USO Options History — September 2010

In September 2010, USO traded between $32.58 and $34.84. ATM implied volatility averaged 29.0%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.1% (HV 20d: 27.9%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-09-14: Highest Volume — 75,635 contracts
  • 2010-09-07: Largest IV spike — 26.9% change
  • 2010-09-01: Highest IV Rank — 62.9%
  • 2010-09-07: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.27$32.58$34.84$32.95$34.84
Max Pain$34.95$34.00$36.00$34.00$35.00
ATM IV29.0%25.1%36.2%36.2%27.3%
Expected Move8.2%7.5%8.9%8.2%7.5%
HV 20d27.9%22.9%29.7%28.9%22.9%
HV 60d27.8%26.3%29.0%29.0%26.4%
IV Rank34.5%19.0%62.9%62.9%27.6%
IV Percentile28.1%2.8%68.3%68.3%15.5%
Term Structure2.6%1.5%5.0%2.7%1.5%
VWIV29.0%26.2%31.5%29.2%27.0%
Skew 25d2.9%1.3%4.8%2.0%2.5%
Skew 10d5.0%1.8%8.4%2.5%3.8%
Call IV 25d27.6%25.1%30.1%28.3%25.6%
Put IV 25d30.5%27.2%33.2%30.3%28.1%
Bid-Ask Spread %4.312.107.723.977.08
Gamma HHI0.100.080.140.090.09
Net GEX-4.2M-11.1M4.0M-3.7M1.7M
Net DEX213.5M-47.0M374.5M240.8M-47.0M
Net VEX-3.3M-3.6M-3.1M-3.4M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.541.591.030.87
Total Volume47,393.23826,48275,63545,33665,131
Total OI1,089,577.095994,9081,160,4911,070,4711,111,199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$32.95$34.0036.2%8.2%28.9%62.9%29.2%2.0%2.7%-3.7M240.8M-3.4M1.033.9722,28623,050632,044438,427
2010-09-02$33.39$34.0027.9%8.2%29.7%29.9%28.7%2.5%2.4%-2.2M191.8M-3.4M0.562.1022,73312,690628,866443,587
2010-09-03$33.09$36.0025.1%8.7%29.6%19.0%30.6%3.6%2.4%-5.1M228.8M-3.4M0.704.2829,65120,713634,311447,245
2010-09-07$32.77$35.0031.8%8.9%29.2%45.7%31.5%3.1%2.0%-6.2M281.7M-3.2M0.874.8833,21028,912633,003445,056
2010-09-08$33.14$35.0028.7%8.8%29.3%33.4%30.9%3.0%2.2%-3.2M223.5M-3.3M1.063.3618,45219,517644,946454,373
2010-09-09$32.89$35.0029.8%8.6%27.4%37.8%29.9%3.3%2.6%-6.4M273.8M-3.2M1.283.8120,63326,318650,255459,687
2010-09-10$33.77$35.0029.3%8.4%28.1%35.5%30.4%3.9%2.4%1.9M136.7M-3.4M1.594.7417,89928,504659,208466,129
2010-09-13$34.03$35.0029.6%8.5%28.2%37.1%30.9%3.8%2.8%4.0M96.6M-3.4M0.882.9631,04227,256659,619473,108
2010-09-14$33.89$35.0029.6%8.5%28.2%37.0%30.5%4.8%3.1%2.0M131.4M-3.4M0.683.6844,89630,739660,787484,138
2010-09-15$33.49$35.0030.4%8.7%28.4%40.1%30.2%3.5%3.3%-3.4M218.4M-3.5M1.533.1711,26617,252662,695489,492
2010-09-16$32.98$35.0028.9%8.3%28.8%34.3%29.1%3.5%4.0%-11.1M309.9M-3.3M1.023.1916,65716,983662,967490,879
2010-09-17$32.65$35.0027.8%8.0%28.7%29.8%28.3%3.0%5.0%-9.2M374.5M-3.2M0.633.6841,32625,851667,938492,553
2010-09-20$33.22$35.0028.2%8.1%29.2%31.5%28.2%3.1%2.2%-6.6M229.0M-3.2M0.546.9926,45514,258574,244420,664
2010-09-21$32.65$35.0029.1%8.3%29.3%34.7%29.5%3.3%2.0%-7.3M288.2M-3.1M0.883.4528,23524,819584,277423,699
2010-09-22$32.58$35.0027.3%7.8%28.3%27.6%27.8%2.6%2.9%-8.1M301.1M-3.3M0.797.7230,44424,197598,780438,105
2010-09-23$32.67$35.0027.0%7.8%27.5%26.7%27.4%2.8%2.8%-7.6M287.6M-3.3M0.767.5525,65219,444611,807446,464
2010-09-24$33.40$35.0026.3%7.5%28.5%23.7%26.2%2.2%2.9%-4.9M182.8M-3.4M1.283.5516,46221,065617,833448,955
2010-09-27$33.24$35.0030.1%7.8%26.6%38.8%27.2%1.5%1.8%-5.3M210.1M-3.3M0.943.9513,62012,862615,890448,864
2010-09-28$33.19$35.0029.6%7.8%25.9%36.8%27.3%2.0%2.2%-5.5M218.4M-3.3M0.733.7819,75514,478618,997453,392
2010-09-29$33.94$35.0029.2%7.7%23.7%35.2%27.4%1.3%2.2%-1.6M105.3M-3.5M1.252.5222,47928,066625,287461,349
2010-09-30$34.84$35.0027.3%7.5%22.9%27.6%27.0%2.5%1.5%1.7M-47.0M-3.6M0.877.0834,88430,247634,081477,118