USO Options History — August 2007

In August 2007, USO traded between $52.35 and $57.76. ATM implied volatility averaged 28.8%. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.1% (HV 20d: 27.8%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.59.

Notable Days

  • 2007-08-07: Highest Volume — 8,481 contracts
  • 2007-08-16: Largest IV spike — 14.4% change
  • 2007-08-16: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.47$52.35$57.76$57.76$55.78
Max Pain$55.96$55.00$57.00$55.00$55.00
ATM IV28.8%26.6%34.3%28.5%26.8%
Expected Move8.4%7.6%9.8%8.2%7.7%
HV 20d27.8%24.2%31.0%24.5%25.4%
HV 60d23.4%22.0%24.2%22.2%23.6%
Term Structure0.3%-1.3%2.3%0.4%0.7%
VWIV29.7%26.8%35.7%28.8%26.8%
Skew 25d1.7%0.3%10.1%10.1%1.2%
Skew 10d2.7%0.8%15.4%15.4%3.4%
Call IV 25d29.1%24.4%35.1%24.4%27.4%
Put IV 25d30.8%27.9%36.2%34.4%28.6%
Bid-Ask Spread %26.7215.5982.9182.9119.37
Gamma HHI0.180.080.650.130.09
Net GEX-1.3M-4.4M1.2M1.2M346.1K
Net DEX-5.5M-54.2M23.2M-54.2M-23.4M
Net VEX-247.3K-295.7K-216.8K-219.2K-256.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0713.283.530.20
Total Volume2,722.8266158,4814,8042,134
Total OI42,930.39126,79658,12538,92035,956

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$57.76$55.0028.5%8.2%24.5%0.0%28.8%10.1%0.4%1.2M-54.2M-219.2K3.5382.911,0603,74419,45719,463
2007-08-02$57.70$55.0027.5%7.9%24.4%0.0%29.7%1.7%1.5%880.2K-52.1M-247.5K13.2221.564556,01720,18822,530
2007-08-03$56.44$55.0027.0%7.7%25.8%0.0%27.4%0.3%2.3%-1.2M-26.4M-287.6K5.9615.762781,65720,49928,088
2007-08-06$54.20$57.0029.8%8.9%29.8%0.0%31.5%1.2%0.7%-2.4M14.3M-295.7K2.5517.321,7904,55820,53029,240
2007-08-07$54.36$57.0026.6%8.8%29.7%0.0%30.5%1.8%0.2%-2.1M4.2M-279.8K13.2845.515947,88721,47228,750
2007-08-08$54.27$57.0026.6%8.1%29.7%0.0%28.5%1.7%0.5%-4.1M16.9M-284.7K0.7372.6749235921,07633,578
2007-08-09$53.78$57.0027.3%8.2%29.8%0.0%28.6%1.2%0.3%-4.2M23.2M-281.7K1.0921.0229432121,33833,097
2007-08-10$53.64$57.0027.5%8.4%29.3%0.0%29.4%1.5%0.7%-4.0M20.3M-274.2K0.8724.7253046221,38932,919
2007-08-13$53.85$57.0030.1%8.5%29.3%0.0%29.3%1.6%0.0%-4.4M22.5M-255.8K0.5122.7655028221,57133,080
2007-08-14$54.23$57.0030.5%8.3%29.5%0.0%29.4%1.4%0.6%-4.0M12.6M-248.7K0.3619.821,79364221,83233,060
2007-08-15$55.13$57.0030.0%8.7%29.4%0.0%30.3%1.2%-0.6%-1.7M-13.7M-241.3K1.0422.261,9572,04523,08933,427
2007-08-16$53.58$57.0034.3%9.8%30.7%0.0%35.7%1.1%-1.3%-4.1M20.9M-236.0K2.1422.031,2172,60923,62632,097
2007-08-17$54.03$57.0033.0%9.5%31.0%0.0%34.5%1.5%-0.5%-3.4M15.8M-222.7K1.4621.038961,30524,26433,861
2007-08-20$53.54$56.0032.3%9.3%30.9%0.0%32.6%1.6%-0.6%335.1K-9.7M-216.8K0.5026.7992545915,06311,733
2007-08-21$52.43$56.0032.5%9.3%30.8%0.0%32.8%1.7%0.0%282.5K-3.8M-217.5K2.0719.841,1012,27615,51712,092
2007-08-22$52.35$55.0031.0%8.9%26.3%0.0%31.0%1.1%0.1%204.9K-1.7M-220.3K0.7223.1887363016,21912,979
2007-08-23$52.65$55.0028.2%8.1%25.8%0.0%29.1%1.9%0.4%263.5K-4.3M-223.5K1.1020.9481990216,67313,302
2007-08-24$53.64$55.0026.7%7.7%24.7%0.0%27.4%1.8%0.1%406.0K-12.3M-233.1K1.6817.317811,31117,31314,079
2007-08-27$54.33$55.0026.6%7.6%25.3%0.0%27.7%0.4%0.3%237.9K-16.0M-228.7K1.4419.3733648317,05614,930
2007-08-28$54.03$55.0026.8%7.7%24.2%0.0%27.5%0.9%0.1%151.7K-12.8M-227.6K0.0725.011,54111517,19015,287
2007-08-29$55.55$55.0026.6%7.6%26.4%0.0%27.7%1.1%0.5%568.7K-26.1M-231.3K4.3815.596112,67617,73215,318
2007-08-30$55.50$55.0027.0%7.7%26.4%0.0%28.0%1.4%0.3%249.6K-19.6M-257.2K0.6117.8553332517,82217,617
2007-08-31$55.78$55.0026.8%7.7%25.4%0.0%26.8%1.2%0.7%346.1K-23.4M-256.2K0.2019.371,78035418,14417,812