USO Options History — May 2007

In May 2007, USO traded between $48.01 and $50.82. ATM implied volatility averaged 25.5%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.9% (HV 20d: 24.7%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 14 of 16 trading days. Term structure was in contango for 12 of 16 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-05-21: Highest Volume — 4,383 contracts
  • 2007-05-29: Largest IV spike — 11.7% change
  • 2007-05-15: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.12$48.01$50.82$48.01$48.96
Max Pain$48.43$45.00$49.00$45.00$49.00
ATM IV25.5%23.4%27.3%26.3%26.6%
Expected Move7.3%6.7%7.8%7.6%7.6%
HV 20d24.7%24.7%24.7%24.7%24.7%
Term Structure0.8%-0.6%2.6%0.5%-0.6%
VWIV25.8%23.4%27.6%27.1%26.8%
Skew 25d0.4%-1.1%1.4%1.4%-1.1%
Skew 10d0.4%-2.3%2.0%2.0%-2.3%
Call IV 25d25.9%23.7%28.4%26.4%28.4%
Put IV 25d26.4%23.5%28.1%27.8%27.2%
Bid-Ask Spread %19.5615.9028.4123.6315.90
Gamma HHI0.380.260.860.860.30
Net GEX756.3K01.2M01.2M
Net DEX-8.3M-13.9M00-12.9M
Net VEX-35.3K-70.0K00-70.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0412.2212.220.04
Total Volume1,080.6251194,383119635
Total OI5,994.688011,899011,899

Daily Data (16 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-09$48.01$0.0026.3%7.6%0.0%0.0%27.1%1.4%0.5%00012.2223.63911000
2007-05-10$48.15$0.0027.1%7.8%0.0%0.0%27.6%0.5%0.3%0000.0528.411,5767200
2007-05-11$48.57$45.0026.8%7.7%0.0%0.0%26.5%0.3%-0.4%313.2K-3.6M-10.2K0.2826.031,4233921,503162
2007-05-14$48.56$48.0027.0%7.7%0.0%0.0%27.1%0.5%-0.1%533.4K-5.4M-21.2K0.4820.292941422,878554
2007-05-15$48.99$48.0027.3%7.8%0.0%0.0%27.1%1.3%-0.6%577.7K-6.6M-23.3K0.2619.78108283,113696
2007-05-16$48.53$48.0026.3%7.5%0.0%0.0%26.1%0.7%0.3%619.3K-5.9M-23.5K0.4116.462611083,191714
2007-05-17$50.16$48.0023.8%6.8%0.0%0.0%24.0%0.3%2.3%766.0K-9.7M-23.6K0.3620.865151883,401801
2007-05-18$50.10$49.0023.4%6.7%0.0%0.0%23.7%1.0%2.6%884.6K-10.1M-24.2K0.1217.95518613,575802
2007-05-21$50.82$49.0023.4%6.7%0.0%0.0%23.4%-0.3%1.6%803.1K-11.7M-23.1K0.2520.473,5048793,724767
2007-05-22$49.92$49.0024.1%6.9%0.0%0.0%24.8%1.1%1.5%1.1M-13.0M-47.4K1.7217.744447646,7451,032
2007-05-23$50.17$49.0024.9%7.1%0.0%0.0%25.2%0.4%1.2%927.4K-12.1M-52.8K0.1518.307151056,9511,661
2007-05-24$48.93$49.0024.6%7.1%0.0%0.0%25.0%0.5%1.5%955.8K-9.3M-56.3K0.1616.821,2732067,5101,693
2007-05-25$49.50$49.0023.9%6.9%0.0%0.0%23.4%0.3%2.3%1.2M-13.9M-63.6K0.4117.49164688,4261,856
2007-05-29$48.40$49.0026.7%7.7%0.0%0.0%27.2%0.5%0.2%1.0M-8.4M-57.6K0.1915.921,5412958,4941,912
2007-05-30$48.21$49.0026.7%7.7%0.0%0.0%27.3%-0.8%0.3%1.2M-10.2M-67.3K0.2016.937451479,5822,273
2007-05-31$48.96$49.0026.6%7.6%24.7%0.0%26.8%-1.1%-0.6%1.2M-12.9M-70.0K0.0415.90613229,6062,293