USO Options History — April 2010

In April 2010, USO traded between $39.37 and $42.07. ATM implied volatility averaged 25.5%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.1% (HV 20d: 22.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-04-16: Highest Volume — 88,680 contracts
  • 2010-04-15: Largest IV spike — 26.3% change
  • 2010-04-30: Highest IV Rank — 23.4%
  • 2010-04-27: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.92$39.37$42.07$41.24$41.33
Max Pain$40.14$39.00$41.00$39.00$40.00
ATM IV25.5%20.3%27.9%24.4%27.7%
Expected Move7.6%7.0%8.0%7.0%7.9%
HV 20d22.4%20.9%24.4%22.5%23.1%
HV 60d26.6%25.9%27.4%27.1%26.2%
IV Rank10.4%0.0%23.4%0.0%23.4%
IV Percentile5.1%0.0%15.5%0.0%14.3%
Term Structure1.8%0.9%3.2%3.2%0.9%
VWIV26.7%24.9%28.2%24.9%28.0%
Skew 25d1.4%0.7%2.3%1.7%2.3%
Skew 10d2.6%1.0%4.4%3.7%4.4%
Call IV 25d26.2%24.0%27.6%24.2%26.8%
Put IV 25d27.5%25.6%29.4%25.9%29.2%
Bid-Ask Spread %3.162.564.092.564.09
Gamma HHI0.090.060.190.120.06
Net GEX17.0M1.7M33.5M25.1M10.9M
Net DEX-492.3M-844.4M-114.2M-678.4M-378.4M
Net VEX-4.9M-5.3M-4.5M-4.8M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.521.641.151.32
Total Volume54,106.42932,45088,68060,81743,273
Total OI998,080.857747,2951,226,4961,081,294880,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$41.24$39.0024.4%7.0%22.5%0.0%24.9%1.7%3.2%25.1M-678.4M-4.8M1.152.5628,24632,571558,919522,375
2010-04-05$42.07$40.0026.1%7.8%22.7%4.2%28.0%1.5%1.1%29.9M-844.4M-4.5M1.113.6538,64342,851563,653533,100
2010-04-06$42.02$40.0025.8%7.6%22.7%3.6%26.7%1.1%1.7%28.9M-819.4M-4.6M0.612.9832,64519,935570,487546,687
2010-04-07$41.52$40.0025.3%7.8%23.1%2.2%27.4%1.0%1.7%27.4M-726.3M-4.7M0.883.3240,35035,358582,386550,613
2010-04-08$41.44$40.0025.0%7.9%23.0%1.6%27.7%1.0%1.9%27.5M-711.8M-4.7M1.313.8214,65119,162582,386550,613
2010-04-09$41.17$41.0023.6%7.8%23.2%0.0%27.7%1.1%2.1%24.7M-642.8M-4.9M0.523.4245,53223,470590,607570,023
2010-04-12$40.93$40.0025.4%7.6%22.7%5.3%27.1%1.4%2.9%24.7M-616.0M-4.9M0.963.1728,25827,116605,577574,231
2010-04-13$40.89$41.0024.3%7.6%21.6%1.9%26.8%1.3%2.7%23.5M-593.4M-5.0M0.743.4536,54826,874614,783585,921
2010-04-14$41.76$40.0020.3%7.4%21.2%0.0%26.1%1.8%2.5%33.5M-818.6M-4.9M0.753.1139,07629,404624,010583,086
2010-04-15$41.71$41.0025.6%7.3%20.9%14.3%26.2%1.6%2.6%32.7M-822.6M-4.9M0.602.6124,71714,731632,412589,830
2010-04-16$40.60$41.0025.8%7.4%23.1%14.8%26.2%0.8%2.6%12.4M-550.3M-4.9M0.953.1645,40843,272634,119592,377
2010-04-19$40.11$40.0026.7%7.6%22.5%17.1%27.1%0.9%1.1%5.5M-209.2M-4.9M1.643.2623,58038,586408,571338,724
2010-04-20$40.30$40.0026.0%7.5%22.4%15.5%26.2%1.2%1.3%5.7M-232.4M-5.0M1.072.8121,13722,667418,557357,277
2010-04-21$40.27$40.0025.9%7.4%22.4%15.2%26.2%0.9%1.2%5.6M-234.3M-5.0M0.633.0219,91812,532427,969366,660
2010-04-22$40.30$40.0025.5%7.3%21.1%14.1%25.7%0.9%1.6%6.7M-245.5M-5.0M0.742.9419,82714,577436,435368,758
2010-04-23$40.95$40.0024.4%7.0%21.6%11.1%24.9%1.6%1.8%10.5M-330.7M-5.0M0.573.0326,93515,313441,116370,908
2010-04-26$40.35$40.0025.6%7.3%22.5%14.3%25.5%0.7%1.3%7.3M-255.7M-5.0M0.962.9716,96416,207448,233376,522
2010-04-27$39.37$40.0027.9%8.0%22.0%20.4%27.9%1.5%1.0%1.7M-114.2M-5.0M1.533.5823,89636,463448,441384,369
2010-04-28$39.97$40.0027.9%8.0%22.7%20.3%28.2%2.2%0.9%3.8M-179.5M-5.1M1.302.5623,11029,988456,613401,037
2010-04-29$41.04$40.0026.8%7.7%24.4%19.7%27.1%2.1%0.9%9.3M-335.1M-5.2M0.732.8924,55517,889461,701409,572
2010-04-30$41.33$40.0027.7%7.9%23.1%23.4%28.0%2.3%0.9%10.9M-378.4M-5.3M1.324.0918,62024,653465,159414,881