USO Options History — December 2009

In December 2009, USO traded between $35.48 and $39.62. ATM implied volatility averaged 33.3%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.8% (HV 20d: 26.5%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-12-18: Highest Volume — 90,294 contracts
  • 2009-12-07: Largest IV spike — 7.4% change
  • 2009-12-11: Highest IV Rank — 9.6%
  • 2009-12-09: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.40$35.48$39.62$39.62$39.28
Max Pain$35.55$35.00$39.00$39.00$35.00
ATM IV33.3%28.2%38.4%32.7%29.9%
Expected Move9.7%8.1%11.1%9.4%8.6%
HV 20d26.5%23.8%28.8%28.7%23.8%
HV 60d31.3%28.2%35.1%35.1%28.2%
IV Rank3.0%0.0%9.6%0.3%3.0%
IV Percentile4.2%0.0%18.3%0.4%2.0%
Term Structure3.0%1.8%4.2%3.7%3.0%
VWIV34.8%29.2%39.8%34.0%30.4%
Skew 25d3.3%1.9%4.1%4.1%1.9%
Skew 10d6.9%4.0%9.7%8.2%4.0%
Call IV 25d33.2%28.0%38.7%31.8%30.0%
Put IV 25d36.5%30.7%41.2%35.9%31.9%
Bid-Ask Spread %1.821.154.143.771.35
Gamma HHI0.090.070.130.070.13
Net GEX4.1M-6.3M15.9M11.8M15.8M
Net DEX-254.0M-586.2M42.4M-453.2M-586.2M
Net VEX-3.6M-4.0M-3.5M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.521.630.700.60
Total Volume45,447.68221,42490,29444,10339,110
Total OI993,121.091883,1701,089,787883,1701,038,016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$39.62$39.0032.7%9.4%28.7%0.3%34.0%4.1%3.7%11.8M-453.2M-3.7M0.703.7725,98418,119520,954362,216
2009-12-02$38.84$39.0033.0%9.4%28.8%0.6%34.2%2.7%3.8%8.3M-381.2M-3.5M1.013.5015,17415,337526,314368,834
2009-12-03$38.52$39.0032.3%9.2%28.5%0.0%33.2%3.1%4.2%6.9M-341.3M-3.5M0.874.1421,37018,494529,795373,160
2009-12-04$38.33$35.0033.7%10.6%28.5%2.1%37.9%3.7%3.1%6.4M-307.2M-4.0M0.951.8517,31616,441553,358396,141
2009-12-07$37.49$35.0036.1%11.0%28.0%5.8%38.9%3.5%2.5%2.1M-207.5M-3.6M0.861.8517,91015,363545,893388,771
2009-12-08$36.85$35.0035.4%10.9%27.1%4.6%39.0%3.8%3.1%-604.7K-105.1M-3.7M0.751.7823,26417,364549,410394,930
2009-12-09$35.87$35.0036.2%11.1%28.2%5.9%39.8%2.5%2.5%-3.8M-4.5M-3.6M1.051.3439,86441,933553,139399,250
2009-12-10$35.73$35.0037.4%10.7%28.0%7.9%38.7%3.8%4.1%-5.1M12.2M-3.5M0.971.5234,49433,504564,721418,723
2009-12-11$35.48$35.0038.4%11.0%26.3%9.6%38.6%3.9%2.7%-5.6M42.4M-3.7M1.081.4928,95231,414579,824435,084
2009-12-14$35.58$35.0036.7%10.5%26.4%6.8%37.1%3.9%3.9%-6.3M19.6M-3.6M0.971.5025,64024,818584,667448,421
2009-12-15$35.93$35.0036.5%10.5%23.8%6.6%37.0%3.2%1.8%-4.7M-41.8M-3.7M0.751.4526,38919,720591,949454,678
2009-12-16$36.74$35.0034.4%9.9%25.6%3.4%35.4%3.5%2.6%-146.9K-185.0M-3.7M0.671.7833,81522,652602,574461,581
2009-12-17$36.36$35.0034.0%9.7%25.4%2.8%34.5%3.2%2.1%-1.5M-114.2M-3.7M1.071.8424,09825,770607,885463,886
2009-12-18$36.66$35.0034.4%9.9%24.8%3.6%35.4%3.9%2.3%240.9K-174.0M-3.7M1.431.8437,13853,156616,084473,703
2009-12-21$36.16$35.0033.8%9.7%25.0%2.5%34.3%3.1%2.4%1.8M-154.3M-3.6M1.121.6719,54821,869548,207419,718
2009-12-22$36.56$35.0031.5%9.0%25.6%0.0%32.6%3.5%2.8%3.2M-202.5M-3.6M1.631.2315,32724,982555,942427,492
2009-12-23$37.74$35.0029.5%8.5%27.7%0.0%31.0%3.0%3.0%7.9M-358.3M-3.7M0.561.2921,64212,034561,289444,919
2009-12-24$38.20$35.0029.3%8.4%26.6%0.0%31.0%3.3%3.0%10.4M-427.4M-3.6M0.901.2011,27610,148566,278446,790
2009-12-28$38.86$35.0029.8%8.5%25.8%0.8%31.7%2.9%2.5%14.0M-524.9M-3.5M0.781.2418,49914,446569,393449,632
2009-12-29$38.84$35.0029.2%8.4%25.1%0.0%31.2%2.4%2.7%14.2M-526.7M-3.5M0.521.2918,7779,814571,414451,949
2009-12-30$39.14$35.0028.2%8.1%24.8%0.0%29.2%2.7%3.3%15.9M-568.0M-3.5M1.101.1517,53719,347578,802452,878
2009-12-31$39.28$35.0029.9%8.6%23.8%3.0%30.4%1.9%3.0%15.8M-586.2M-3.5M0.601.3524,42214,688581,733456,283