USO Options History — September 2009

In September 2009, USO traded between $33.97 and $37.49. ATM implied volatility averaged 41.8%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.4% (HV 20d: 39.4%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2009-09-24: Highest Volume — 79,415 contracts
  • 2009-09-24: Largest IV spike — 7.3% change
  • 2009-09-24: Highest IV Rank — 12.7%
  • 2009-09-24: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.87$33.97$37.49$35.27$36.19
Max Pain$35.24$34.00$37.00$37.00$35.00
ATM IV41.8%39.1%44.4%42.0%42.5%
Expected Move12.1%11.2%12.7%12.0%12.2%
HV 20d39.4%35.9%44.2%36.4%44.2%
HV 60d40.5%39.0%41.7%39.6%41.5%
IV Rank8.5%4.3%12.7%8.7%9.6%
IV Percentile16.9%5.6%33.3%13.5%20.6%
Term Structure1.2%-1.1%4.2%4.2%1.4%
VWIV42.5%39.2%45.0%42.8%43.3%
Skew 25d2.9%1.5%4.5%2.0%4.0%
Skew 10d5.3%3.2%8.5%4.9%7.0%
Call IV 25d41.1%37.9%43.6%42.3%41.6%
Put IV 25d44.1%41.2%46.7%44.3%45.6%
Bid-Ask Spread %6.714.778.688.194.98
Gamma HHI0.070.060.110.060.06
Net GEX2.3M-3.0M8.7M1.3M5.2M
Net DEX-255.0M-474.8M-37.3M-181.6M-343.3M
Net VEX-4.6M-4.9M-4.2M-4.9M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.432.211.640.68
Total Volume40,023.66718,78679,41541,42461,425
Total OI1,027,775.381930,5661,078,510995,8241,078,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$35.27$37.0042.0%12.0%36.4%8.7%42.8%2.0%4.2%1.3M-181.6M-4.9M1.648.1915,70225,722582,755413,069
2009-09-02$35.18$37.0040.8%11.7%36.2%7.0%40.7%1.8%3.9%966.1K-162.5M-4.8M1.238.4515,78419,408587,049415,284
2009-09-03$35.32$37.0039.4%11.3%36.3%4.7%39.2%4.1%4.1%762.1K-165.0M-4.8M1.737.148,73715,080590,359423,270
2009-09-04$35.13$35.0039.1%12.4%36.0%4.3%43.7%3.5%0.5%-155.9K-135.3M-4.8M2.217.235,85712,929592,541431,306
2009-09-08$36.94$35.0041.9%12.5%40.7%8.7%44.7%4.5%-1.1%5.3M-367.0M-4.8M1.328.6818,12923,865593,211435,784
2009-09-09$36.94$34.0043.4%12.6%39.9%11.0%44.5%4.4%-0.1%5.1M-374.6M-4.8M1.187.0415,42418,167596,200439,736
2009-09-10$37.37$35.0042.8%12.3%39.8%10.1%43.5%4.1%0.7%6.8M-433.6M-4.8M1.398.0514,52720,188595,951441,933
2009-09-11$35.82$35.0043.6%12.5%42.3%11.3%44.0%3.6%0.3%1.0M-221.7M-4.7M1.506.7216,50324,694601,760447,034
2009-09-14$35.71$35.0043.5%12.5%38.8%11.1%44.2%3.2%0.6%-50.7K-197.3M-4.5M1.155.8712,51714,340605,164450,356
2009-09-15$36.70$35.0042.0%12.0%39.6%8.8%42.9%3.3%0.3%3.8M-338.9M-4.5M1.237.4516,45020,157607,703454,485
2009-09-16$37.43$35.0040.9%11.7%38.0%7.1%41.8%3.5%1.0%8.1M-461.3M-4.5M1.145.6615,81818,065610,195457,650
2009-09-17$37.49$35.0040.6%11.6%36.0%6.6%40.6%2.3%1.1%8.7M-474.8M-4.5M1.217.8912,31714,865613,201461,083
2009-09-18$37.12$35.0039.9%11.4%35.9%5.4%40.1%1.9%1.3%606.7K-427.5M-4.4M1.434.7711,56616,528613,814464,315
2009-09-21$35.85$35.0040.4%11.6%37.3%6.3%41.4%2.2%1.3%3.0M-252.4M-4.3M1.386.8420,40928,124549,328381,238
2009-09-22$36.98$35.0039.1%11.2%39.2%4.3%39.6%2.8%1.1%5.6M-366.1M-4.3M0.605.0316,7329,963558,801396,309
2009-09-23$35.13$35.0041.4%11.9%41.9%7.9%41.1%2.0%0.6%645.0K-170.0M-4.2M1.057.9732,25833,931562,652399,427
2009-09-24$33.97$35.0044.4%12.7%43.3%12.7%45.0%2.8%0.1%-2.2M-42.0M-4.3M1.285.8734,84344,572576,148413,115
2009-09-25$34.00$35.0043.9%12.6%42.4%11.9%44.1%2.7%1.2%-3.0M-37.3M-4.5M0.435.3443,50718,917587,567434,385
2009-09-28$34.51$35.0043.2%12.4%43.0%10.7%43.3%1.5%1.0%-1.8M-108.3M-4.4M0.576.2225,28114,459614,731437,988
2009-09-29$34.31$35.0043.2%12.4%40.4%10.7%42.8%1.7%1.7%-1.9M-94.4M-4.5M0.625.5420,15012,587625,616442,260
2009-09-30$36.19$35.0042.5%12.2%44.2%9.6%43.3%4.0%1.4%5.2M-343.3M-4.6M0.684.9836,50924,916632,645445,865