USO Options History — August 2010

In August 2010, USO traded between $31.77 and $36.91. ATM implied volatility averaged 30.9%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.8% (HV 20d: 26.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-08-31: Highest Volume — 76,262 contracts
  • 2010-08-30: Largest IV spike — 23.8% change
  • 2010-08-31: Highest IV Rank — 65.4%
  • 2010-08-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.23$31.77$36.91$36.48$31.92
Max Pain$34.68$34.00$36.00$34.00$34.00
ATM IV30.9%26.8%36.8%33.5%36.8%
Expected Move8.5%7.7%9.3%8.1%8.8%
HV 20d26.1%24.2%28.6%27.1%25.5%
HV 60d30.6%27.6%32.6%32.6%28.4%
IV Rank41.9%25.9%65.4%52.2%65.4%
IV Percentile36.6%11.5%73.8%48.8%73.8%
Term Structure2.0%1.1%3.3%1.1%1.9%
VWIV30.3%27.9%33.5%28.8%31.4%
Skew 25d2.7%1.6%4.6%2.5%1.8%
Skew 10d4.6%1.8%8.3%4.5%1.8%
Call IV 25d29.0%26.8%31.4%27.5%30.5%
Put IV 25d31.7%28.9%35.6%30.0%32.3%
Bid-Ask Spread %3.692.186.392.182.35
Gamma HHI0.110.070.530.070.09
Net GEX-3.3M-40.0M11.7M10.4M-8.9M
Net DEX130.9M-271.1M386.6M-214.0M374.0M
Net VEX-3.8M-4.3M-3.2M-4.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.381.980.880.76
Total Volume52,918.54526,98176,26254,08276,262
Total OI1,037,017966,5991,130,062966,5991,044,788

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$36.48$34.0033.5%8.1%27.1%52.2%28.8%2.5%1.1%10.4M-214.0M-4.2M0.882.1828,80825,274562,376404,223
2010-08-03$36.91$35.0032.5%8.1%27.1%48.3%28.9%2.5%1.3%11.3M-270.8M-4.3M0.792.1832,35225,682568,661412,114
2010-08-04$36.90$35.0032.7%8.0%25.5%49.2%28.7%2.6%1.3%11.7M-271.1M-4.3M1.172.3320,42923,883582,889420,342
2010-08-05$36.71$35.0029.3%7.7%25.3%35.6%27.9%2.1%1.5%10.8M-233.3M-4.3M0.972.3713,66213,319588,885430,176
2010-08-06$36.20$36.0026.8%8.2%26.0%25.9%29.7%3.3%2.2%7.2M-143.2M-4.2M1.374.8615,77521,555597,070437,582
2010-08-09$36.53$36.0028.4%8.1%25.1%32.2%29.3%3.3%2.1%9.6M-183.3M-4.2M1.713.5212,25520,916594,689435,815
2010-08-10$35.87$36.0030.8%8.2%24.6%41.5%29.8%3.3%2.0%5.7M-69.6M-4.2M1.983.3618,11935,857599,385443,699
2010-08-11$34.74$36.0030.9%8.8%27.3%42.0%31.3%4.0%1.8%-4.4M136.6M-4.0M0.964.0529,06327,805602,096454,781
2010-08-12$33.92$36.0031.9%9.1%28.6%45.8%32.5%4.0%1.8%-7.8M264.7M-3.9M1.143.7628,92132,958604,000451,959
2010-08-13$33.79$35.0031.8%9.1%28.3%45.4%32.0%4.6%1.7%-8.8M293.5M-3.9M0.604.1524,16614,550607,348459,685
2010-08-16$33.61$35.0032.4%9.3%28.2%47.9%33.5%4.2%1.7%-9.9M300.1M-3.7M0.692.7525,64817,816608,611453,343
2010-08-17$33.87$34.0030.6%8.8%28.0%40.7%31.0%2.5%2.0%-8.3M249.4M-3.7M0.384.4740,12915,251616,827456,170
2010-08-18$33.68$34.0030.8%8.8%27.4%41.6%31.5%2.6%1.6%-8.8M272.4M-3.7M0.514.4949,87325,406634,506457,095
2010-08-19$33.25$34.0031.1%8.9%24.2%42.9%31.2%2.1%2.2%-12.7M336.3M-3.6M0.633.9939,35924,988650,330461,818
2010-08-20$32.95$34.0030.5%8.7%24.2%40.2%31.0%1.6%2.5%-40.0M386.6M-3.5M1.133.0033,46637,902669,839460,223
2010-08-23$32.43$34.0029.7%8.5%24.6%37.1%29.5%2.0%3.3%-5.5M310.3M-3.3M0.694.4833,30222,975575,444396,761
2010-08-24$31.77$34.0030.4%8.7%24.7%40.2%31.3%1.8%2.7%-7.1M369.1M-3.2M1.094.0526,60629,023585,751403,313
2010-08-25$32.37$34.0029.1%8.3%25.9%34.8%29.5%2.5%2.9%-6.2M313.4M-3.3M0.795.4232,43725,721591,593412,267
2010-08-26$32.62$34.0029.0%8.3%24.8%34.4%29.7%2.4%2.0%-4.7M280.9M-3.3M0.586.3932,66919,031595,791419,712
2010-08-27$33.57$34.0026.9%7.8%27.1%26.1%28.7%2.3%2.7%-1.2M144.7M-3.5M0.834.4231,18525,760606,768424,617
2010-08-30$33.02$34.0033.3%8.2%24.3%51.3%29.0%2.2%2.5%-4.0M232.5M-3.4M0.812.5218,78715,263605,782425,250
2010-08-31$31.92$34.0036.8%8.8%25.5%65.4%31.4%1.8%1.9%-8.9M374.0M-3.2M0.762.3543,35932,903613,569431,219