Even after a pop on Thursday, the fund was down 32% this week.

Still, USO was the most-bought name on Robinhood, a free stock-trading app that has attracted roughly 10 million, mostly millennial, users. By Wednesday, it was among the top 30 most-held names on Robinhood, according to the start-up.

Retail investors mistakenly thought this fund was a proxy for the "spot," or cash, price of oil, and bought in as its price plummeted. It isn't : The purpose of the ETF is to track the front-month oil futures contract. And after changing its structure multiple times in the past one week, the fund couldn't even do that correctly.

Traders on Robinhood and SoFi Invest flocked to buy the United States Oil exchange-traded fund , or USO, this week as its price plummeted below $3. But many got in for the wrong reasons.

Some millennial investors have been duped by a complex oil ETF that is struggling to stay alive.

On SoFi Invest — another trading platform used mostly by traders under 40 — USO was "by far" the highest-volume security on Tuesday and Wednesday. Account ownership of USO has grown by 20% to 30% every day since April 20th, according to SoFi. Month over month, ownership of the ETF has increased 300%. Meanwhile, USO has plunged more than 45% this month, and roughly 80% this year.

John Davi, founder & CIO at Astoria Portfolio Advisors, said the average retail investor was likely attracted by the discounted price, and didn't realize this was a play to buy the futures market instead of spot oil.

"A low price handle is always a retail trap," Davi told CNBC in a phone interview. "This ETF is something you want to buy with gloves on, and hold for a short period of time — it's a trading vehicle, not a long-term investment."

The fund began to run into trouble when the May contract for oil began diving last week. This week, the May contract fell to an actual negative price. The fund likely had already sold those contracts for the June oil futures, but the fall to negative prices sent a chill through the whole oil market. June oil futures then began plummeting this week as well and traders feared they would turn negative.

This caused the fund to implement a series of changes beginning last Friday. The fund, originally set up to invest in just the front-month contract until two weeks before expiration, said it would now invest funds in futures expiring months out. It also suspended the making of creation baskets, which is how an ETF makes new shares to meet demand. The creation baskets buy the futures. But by suspending this mechanism this week, the fund began to trade as a closed-end fund with a fixed number of shares. This also meant it could no longer accurately track the price of oil.

Retail investors buying the fund likely aren't aware that it is no longer tracking oil prices in lockstep.

For example on Wednesday, the fund dropped 11% even as oil's June futures jumped 20%. On Thursday, while June oil jumped 30%, the USO only gained 12%.

When asked why the fund keeps changing its structure, the company's chief marketing officer told CNBC the following: "Due to extraordinary market conditions in the crude oil markets, including super contango, USO has invested in other permitted investments, as described in the prospectus."

--- CNBC'S Pippa Stevens and Bob Pisani contributed reporting.