USO Options History — November 2009

In November 2009, USO traded between $38.50 and $40.99. ATM implied volatility averaged 35.6%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 3.2% (HV 20d: 32.3%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2009-11-25: Highest Volume — 56,719 contracts
  • 2009-11-27: Largest IV spike — 12.4% change
  • 2009-11-27: Highest IV Rank — 6.0%
  • 2009-11-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.88$38.50$40.99$39.97$39.15
Max Pain$39.60$38.00$41.00$38.00$39.00
ATM IV35.6%32.5%38.9%38.9%35.7%
Expected Move10.2%9.3%11.1%11.1%10.2%
HV 20d32.3%29.0%33.9%31.5%29.0%
HV 60d35.9%34.5%37.6%37.4%35.1%
IV Rank1.9%0.0%6.0%4.8%4.7%
IV Percentile2.4%0.0%10.7%10.7%4.0%
Term Structure1.6%0.3%3.0%0.3%2.2%
VWIV36.0%32.4%39.4%39.4%36.3%
Skew 25d2.4%0.9%3.1%2.5%2.8%
Skew 10d4.4%1.3%5.9%4.3%5.2%
Call IV 25d34.8%30.9%38.5%38.5%34.9%
Put IV 25d37.2%34.1%41.0%41.0%37.7%
Bid-Ask Spread %4.042.895.165.133.97
Gamma HHI0.080.060.110.060.07
Net GEX14.9M7.8M24.4M13.3M9.9M
Net DEX-553.8M-720.6M-333.1M-573.7M-403.9M
Net VEX-3.9M-4.4M-3.5M-4.2M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.421.090.880.42
Total Volume39,650.3517,85956,71943,68944,561
Total OI953,979.7807,6021,021,941942,034873,748

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$39.97$38.0038.9%11.1%31.5%4.8%39.4%2.5%0.3%13.3M-573.7M-4.2M0.885.1323,28020,409557,310384,724
2009-11-03$40.62$39.0038.5%11.1%31.7%4.3%39.3%2.1%0.5%14.9M-633.7M-4.4M0.914.1713,97412,709560,637391,626
2009-11-04$40.99$39.0037.6%10.8%30.7%2.8%38.0%0.9%0.9%17.2M-720.6M-4.2M0.945.1622,69821,244566,061394,381
2009-11-05$40.80$38.0035.4%10.2%30.5%0.0%35.9%1.1%1.3%18.8M-702.1M-4.3M0.574.6816,5509,456576,138395,234
2009-11-06$39.70$41.0035.5%10.4%32.4%0.1%36.4%2.7%2.2%14.9M-544.4M-4.2M0.774.6622,46117,213581,034394,787
2009-11-09$40.50$40.0037.2%10.5%32.8%2.7%37.7%3.0%1.7%18.4M-668.6M-4.1M0.574.4522,87313,057583,398398,914
2009-11-10$40.41$40.0035.8%10.3%32.7%0.6%36.1%2.6%1.2%18.1M-654.9M-3.9M0.924.8017,70816,349583,539401,814
2009-11-11$40.55$40.0034.7%10.0%32.5%0.0%35.5%2.6%1.5%20.1M-667.5M-4.0M0.724.6610,3847,475590,412403,945
2009-11-12$39.27$40.0036.8%10.5%32.6%3.3%37.3%2.8%1.3%12.8M-480.0M-3.9M0.904.1323,93821,619592,673405,141
2009-11-13$39.12$40.0036.6%10.5%32.1%3.0%37.0%2.7%1.5%12.1M-455.2M-3.9M0.493.9928,55213,901597,455409,446
2009-11-16$40.29$40.0035.7%10.2%33.9%1.6%36.2%2.8%1.1%20.6M-638.6M-3.9M1.093.8521,23423,193599,607412,478
2009-11-17$40.48$40.0035.4%10.1%33.8%1.0%35.2%2.7%1.1%22.0M-674.1M-3.7M0.523.2015,7008,204600,788416,023
2009-11-18$40.67$40.0033.5%9.6%32.7%0.0%33.9%1.8%1.6%24.4M-707.8M-3.7M0.843.4723,32319,660601,413416,059
2009-11-19$39.66$40.0034.6%9.9%33.8%1.7%35.0%1.9%1.9%14.7M-525.9M-3.7M0.792.8917,76413,993604,088417,853
2009-11-20$39.42$40.0034.3%9.8%33.5%1.2%34.5%1.9%2.5%8.9M-484.3M-3.6M0.884.0322,35019,572603,602417,001
2009-11-23$39.38$40.0032.7%9.4%32.9%0.0%32.6%2.8%2.1%10.3M-426.3M-3.5M0.763.4028,05221,359484,754322,848
2009-11-24$38.58$40.0033.1%9.5%33.3%0.6%33.5%2.4%3.0%7.8M-338.1M-3.5M0.552.9232,32617,748494,029333,803
2009-11-25$39.50$39.0032.5%9.3%33.0%0.0%32.4%3.1%2.9%11.4M-443.0M-3.7M0.633.4834,88321,836506,909341,840
2009-11-27$38.50$39.0036.5%10.5%31.4%6.0%37.2%2.9%1.9%8.0M-333.1M-3.7M0.793.7728,76722,632513,535350,547
2009-11-30$39.15$39.0035.7%10.2%29.0%4.7%36.3%2.8%2.2%9.9M-403.9M-3.7M0.423.9731,31113,250515,679358,069