USO Options History — February 2010

In February 2010, USO traded between $35.09 and $39.09. ATM implied volatility averaged 31.5%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 0.1% (HV 20d: 31.6%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-02-05: Highest Volume — 118,263 contracts
  • 2010-02-04: Largest IV spike — 20.5% change
  • 2010-02-08: Highest IV Rank — 22.4%
  • 2010-02-05: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.40$35.09$39.09$36.72$38.82
Max Pain$37.42$37.00$38.00$38.00$38.00
ATM IV31.5%27.3%36.9%27.3%27.8%
Expected Move9.1%7.8%10.7%7.8%8.0%
HV 20d31.6%25.3%35.4%25.7%34.6%
HV 60d27.6%25.9%28.3%25.9%27.9%
IV Rank11.9%3.9%22.4%3.9%4.8%
IV Percentile11.1%1.6%25.8%1.6%2.4%
Term Structure0.7%-0.7%3.0%3.0%1.6%
VWIV32.4%28.0%37.4%28.0%28.7%
Skew 25d3.3%2.3%4.6%2.4%3.6%
Skew 10d6.0%4.1%9.2%4.7%6.1%
Call IV 25d31.0%26.9%36.4%26.9%27.0%
Put IV 25d34.3%29.2%40.1%29.2%30.6%
Bid-Ask Spread %3.902.955.732.953.36
Gamma HHI0.100.080.120.080.11
Net GEX11.8M-2.5M27.6M105.4K18.7M
Net DEX-124.7M-544.2M245.5M67.9M-309.2M
Net VEX-4.5M-4.7M-4.2M-4.2M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.451.690.471.69
Total Volume71,963.21138,879118,26379,08744,914
Total OI1,000,410.947864,2881,105,795864,2881,001,173

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$36.72$38.0027.3%7.8%25.7%3.9%28.0%2.4%3.0%105.4K67.9M-4.2M0.472.9553,68025,407460,345403,943
2010-02-02$37.53$38.0027.8%8.0%25.3%4.8%28.8%4.0%2.0%9.7M-154.5M-4.4M0.533.1549,20725,865497,230407,689
2010-02-03$37.65$38.0029.9%8.6%25.3%8.9%30.7%2.3%2.4%9.5M-131.1M-4.6M1.643.1037,41361,445515,634414,212
2010-02-04$35.80$38.0036.1%10.3%29.4%20.8%36.5%2.3%-0.7%-692.3K170.9M-4.4M1.133.2844,80650,550521,783443,582
2010-02-05$35.21$37.0036.5%10.7%29.6%21.7%37.4%3.7%-0.7%-2.5M242.5M-4.4M1.055.7357,65860,605532,390447,493
2010-02-08$35.09$37.0036.9%10.6%29.2%22.4%37.2%3.1%-0.6%-2.4M245.5M-4.3M0.644.6123,72815,151554,657465,160
2010-02-09$36.21$37.0034.3%10.3%32.4%17.4%36.5%3.3%-0.1%4.8M70.3M-4.6M0.595.0248,51728,665567,291464,847
2010-02-10$36.51$37.0032.1%9.9%32.1%13.1%35.4%2.9%-0.1%6.7M13.2M-4.6M0.883.7734,42130,136576,858469,383
2010-02-11$36.78$37.0033.0%9.5%32.2%14.9%33.8%3.1%0.4%9.6M-40.4M-4.6M0.734.2425,67918,769586,973472,945
2010-02-12$36.31$37.0033.3%9.5%32.4%15.4%33.8%3.8%0.6%5.0M63.5M-4.6M1.394.6319,46827,153591,818477,798
2010-02-16$37.79$37.0032.4%9.3%35.4%13.7%33.0%4.0%0.1%18.0M-217.8M-4.5M0.453.9559,06626,506596,363474,301
2010-02-17$37.97$37.0031.7%9.1%35.1%12.3%32.6%4.6%0.7%22.9M-276.5M-4.6M0.603.5937,46222,604618,118472,520
2010-02-18$38.73$37.0029.5%8.5%34.5%8.2%30.7%3.6%1.0%27.6M-438.7M-4.5M0.823.9740,38033,207614,149478,151
2010-02-19$39.09$37.0031.3%9.0%33.9%11.7%31.9%3.0%-0.1%25.5M-544.2M-4.5M0.593.7660,96635,881619,655486,140
2010-02-22$39.03$37.0029.7%8.5%32.4%8.5%30.0%2.5%1.2%22.2M-376.2M-4.5M0.903.6043,64739,183510,740396,908
2010-02-23$38.33$38.0030.8%8.8%33.1%10.7%31.0%3.6%0.7%16.2M-229.5M-4.6M1.023.9226,49426,958520,170415,801
2010-02-24$38.99$38.0028.7%8.2%33.2%6.6%29.4%3.9%1.5%20.0M-347.7M-4.5M0.893.6429,63326,503531,482422,536
2010-02-25$38.11$38.0029.1%8.4%34.1%7.4%29.7%3.1%1.2%13.0M-176.8M-4.6M1.473.7830,62444,950543,773433,797
2010-02-26$38.82$38.0027.8%8.0%34.6%4.8%28.7%3.6%1.6%18.7M-309.2M-4.7M1.693.3616,72328,191552,515448,658