Thread by @MacroTechnicals

$USO timeline (thread)

23Apr

$USO 24Apr

...as CME "asked" them to change roll strategy / weightings

$USO 27Apr

they have shifted weightings to 14July / NAV $2.06

what used to be 80/20% 1st / 2nd month, they even have inventory in Oct20, Dec20, and Jun21 !

4/n $USO 28Apr settle

y'day ETF management stretched $CL_F inventory even further out, weighting shifted +3wk from 14Jul to 03Aug.

5/n $USO 29Apr settle

They sold all Jun lots, shifted further out, weight is now 29Aug with 136940 contracts left.

Through the new roll strategy, fund inventory went from 23rdApr 175k to 137k = "cost of roll" -38k contracts.

Priced now after 8for1 rev split.

6/n $USO 30Apr settle

New target weight will spread even across the whole curve (15% each).

Current weight shifted to 01Sep

Roll exercise reduced inventory by -22% or 38649 contracts since 23Apr.

so while CLM0 rallied +90%,CLN0 +30%,CLQ0 +18%, USO only +13% since 28Apr low

7/n $USO 01May settle

misread prospectus, here the adjusted sheet.

anyways, fund reduced Jul weight by 4%, but added Nov contracts (not mentioned in prosp), weighted maturity shifted to 04Sep.

Roll exercise reduced inventory by further 1390 contracts.

cls vs NAV +1.5% prem