USO Options History — October 2009

In October 2009, USO traded between $35.87 and $41.47. ATM implied volatility averaged 38.8%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.5% (HV 20d: 35.4%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-10-01: Highest Volume — 159,861 contracts
  • 2009-10-15: Largest IV spike — 14.2% change
  • 2009-10-01: Highest IV Rank — 9.0%
  • 2009-10-07: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.85$35.87$41.47$36.23$39.32
Max Pain$36.77$35.00$38.00$35.00$38.00
ATM IV38.8%35.8%42.1%42.1%38.0%
Expected Move11.6%10.5%12.7%12.1%10.9%
HV 20d35.4%24.8%44.4%44.2%31.2%
HV 60d39.1%35.3%40.8%40.7%37.5%
IV Rank4.4%0.0%9.0%9.0%3.4%
IV Percentile7.4%0.0%18.7%18.7%5.6%
Term Structure1.6%0.1%4.3%1.7%1.1%
VWIV40.8%36.9%44.6%42.9%38.5%
Skew 25d1.9%-0.5%4.7%4.7%2.5%
Skew 10d2.8%-1.1%6.8%4.7%2.8%
Call IV 25d40.0%36.3%43.1%40.9%37.8%
Put IV 25d41.9%37.3%46.7%45.6%40.3%
Bid-Ask Spread %8.765.1212.805.319.05
Gamma HHI0.090.060.230.060.06
Net GEX14.1M3.1M30.6M5.4M10.9M
Net DEX-610.1M-1.10B-292.2M-351.7M-494.4M
Net VEX-4.4M-4.7M-4.3M-4.7M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.171.790.171.09
Total Volume52,758.18218,887159,861159,86129,855
Total OI998,365.409830,9271,145,7791,087,650936,145

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$36.23$35.0042.1%12.1%44.2%9.0%42.9%4.7%1.7%5.4M-351.7M-4.7M0.175.31136,45823,403635,867451,783
2009-10-02$35.87$35.0041.6%11.9%44.4%8.2%41.9%3.2%3.0%3.1M-292.2M-4.5M0.915.1215,15413,858565,059457,848
2009-10-05$36.18$36.0042.0%12.6%44.4%8.8%44.1%3.9%0.1%4.3M-332.4M-4.3M0.736.5120,50914,928563,848458,714
2009-10-06$36.54$36.0041.9%12.6%40.7%8.6%44.3%3.5%0.2%6.7M-397.9M-4.4M0.325.9746,24214,608570,828462,857
2009-10-07$35.96$36.0040.5%12.7%41.1%6.4%44.6%2.5%0.6%3.8M-307.0M-4.4M0.827.4423,09019,028583,395468,766
2009-10-08$36.68$36.0038.0%12.5%41.5%2.5%43.2%3.1%2.0%9.3M-431.2M-4.4M0.627.9829,34218,092590,501474,074
2009-10-09$37.16$36.0036.4%12.3%38.7%0.0%43.0%3.3%2.4%12.2M-498.2M-4.4M1.268.1111,74614,742599,118476,128
2009-10-12$37.69$36.0040.9%12.5%38.9%7.1%43.8%2.8%1.5%15.5M-584.6M-4.3M0.489.1532,46915,725602,170478,670
2009-10-13$38.15$36.0038.2%12.3%38.0%2.9%43.5%2.6%2.3%19.4M-673.0M-4.4M0.718.1125,91618,376613,002480,855
2009-10-14$38.61$36.0035.8%12.4%37.6%0.0%42.8%1.9%1.8%22.3M-749.7M-4.4M0.617.9533,84520,585619,137484,733
2009-10-15$39.91$36.0040.9%11.7%39.3%8.0%41.3%1.3%2.0%30.6M-970.3M-4.4M0.439.3369,31829,808630,193492,907
2009-10-16$40.45$37.0037.6%10.8%39.1%2.8%38.3%1.2%4.3%28.1M-1.10B-4.3M0.669.6771,62247,272647,208498,571
2009-10-19$40.76$37.0037.1%10.6%36.3%2.0%37.7%-0.5%2.3%15.3M-712.2M-4.4M1.069.6018,72319,836505,920325,007
2009-10-20$40.39$37.0037.5%10.8%35.5%2.7%38.0%0.8%2.5%14.5M-667.3M-4.4M0.7610.5133,95725,754510,374332,147
2009-10-21$41.33$38.0038.8%11.1%29.2%4.7%39.7%0.7%0.9%15.7M-774.3M-4.5M0.437.2657,62624,918528,762345,467
2009-10-22$41.47$38.0038.8%11.1%24.8%4.7%39.1%0.5%0.9%17.3M-799.5M-4.6M1.079.079,1339,754560,103355,793
2009-10-23$40.91$38.0037.1%10.6%26.1%2.1%37.8%1.3%1.3%15.9M-722.9M-4.6M0.7310.0518,98913,872540,034359,449
2009-10-26$40.13$38.0038.6%11.1%27.8%4.5%39.0%1.0%0.7%14.5M-633.2M-4.5M1.7911.9714,62426,149546,440363,373
2009-10-27$40.59$38.0037.3%10.7%27.4%2.3%37.8%0.5%1.5%16.4M-704.8M-4.6M1.1412.8018,99221,740576,989379,765
2009-10-28$39.46$38.0038.6%11.1%24.8%4.5%39.3%0.8%0.7%12.1M-531.5M-4.5M1.6411.0510,60817,442572,686386,467
2009-10-29$40.90$38.0036.5%10.5%27.2%1.1%36.9%1.0%1.5%15.8M-696.0M-4.3M1.1010.7610,74311,829548,929383,957
2009-10-30$39.32$38.0038.0%10.9%31.2%3.4%38.5%2.5%1.1%10.9M-494.4M-4.4M1.099.0514,25815,597553,151382,994