USO Options History — March 2010

In March 2010, USO traded between $38.35 and $40.29. ATM implied volatility averaged 27.6%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.5% (HV 20d: 25.1%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-03-16: Highest Volume — 94,400 contracts
  • 2010-03-11: Largest IV spike — 6.8% change
  • 2010-03-15: Highest IV Rank — 10.2%
  • 2010-03-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$38.35$40.29$38.35$40.29
Max Pain$38.78$38.00$39.00$38.00$39.00
ATM IV27.6%25.1%29.6%29.6%25.1%
Expected Move8.0%7.2%8.5%8.5%7.2%
HV 20d25.1%20.2%34.4%34.4%21.3%
HV 60d27.1%26.6%27.9%27.9%26.7%
IV Rank5.2%0.0%10.2%8.2%0.0%
IV Percentile4.5%0.0%11.5%8.7%0.0%
Term Structure1.7%1.0%2.9%1.0%2.2%
VWIV28.7%25.6%31.3%29.6%25.6%
Skew 25d2.1%1.2%3.6%2.8%2.2%
Skew 10d3.8%1.6%6.3%4.7%3.2%
Call IV 25d27.7%24.9%29.5%28.4%24.9%
Put IV 25d29.8%27.1%31.4%31.2%27.1%
Bid-Ask Spread %3.141.995.003.854.26
Gamma HHI0.150.100.400.100.12
Net GEX22.9M6.1M48.5M13.9M18.7M
Net DEX-414.9M-622.3M-213.7M-213.7M-500.6M
Net VEX-4.6M-4.9M-4.4M-4.6M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.381.690.921.18
Total Volume53,409.8725,38894,40038,10066,046
Total OI1,069,321.609939,7881,176,5321,015,3231,066,640

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$38.35$38.0029.6%8.5%34.4%8.2%29.6%2.8%1.0%13.9M-213.7M-4.6M0.923.8519,86118,239555,916459,407
2010-03-02$38.80$38.0029.0%8.3%33.2%7.2%29.7%2.7%1.4%19.1M-321.0M-4.7M0.965.0027,84026,853562,918460,125
2010-03-03$39.40$38.0029.5%8.4%32.8%8.4%29.4%3.6%1.0%25.4M-432.6M-4.8M0.743.1540,83530,058572,011468,932
2010-03-04$39.15$38.0028.3%8.1%32.9%6.2%28.8%2.1%1.4%24.2M-388.8M-4.8M0.814.1821,08916,980591,369483,730
2010-03-05$39.85$38.0026.9%8.2%26.9%3.2%29.6%2.5%1.3%30.4M-525.9M-4.7M1.103.4119,63921,653587,433485,642
2010-03-08$39.79$39.0027.7%8.3%25.7%4.9%30.1%2.4%1.2%32.7M-525.1M-4.6M1.353.2510,81314,575598,574492,390
2010-03-09$39.55$39.0027.0%8.2%25.9%3.5%30.1%2.5%1.0%29.7M-460.0M-4.5M0.723.4422,99316,579601,587495,830
2010-03-10$39.90$39.0027.0%8.3%24.1%3.8%30.0%2.6%1.3%36.8M-560.2M-4.6M1.593.7919,45630,913615,748500,684
2010-03-11$40.05$39.0028.8%8.3%24.1%8.1%29.8%2.5%1.6%39.9M-592.7M-4.7M0.923.1518,25916,712619,995506,999
2010-03-12$39.51$39.0028.3%8.1%24.9%7.4%29.5%1.4%1.8%32.2M-451.8M-4.6M0.383.1467,53025,479618,793509,806
2010-03-15$38.83$39.0029.5%8.5%25.4%10.2%31.3%2.0%1.3%14.5M-259.6M-4.4M1.693.0216,01227,118583,236514,272
2010-03-16$39.79$39.0029.3%8.4%22.9%9.9%30.7%1.8%1.4%31.6M-493.1M-4.4M1.293.3041,25253,148584,334526,014
2010-03-17$40.23$39.0028.7%8.2%23.0%8.5%29.0%1.6%2.2%41.7M-622.3M-4.5M0.573.0740,96723,255601,214555,024
2010-03-18$39.92$39.0027.9%8.0%22.4%6.6%28.8%1.9%2.9%48.5M-541.4M-4.5M0.543.3646,42325,054607,955548,076
2010-03-19$39.20$39.0028.2%8.1%23.3%7.4%28.7%1.6%2.4%14.6M-378.3M-4.6M0.782.5737,31229,000623,604552,928
2010-03-22$39.56$39.0026.5%7.6%23.5%3.0%27.3%1.4%2.3%9.8M-337.5M-4.5M0.862.3541,00335,375492,046447,742
2010-03-23$39.70$39.0026.4%7.6%22.4%2.9%27.5%1.5%1.7%12.0M-380.0M-4.5M1.141.9918,64721,289510,949462,112
2010-03-24$38.94$39.0026.1%7.5%22.8%1.9%26.9%1.2%1.9%6.8M-234.9M-4.7M0.842.3124,61420,771517,034475,635
2010-03-25$38.90$39.0026.9%7.7%21.2%3.9%27.3%1.7%1.5%7.0M-232.0M-4.7M0.812.3623,03618,743527,634482,359
2010-03-26$38.83$39.0026.4%7.6%20.2%2.7%27.2%1.7%2.0%6.1M-220.7M-4.8M0.932.2919,00117,699540,213489,269
2010-03-29$39.96$39.0026.2%7.5%22.0%2.2%26.8%2.6%1.9%15.7M-449.9M-4.9M0.692.4035,45324,617548,576493,640
2010-03-30$39.95$39.0025.4%7.3%21.8%0.3%25.9%2.8%1.9%14.3M-421.3M-4.8M1.292.6715,85320,383554,434501,568
2010-03-31$40.29$39.0025.1%7.2%21.3%0.0%25.6%2.2%2.2%18.7M-500.6M-4.8M1.184.2630,33835,708556,383510,257