USO Options History — June 2010

In June 2010, USO traded between $32.59 and $35.66. ATM implied volatility averaged 35.1%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 1.4% (HV 20d: 36.5%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-06-18: Highest Volume — 76,829 contracts
  • 2010-06-04: Largest IV spike — 14.0% change
  • 2010-06-01: Highest IV Rank — 76.0%
  • 2010-06-07: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.37$32.59$35.66$33.18$33.96
Max Pain$35.18$35.00$36.00$35.00$35.00
ATM IV35.1%30.8%42.1%42.1%34.3%
Expected Move10.1%8.8%12.2%12.1%9.8%
HV 20d36.5%32.3%40.2%38.6%32.5%
HV 60d31.9%29.8%32.8%29.8%32.6%
IV Rank51.5%36.8%76.0%76.0%48.9%
IV Percentile46.1%31.0%79.0%78.6%44.0%
Term Structure1.0%-1.9%2.4%-0.9%1.2%
VWIV35.7%31.3%43.1%42.4%35.5%
Skew 25d4.8%3.8%6.0%5.1%5.6%
Skew 10d9.0%6.6%12.6%9.9%12.6%
Call IV 25d33.6%29.1%41.2%40.5%32.8%
Put IV 25d38.4%33.6%46.3%45.6%38.4%
Bid-Ask Spread %2.932.333.913.483.30
Gamma HHI0.080.080.090.080.08
Net GEX-2.5M-6.8M6.1M-3.8M-6.5M
Net DEX184.9M-26.8M426.0M356.1M275.4M
Net VEX-4.9M-5.2M-4.5M-5.0M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.341.050.640.61
Total Volume50,21030,89076,82946,03138,584
Total OI1,150,694.1821,036,4861,232,7761,142,6491,137,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$33.18$35.0042.1%12.1%38.6%76.0%42.4%5.1%-0.9%-3.8M356.1M-5.0M0.643.4828,07717,954634,510508,139
2010-06-02$33.79$35.0037.0%10.6%38.0%58.1%37.7%5.8%0.4%-4.0M291.5M-5.1M0.673.1026,69317,951634,929511,362
2010-06-03$34.26$35.0036.7%10.5%37.2%57.1%37.2%5.3%0.6%-2.5M205.9M-5.2M0.492.5221,99310,820638,058510,254
2010-06-04$32.68$36.0041.8%12.1%38.7%75.0%43.1%5.3%-1.9%-4.9M423.3M-4.9M0.632.9929,07018,348642,192512,039
2010-06-07$32.59$36.0042.1%12.2%38.4%76.0%42.4%5.1%-1.7%-4.8M426.0M-4.8M0.563.5626,47214,769653,223514,681
2010-06-08$33.19$35.0037.9%11.4%37.8%61.4%40.0%5.2%0.7%-4.2M351.9M-4.9M0.662.7921,36714,079661,350517,546
2010-06-09$33.95$35.0038.1%11.0%39.0%62.2%38.8%4.4%0.8%-1.7M218.4M-5.1M0.742.9241,10430,613672,365523,548
2010-06-10$34.77$35.0034.9%10.0%40.2%50.9%36.2%4.3%2.1%-317.6K101.7M-5.2M0.742.6836,99827,205670,125527,021
2010-06-11$34.23$35.0035.6%10.2%40.1%53.3%36.2%4.1%1.7%-2.8M225.1M-5.1M0.753.2717,64213,248669,543530,078
2010-06-14$34.33$35.0036.3%10.4%38.0%55.8%36.9%4.2%0.5%-2.0M200.2M-5.0M0.572.5929,28316,580672,931530,096
2010-06-15$35.23$35.0033.2%9.5%37.8%44.9%34.3%4.8%2.4%2.8M40.3M-5.1M0.802.6028,86823,228684,721532,302
2010-06-16$35.49$35.0033.5%9.6%37.5%46.1%34.0%4.8%1.2%6.1M-26.8M-4.9M0.342.6045,59415,567689,120531,362
2010-06-17$35.14$35.0032.1%9.2%37.7%41.2%32.7%4.8%2.1%5.4M57.2M-4.7M0.552.6039,00321,643693,000535,533
2010-06-18$35.41$35.0031.4%9.0%34.3%38.6%31.8%5.5%2.3%-349.5K6.4M-4.7M0.893.0040,73636,093692,544540,232
2010-06-21$35.33$35.0031.1%8.9%34.4%37.6%31.3%4.5%2.2%-3.1M62.9M-4.8M0.813.3637,56630,541582,001454,485
2010-06-22$35.00$36.0031.1%8.9%34.6%37.6%31.5%4.2%1.6%-4.3M110.2M-4.6M1.052.7917,99618,928591,299459,592
2010-06-23$34.24$36.0032.1%9.2%35.5%41.2%32.1%4.0%1.8%-6.8M227.7M-4.6M0.802.8027,99322,432591,631464,388
2010-06-24$34.39$35.0032.7%9.4%34.8%43.3%33.4%4.6%1.7%-5.6M197.1M-4.6M0.702.3429,44620,483602,677467,120
2010-06-25$35.66$35.0030.8%8.8%32.3%36.8%32.3%4.0%1.6%-1.6M5.0M-4.8M0.403.9142,88217,143616,635478,049
2010-06-28$35.21$35.0031.8%9.1%32.5%40.2%31.7%3.8%1.5%-3.2M69.5M-4.6M0.352.3332,74511,552634,162474,230
2010-06-29$34.17$35.0034.7%9.9%33.0%50.1%34.7%6.0%0.4%-6.3M242.5M-4.5M0.752.8625,88119,450652,113476,131
2010-06-30$33.96$35.0034.3%9.8%32.5%48.9%35.5%5.6%1.2%-6.5M275.4M-4.5M0.613.3023,97714,607659,436478,519