USO Options History — July 2010

In July 2010, USO traded between $32.60 and $35.42. ATM implied volatility averaged 30.8%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.8% (HV 20d: 30.0%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2010-07-07: Highest Volume — 124,264 contracts
  • 2010-07-14: Largest IV drop — 11.0% change
  • 2010-07-01: Highest IV Rank — 56.5%
  • 2010-07-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.35$32.60$35.42$32.87$35.34
Max Pain$34.00$33.00$35.00$35.00$34.00
ATM IV30.8%27.3%36.5%36.5%27.3%
Expected Move8.9%7.8%10.5%10.5%7.8%
HV 20d30.0%25.7%34.1%34.1%25.7%
HV 60d33.9%32.7%34.7%33.1%32.7%
IV Rank39.5%27.8%56.5%56.5%27.8%
IV Percentile30.8%13.9%53.6%53.6%13.9%
Term Structure1.8%0.4%2.8%0.4%2.8%
VWIV31.4%27.7%37.1%37.1%27.7%
Skew 25d3.9%2.3%6.0%6.0%2.3%
Skew 10d7.2%3.6%12.5%12.5%3.6%
Call IV 25d29.8%26.7%35.0%35.0%26.7%
Put IV 25d33.7%29.0%40.9%40.9%29.0%
Bid-Ask Spread %3.302.235.132.832.90
Gamma HHI0.080.060.120.090.07
Net GEX-2.1M-8.9M5.1M-8.5M5.1M
Net DEX146.9M-58.9M467.5M430.6M-50.5M
Net VEX-4.1M-4.3M-3.9M-4.2M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.412.190.820.97
Total Volume49,046.76218,891124,26475,18228,684
Total OI1,067,979.286835,2401,259,9511,157,735958,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$32.87$35.0036.5%10.5%34.1%56.5%37.1%6.0%0.4%-8.5M430.6M-4.2M0.822.8341,41333,769673,773483,962
2010-07-02$32.60$35.0033.2%9.5%29.8%44.9%34.2%4.8%2.1%-8.8M462.4M-4.0M1.012.7625,11725,313682,352482,466
2010-07-06$32.61$34.0035.2%10.3%29.8%51.9%36.3%4.4%1.2%-8.9M467.5M-4.0M0.615.1331,74319,245686,091487,671
2010-07-07$33.65$34.0032.8%9.5%31.2%43.7%33.7%4.2%1.6%-8.3M333.7M-4.1M1.184.4556,94767,317698,423491,428
2010-07-08$34.23$34.0032.1%9.3%30.7%41.1%32.2%3.7%1.6%-8.3M221.6M-4.3M0.813.3227,73422,426717,723521,535
2010-07-09$34.34$34.0029.3%9.0%29.5%32.5%31.9%3.7%1.9%-2.5M171.8M-4.1M1.054.1913,45914,153718,357495,526
2010-07-12$33.78$34.0032.5%8.9%29.5%43.9%31.8%3.5%2.6%-5.9M291.6M-3.9M1.133.1921,58324,481721,233500,032
2010-07-13$34.74$34.0031.7%8.7%31.2%40.9%31.8%4.2%2.1%-1.1M96.4M-4.1M0.693.0034,88824,104725,634506,593
2010-07-14$34.66$33.0028.2%8.6%29.8%31.3%31.2%4.2%2.4%-4.2M136.3M-4.1M1.174.1222,65226,526730,735513,446
2010-07-15$34.58$33.0029.6%8.5%29.6%36.7%30.3%4.4%2.7%-5.3M145.2M-4.0M2.195.0815,72234,489734,089514,383
2010-07-16$34.16$34.0031.2%8.9%29.7%43.2%31.5%4.5%2.3%-4.2M226.7M-3.9M1.483.8827,54640,827737,057522,894
2010-07-19$34.46$34.0031.0%8.9%29.8%42.3%30.9%5.0%0.4%-283.1K71.4M-3.9M0.792.4032,39025,564482,527352,713
2010-07-20$34.82$34.0029.0%8.3%30.1%34.5%30.2%4.6%1.2%706.2K38.1M-4.0M0.843.3921,17217,747497,550367,918
2010-07-21$34.20$34.0031.0%8.9%30.5%42.4%30.9%3.8%0.7%-280.6K84.4M-4.1M0.582.4831,05817,963509,006372,001
2010-07-22$35.42$34.0030.5%8.7%32.1%40.4%30.5%3.7%1.6%3.9M-58.9M-4.3M0.792.5527,90922,147516,299376,190
2010-07-23$35.39$34.0029.5%8.5%32.0%36.4%29.4%3.8%2.0%3.7M-46.4M-4.3M0.812.7917,53214,260525,797385,014
2010-07-26$35.35$34.0029.7%8.5%29.3%37.3%30.0%3.3%1.6%4.0M-46.9M-4.2M0.462.3012,9205,971532,430391,173
2010-07-27$34.67$34.0028.5%8.2%29.8%32.7%29.0%2.6%2.4%1.6M39.1M-4.1M0.562.8321,84212,199537,029392,293
2010-07-28$34.36$34.0029.8%8.6%27.9%37.8%29.9%2.7%2.0%519.1K76.4M-4.1M0.412.2322,3619,101542,160395,074
2010-07-29$35.06$34.0028.0%8.0%28.6%30.7%28.5%2.9%2.5%3.5M-6.0M-4.1M0.813.4020,86716,841552,603396,323
2010-07-30$35.34$34.0027.3%7.8%25.7%27.8%27.7%2.3%2.8%5.1M-50.5M-4.2M0.972.9014,55014,134558,520399,542