USO Options History — June 2007

In June 2007, USO traded between $49.06 and $53.00. ATM implied volatility averaged 25.1%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.7% (HV 20d: 23.4%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2007-06-14: Highest Volume — 4,529 contracts
  • 2007-06-14: Largest IV spike — 8.0% change
  • 2007-06-22: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.03$49.06$53.00$49.46$53.00
Max Pain$49.10$48.00$51.00$49.00$51.00
ATM IV25.1%23.1%26.8%24.7%25.5%
Expected Move7.3%6.9%7.7%7.1%7.3%
HV 20d23.4%20.2%26.7%24.1%20.2%
Term Structure1.4%-0.0%3.1%3.1%1.3%
VWIV26.1%25.2%27.5%26.7%25.9%
Skew 25d0.5%-0.1%1.2%0.0%0.4%
Skew 10d0.5%-1.2%2.1%-1.1%-1.2%
Call IV 25d26.0%24.4%27.3%26.2%26.1%
Put IV 25d26.4%25.3%27.6%26.2%26.6%
Bid-Ask Spread %18.2513.3926.8314.3716.81
Gamma HHI0.200.150.310.310.17
Net GEX1.6M916.5K1.9M1.4M1.7M
Net DEX-25.8M-39.0M-15.6M-16.1M-39.0M
Net VEX-121.2K-189.3K-68.0K-70.3K-189.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.112.780.471.81
Total Volume2,297.6673184,5291,7062,459
Total OI18,517.1912,18327,45512,18327,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$49.46$49.0024.7%7.1%24.1%0.0%26.7%0.0%3.1%1.4M-16.1M-70.3K0.4714.371,1635439,8782,305
2007-06-04$50.35$48.0024.7%7.5%24.1%0.0%26.1%0.7%1.2%1.4M-20.3M-68.0K0.2021.613,4236809,9352,825
2007-06-05$50.02$48.0024.1%7.3%23.7%0.0%25.6%1.2%1.7%1.8M-23.3M-94.0K0.1219.321,79122011,9533,409
2007-06-06$50.31$48.0023.8%7.2%23.0%0.0%25.4%0.6%1.8%1.8M-25.9M-95.9K0.2919.591,08831512,4293,546
2007-06-07$50.65$48.0024.7%6.9%22.5%0.0%25.9%0.9%2.4%1.8M-27.2M-92.7K0.2826.832,47469012,3423,822
2007-06-08$49.06$48.0023.1%7.4%25.6%0.0%25.8%0.7%1.1%1.6M-15.6M-93.0K0.7818.351,8051,40412,3243,913
2007-06-11$49.84$48.0023.9%7.2%26.0%0.0%25.9%1.1%2.0%1.8M-20.0M-103.7K0.3520.7842815112,4304,977
2007-06-12$49.56$48.0023.6%7.2%26.1%0.0%25.3%0.5%1.9%1.9M-17.0M-101.9K0.2818.482487012,4235,044
2007-06-13$50.09$48.0023.2%7.1%26.2%0.0%25.2%0.3%2.5%1.9M-21.7M-101.2K0.2118.951,00121312,4325,068
2007-06-14$51.10$48.0025.0%7.2%26.7%0.0%25.8%0.3%1.5%1.3M-31.2M-99.3K0.1818.273,83669312,8205,161
2007-06-15$51.53$49.0024.9%7.1%24.3%0.0%25.6%-0.1%1.5%916.5K-32.6M-106.1K0.3816.332,61698814,1285,512
2007-06-18$52.14$49.0025.8%7.4%24.6%0.0%26.5%0.0%1.1%1.7M-30.9M-127.4K0.2316.771,66637712,3743,036
2007-06-19$52.12$49.0025.6%7.3%24.1%0.0%26.1%0.2%1.3%1.9M-31.8M-132.1K0.8016.0791673713,4443,261
2007-06-20$51.55$49.0025.8%7.4%23.5%0.0%26.1%0.5%0.7%1.8M-28.7M-136.0K1.2620.8357272113,8693,938
2007-06-21$51.60$49.0026.7%7.7%23.5%0.0%26.8%0.1%0.1%1.7M-27.7M-138.3K1.9619.375821,14213,8184,398
2007-06-22$51.89$50.0026.8%7.7%21.3%0.0%27.1%0.6%-0.0%1.6M-27.9M-145.5K2.1216.545201,10014,1875,473
2007-06-25$51.96$51.0026.8%7.7%21.1%0.0%26.7%0.5%0.5%1.4M-25.8M-147.0K0.8913.392,0301,79914,4266,423
2007-06-26$51.12$51.0026.6%7.6%20.2%0.0%27.5%0.7%0.6%1.3M-20.9M-160.6K2.7816.177021,95015,8857,129
2007-06-27$51.88$51.0025.8%7.4%20.5%0.0%26.4%0.3%1.7%1.4M-26.6M-169.8K1.5317.711,1731,79216,1918,738
2007-06-28$52.47$51.0026.0%7.5%20.2%0.0%26.7%-0.0%1.2%1.5M-30.9M-173.8K0.1116.751,95222116,6509,490
2007-06-29$53.00$51.0025.5%7.3%20.2%0.0%25.9%0.4%1.3%1.7M-39.0M-189.3K1.8116.818761,58317,7149,741