USO Options History — July 2009

In July 2009, USO traded between $32.11 and $37.46. ATM implied volatility averaged 43.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 4.6% (HV 20d: 38.4%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-07-29: Highest Volume — 170,506 contracts
  • 2009-07-29: Largest IV spike — 12.4% change
  • 2009-07-08: Highest IV Rank — 19.9%
  • 2009-07-08: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.54$32.11$37.46$37.46$36.81
Max Pain$36.32$35.00$39.00$35.00$35.00
ATM IV43.0%38.7%49.0%39.0%42.7%
Expected Move12.5%11.1%14.4%11.2%12.3%
HV 20d38.4%34.7%46.8%35.0%46.8%
HV 60d38.4%35.9%40.2%39.7%39.5%
IV Rank10.4%3.6%19.9%4.0%10.0%
IV Percentile17.5%4.8%36.5%4.8%15.9%
Term Structure1.0%-0.7%2.2%2.1%0.1%
VWIV44.4%38.7%51.6%38.7%44.3%
Skew 25d5.2%3.6%6.9%3.8%6.6%
Skew 10d9.5%6.6%14.1%8.0%11.4%
Call IV 25d41.7%36.4%48.5%37.0%40.4%
Put IV 25d46.9%40.8%54.0%40.8%47.0%
Bid-Ask Spread %9.334.5413.464.548.02
Gamma HHI0.100.090.110.110.09
Net GEX-655.9K-6.6M5.7M5.7M3.6M
Net DEX-164.4M-559.0M124.1M-559.0M-446.4M
Net VEX-4.8M-5.5M-4.5M-5.1M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.211.841.061.73
Total Volume46,165.04511,008170,50643,32324,203
Total OI984,409.364760,2531,145,8471,055,436990,218

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$37.46$35.0039.0%11.2%35.0%4.0%38.7%3.8%2.1%5.7M-559.0M-5.1M1.064.5421,08122,242562,093493,343
2009-07-02$36.05$35.0041.1%11.8%34.8%7.4%41.3%4.0%2.2%2.5M-352.6M-5.1M1.194.9128,12833,470565,701496,986
2009-07-06$34.71$39.0045.9%13.4%37.0%15.0%46.9%5.9%0.2%-700.3K-162.1M-5.0M0.8411.6132,66627,337572,092505,011
2009-07-07$33.81$38.0047.2%13.6%37.8%17.0%48.5%5.4%0.8%-1.9M-50.3M-4.9M1.4710.6220,05029,407579,178507,621
2009-07-08$32.57$38.0049.0%14.4%38.4%19.9%51.6%5.5%0.2%-3.8M69.9M-4.7M1.6211.2224,78340,200580,442510,808
2009-07-09$32.77$38.0046.5%14.1%37.4%15.9%50.2%5.1%1.3%-4.4M55.5M-4.8M1.0911.4421,30223,159584,779521,829
2009-07-10$32.38$37.0044.6%14.2%36.0%13.0%50.1%4.7%0.2%-4.7M100.1M-4.7M1.2710.4617,71222,505589,198522,947
2009-07-13$32.37$37.0048.1%13.7%36.2%18.5%48.1%4.8%1.4%-5.9M109.7M-4.5M1.179.3225,82230,319587,882528,677
2009-07-14$32.11$37.0044.6%13.4%35.8%13.0%46.6%3.6%1.8%-6.6M124.1M-4.5M1.158.8018,77521,536598,986531,672
2009-07-15$33.47$37.0040.7%12.9%40.0%6.7%45.2%4.3%1.0%-3.4M-40.9M-4.7M0.7410.0525,14618,723600,383539,891
2009-07-16$33.56$37.0043.2%12.4%39.9%10.7%44.6%4.7%2.1%-2.2M-64.6M-4.7M0.9010.9220,33318,219604,677541,170
2009-07-17$34.24$37.0043.2%12.4%40.9%10.7%43.1%4.4%1.1%-358.2K-158.0M-4.7M0.8710.1525,04121,768599,759535,148
2009-07-20$34.83$36.0041.4%11.9%41.2%7.9%41.9%5.4%0.4%-223.5K-192.4M-4.6M0.7710.6320,31415,722420,467339,786
2009-07-21$34.94$36.0041.1%11.8%38.2%7.5%42.1%5.0%0.7%311.8K-210.7M-4.7M0.998.1216,04215,846431,567347,154
2009-07-22$34.81$35.0041.8%12.0%36.1%8.5%43.4%5.2%0.8%219.6K-196.7M-4.7M1.4413.4611,38116,411440,582356,422
2009-07-23$35.79$35.0039.8%11.4%37.7%5.3%40.6%5.3%1.4%1.3M-300.5M-4.8M0.7710.8914,79211,393446,415363,939
2009-07-24$36.22$35.0038.7%11.1%36.7%3.6%39.6%5.6%2.1%1.9M-349.7M-4.8M0.728.006,4064,602450,150369,124
2009-07-27$36.32$35.0039.5%11.3%36.4%4.8%40.6%5.4%1.7%2.2M-363.2M-4.7M1.158.546,8827,916451,566369,374
2009-07-28$35.76$36.0039.6%11.4%34.7%5.0%40.8%6.9%1.1%1.1M-290.7M-4.7M1.848.127,19413,248452,453372,783
2009-07-29$33.47$36.0044.5%12.8%40.9%12.8%44.2%6.3%-0.1%-1.8M-39.9M-4.5M0.216.16141,34829,158455,873377,573
2009-07-30$35.49$35.0043.9%12.6%46.8%11.9%43.6%6.8%-0.7%2.4M-297.9M-5.2M1.609.3524,21538,834568,201393,086
2009-07-31$36.81$35.0042.7%12.3%46.8%10.0%44.3%6.6%0.1%3.6M-446.4M-5.5M1.738.028,88015,323576,960413,258