1.28B -532.7M -1.02B -638.5M Net VEX -5.1M -5.4M -4.8M -4.8M -5.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.14 0.43 3.25 0.51 0.82 Total Volume 58,377.955 18,872 115,114 74,545 45,996 Total OI 1,043,010.773 933,026 1,143,295 953,809 1,050,422
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 2009-06-01 $37.43 $32.00 40.3% 11.5% 33.5% 5.7% 41.4% 4.5% 0.8% 15.8M -1.02B -4.8M 0.51 7.84 49,254 25,291 570,353 383,456 2009-06-02 $37.61 $32.00 39.3% 11.3% 32.8% 4.1% 40.6% 5.6% 0.2% 16.0M -1.02B -4.8M 0.45 6.70 32,057 14,293 570,304 390,676 2009-06-03 $36.25 $32.00 42.5% 12.2% 35.9% 9.2% 42.5% 5.0% 0.3% 14.9M -854.3M -4.8M 1.21 8.69 29,804 36,061 575,831 394,989 2009-06-04 $37.69 $32.00 42.9% 12.3% 35.6% 9.8% 44.0% 5.8% -0.4% 16.0M -1.04B -4.9M 0.60 10.65 38,124 22,944 582,368 400,235 2009-06-05 $37.40 $30.00 42.9% 12.4% 36.0% 9.8% 43.9% 5.1% 0.4% 16.3M -1.01B -4.9M 1.07 9.07 23,362 25,062 592,213 408,483 2009-06-08 $37.54 $30.00 43.8% 12.5% 35.0% 11.3% 44.4% 5.0% -0.1% 16.4M -1.01B -4.9M 0.43 6.95 47,862 20,810 593,583 415,154 2009-06-09 $38.19 $30.00 43.0% 12.3% 34.8% 10.0% 42.7% 5.0% 1.6% 16.7M -1.11B -5.0M 0.94 7.74 21,721 20,513 607,704 426,166 2009-06-10 $38.97 $30.00 41.7% 12.4% 35.1% 8.0% 44.1% 6.2% 1.7% 16.6M -1.18B -5.1M 0.71 5.93 67,360 47,754 606,338 436,085 2009-06-11 $39.68 $31.00 43.1% 12.4% 34.2% 10.2% 44.9% 6.8% 0.7% 15.9M -1.28B -5.3M 1.24 8.30 40,399 49,974 629,095 462,408 2009-06-12 $39.43 $33.00 43.7% 12.5% 34.7% 11.1% 44.3% 6.6% 1.1% 13.7M -1.21B -5.4M 1.40 6.94 27,405 38,251 632,433 488,686 2009-06-15 $38.52 $33.00 43.1% 12.4% 33.0% 10.2% 43.6% 5.3% 1.0% 10.9M -1.07B -5.3M 1.28 6.96 30,330 38,967 636,314 502,305 2009-06-16 $38.51 $33.00 44.3% 12.7% 30.6% 12.2% 44.7% 5.2% 0.9% 12.6M -1.09B -5.3M 0.96 6.99 26,886 25,899 636,928 494,555 2009-06-17 $38.70 $33.00 43.9% 12.6% 30.6% 11.5% 45.1% 5.1% 1.1% 12.5M -1.10B -5.3M 1.03 7.61 24,994 25,760 636,929 499,899 2009-06-18 $38.85 $33.00 43.5% 12.5% 29.2% 10.8% 44.3% 4.7% 1.4% 14.1M -1.12B -5.2M 0.84 5.71 18,220 15,324 637,531 499,960 2009-06-19 $37.97 $33.00 42.1% 12.1% 30.2% 8.7% 42.6% 4.8% 1.8% 33.7M -962.0M -5.1M 0.99 6.25 37,496 36,986 640,038 503,257 2009-06-22 $36.25 $34.00 44.7% 12.8% 35.5% 12.8% 46.4% 4.8% 1.2% 8.2M -532.7M -5.0M 1.13 5.57 35,000 39,611 542,837 390,189 2009-06-23 $37.41 $34.00 43.6% 12.5% 36.7% 11.0% 43.9% 5.4% 1.4% 9.6M -658.6M -5.1M 3.25 7.44 19,932 64,735 551,103 412,260 2009-06-24 $37.09 $34.00 41.9% 12.0% 36.9% 8.2% 42.1% 5.6% 1.0% 6.2M -560.3M -5.3M 2.37 5.69 9,644 22,836 557,086 461,636 2009-06-25 $38.05 $34.00 37.7% 10.8% 37.1% 1.7% 38.4% 5.3% 2.9% 7.9M -681.4M -5.2M 1.00 4.91 20,534 20,445 559,786 473,224 2009-06-26 $37.51 $35.00 36.4% 10.4% 36.3% 0.0% 37.7% 5.0% 3.7% 7.0M -597.2M -5.3M 1.40 5.18 7,874 10,998 564,105 481,227 2009-06-29 $38.67 $35.00 36.9% 10.6% 36.6% 0.7% 37.9% 4.4% 3.3% 9.4M -761.3M -5.1M 1.37 6.90 11,614 15,933 565,263 482,823 2009-06-30 $37.93 $35.00 37.9% 10.9% 37.3% 2.3% 39.1% 4.9% 3.2% 7.2M -638.5M -5.2M 0.82 4.99 25,224 20,772 565,418 485,004
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