USO Options History — May 2010

In May 2010, USO traded between $31.85 and $41.46. ATM implied volatility averaged 37.7%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.0% (HV 20d: 32.7%). Max pain ranged from $34.00 to $41.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-05-05: Highest Volume — 160,976 contracts
  • 2010-05-07: Largest IV spike — 14.9% change
  • 2010-05-20: Highest IV Rank — 88.1%
  • 2010-05-20: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.24$31.85$41.46$41.46$34.04
Max Pain$37.30$34.00$41.00$40.00$35.00
ATM IV37.7%27.2%45.6%27.2%35.7%
Expected Move10.7%7.8%13.1%7.8%10.2%
HV 20d32.7%21.9%39.0%21.9%38.5%
HV 60d27.2%23.9%29.7%23.9%29.7%
IV Rank60.6%24.0%88.1%24.0%53.7%
IV Percentile57.1%13.1%98.0%13.1%43.7%
Term Structure-0.4%-3.1%1.4%0.9%1.4%
VWIV37.7%27.8%45.6%27.8%36.3%
Skew 25d3.9%0.6%5.7%1.5%4.2%
Skew 10d7.7%0.9%12.0%2.7%8.3%
Call IV 25d36.3%26.8%44.5%26.8%34.3%
Put IV 25d40.2%28.3%49.1%28.3%38.5%
Bid-Ask Spread %3.482.615.582.735.45
Gamma HHI0.090.060.120.070.08
Net GEX-6.9M-15.1M11.9M11.9M-2.3M
Net DEX381.0M-409.8M778.9M-409.8M227.4M
Net VEX-5.1M-5.5M-4.7M-5.2M-5.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.362.220.840.62
Total Volume97,115.1532,643160,97632,64348,870
Total OI1,078,738.05897,1321,245,697897,1321,139,703

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$41.46$40.0027.2%7.8%21.9%24.0%27.8%1.5%0.9%11.9M-409.8M-5.2M0.842.7317,71214,931472,265424,867
2010-05-04$39.70$41.0030.1%8.6%26.6%34.0%30.7%0.6%-0.3%1.2M-136.6M-5.2M2.223.0330,43267,679476,190423,599
2010-05-05$38.31$40.0033.6%9.6%28.9%46.3%33.8%1.9%-0.5%-7.2M100.7M-5.3M1.302.6169,91591,061483,652452,136
2010-05-06$36.96$40.0037.9%10.9%31.1%61.4%38.5%3.5%-1.0%-10.6M295.3M-5.5M1.175.5849,64358,273508,357483,801
2010-05-07$36.31$39.0043.6%11.5%31.3%81.2%39.5%5.6%-1.1%-10.7M374.7M-5.5M0.812.7960,05248,704511,067494,707
2010-05-10$37.23$38.0037.4%10.4%33.3%59.8%36.1%3.8%-0.4%-9.0M220.8M-5.5M0.834.0731,95626,438533,192497,280
2010-05-11$36.76$38.0036.7%10.0%33.3%57.1%35.8%2.9%-0.1%-9.5M300.1M-5.4M0.994.2241,95041,715535,838498,102
2010-05-12$36.77$38.0033.3%9.4%31.9%45.5%33.3%3.8%0.4%-12.3M319.9M-5.4M0.553.3850,34827,839553,324526,168
2010-05-13$36.13$38.0033.3%9.5%32.1%45.4%33.9%2.5%0.5%-14.5M430.8M-5.3M0.743.1938,72528,802565,882530,507
2010-05-14$34.81$38.0036.9%10.6%33.2%57.9%37.4%4.8%-0.3%-15.1M608.6M-5.0M1.333.1458,67778,333571,499533,364
2010-05-17$33.88$38.0038.5%11.0%33.8%63.6%39.6%4.0%-0.2%-14.3M718.5M-4.7M0.612.8168,97242,316572,856532,959
2010-05-18$33.47$37.0041.3%11.8%33.5%73.0%40.7%4.5%-1.2%-10.5M713.5M-4.9M0.582.9758,86334,053619,197552,672
2010-05-19$33.51$36.0041.8%12.0%33.6%74.9%42.1%3.1%-2.4%-8.8M689.4M-5.0M0.783.0162,72748,943634,631553,053
2010-05-20$32.20$36.0045.6%13.1%35.0%88.1%45.6%4.6%-3.1%-6.3M778.9M-4.7M0.653.2879,18451,715658,623553,682
2010-05-21$32.27$35.0043.2%12.4%33.9%79.8%42.8%5.7%-1.4%-4.3M744.1M-4.7M0.563.8396,91754,351687,698557,999
2010-05-24$32.17$35.0040.7%11.7%34.1%71.1%41.2%5.5%-0.2%-5.5M502.8M-4.7M1.292.8834,96745,138592,785480,524
2010-05-25$31.85$35.0041.4%11.9%33.7%73.6%41.5%5.4%-0.2%-5.3M533.9M-4.8M0.523.2562,30732,607605,739496,328
2010-05-26$32.59$35.0038.9%11.2%34.6%65.0%39.5%5.2%-0.2%-4.4M435.6M-5.0M0.754.3354,10040,760619,984504,170
2010-05-27$34.31$34.0036.6%10.5%39.0%56.8%37.1%5.4%0.8%-988.0K171.2M-5.4M0.363.1167,77724,551633,709502,652
2010-05-28$34.04$35.0035.7%10.2%38.5%53.7%36.3%4.2%1.4%-2.3M227.4M-5.3M0.625.4530,10318,767633,175506,528