USO Options History — July 2007

In July 2007, USO traded between $53.53 and $58.53. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.2% (HV 20d: 17.1%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2007-07-16: Highest Volume — 6,696 contracts
  • 2007-07-30: Largest IV spike — 6.6% change
  • 2007-07-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.76$53.53$58.53$53.53$58.53
Max Pain$53.62$51.00$55.00$51.00$55.00
ATM IV26.2%25.1%29.1%25.5%29.1%
Expected Move7.5%7.2%8.3%7.3%8.3%
HV 20d17.1%12.7%23.7%19.7%23.7%
HV 60d20.5%19.3%22.3%20.0%22.1%
Term Structure0.7%-0.3%1.8%1.1%-0.3%
VWIV26.8%24.9%29.7%26.4%29.7%
Skew 25d0.7%-1.2%1.7%0.8%1.7%
Skew 10d1.0%-0.6%2.9%-0.6%1.4%
Call IV 25d26.4%25.4%28.8%25.6%28.6%
Put IV 25d27.1%25.5%30.2%26.4%30.2%
Bid-Ask Spread %18.1913.3425.0714.1625.07
Gamma HHI0.230.130.360.190.13
Net GEX2.0M473.3K3.1M2.1M934.9K
Net DEX-61.2M-94.6M-30.8M-45.4M-61.3M
Net VEX-202.4K-228.3K-181.4K-182.8K-204.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.218.551.160.77
Total Volume3,146.2868976,6962,6033,294
Total OI35,984.09527,67546,52627,67537,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$53.53$51.0025.5%7.3%19.7%0.0%26.4%0.8%1.1%2.1M-45.4M-182.8K1.1614.161,2041,39918,0959,580
2007-07-03$53.54$51.0025.2%7.2%19.4%0.0%26.1%0.3%1.7%2.3M-46.3M-187.1K4.8913.343151,53918,8269,517
2007-07-05$54.15$51.0025.4%7.3%19.6%0.0%24.9%-1.2%1.4%2.3M-51.3M-183.7K0.8313.701,2611,04218,92210,664
2007-07-06$54.68$53.0025.5%7.5%19.7%0.0%26.6%0.5%1.0%2.4M-56.9M-181.4K0.6216.432,2231,37319,07411,058
2007-07-09$54.35$53.0027.1%7.6%15.0%0.0%26.6%0.6%0.3%2.5M-57.7M-191.4K0.4318.453,9251,67120,62611,529
2007-07-10$54.72$53.0026.8%7.4%14.5%0.0%26.2%1.1%0.2%2.6M-63.0M-205.7K0.6918.561,6671,15621,84413,041
2007-07-11$54.66$53.0026.3%7.4%14.2%0.0%26.8%0.5%0.1%2.7M-60.7M-216.2K0.5518.5075541522,63514,035
2007-07-12$54.74$54.0025.8%7.4%14.1%0.0%26.4%1.3%0.2%2.7M-62.2M-212.9K0.2120.352,74058622,86714,367
2007-07-13$55.54$53.0025.3%7.2%13.4%0.0%26.1%1.3%0.6%2.8M-72.4M-203.0K1.9917.811,0982,18222,85714,698
2007-07-16$55.76$53.0026.1%7.5%13.3%0.0%29.5%0.9%0.4%2.9M-76.2M-193.6K8.5517.887015,99523,44515,178
2007-07-17$55.64$53.0026.2%7.5%13.1%0.0%27.9%1.1%-0.3%2.6M-73.3M-206.1K1.9918.321,8383,64923,63319,781
2007-07-18$56.58$54.0026.4%7.6%13.9%0.0%26.8%0.4%-0.2%3.0M-86.0M-199.2K0.3218.272,67085424,24320,241
2007-07-19$57.08$54.0026.1%7.5%12.7%0.0%26.1%0.3%0.4%2.8M-94.6M-191.8K0.8720.421,3861,20224,53220,933
2007-07-20$57.00$55.0025.4%7.3%12.9%0.0%25.7%0.3%1.3%3.1M-92.9M-195.5K0.6320.603,1281,97924,76621,760
2007-07-23$56.38$55.0025.8%7.4%14.1%0.0%26.2%0.4%0.2%1.2M-45.9M-202.5K4.8520.075142,49116,84913,716
2007-07-24$55.16$55.0026.0%7.4%16.8%0.0%26.3%0.6%1.3%473.3K-30.8M-228.3K0.7916.5698578316,95515,903
2007-07-25$57.44$55.0025.1%7.2%20.0%0.0%25.3%0.2%1.7%834.3K-52.3M-206.5K0.6916.4153136617,29016,395
2007-07-26$56.22$55.0026.5%7.6%21.9%0.0%27.6%1.4%1.1%690.3K-41.7M-223.7K2.2217.621,2062,67817,51616,599
2007-07-27$57.74$55.0026.5%7.6%23.2%0.0%26.9%0.8%1.8%875.6K-57.5M-216.7K0.5624.051,34074418,19918,741
2007-07-30$57.50$55.0028.3%8.1%23.3%0.0%28.9%0.6%0.9%802.4K-55.9M-217.7K1.7215.4543675118,44819,099
2007-07-31$58.53$55.0029.1%8.3%23.7%0.0%29.7%1.7%-0.3%934.9K-61.3M-204.7K0.7725.071,8661,42817,93819,271