USO Options History — September 2007

In September 2007, USO traded between $56.75 and $63.44. ATM implied volatility averaged 29.1%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.1% (HV 20d: 19.0%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 3.42.

Notable Days

  • 2007-09-12: Highest Volume — 13,019 contracts
  • 2007-09-20: Largest IV spike — 6.6% change
  • 2007-09-20: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.37$56.75$63.44$56.75$62.55
Max Pain$57.11$54.00$60.00$54.00$60.00
ATM IV29.1%27.0%31.5%27.5%27.5%
Expected Move8.2%7.7%8.9%7.9%7.9%
HV 20d19.0%15.3%21.8%21.3%18.7%
HV 60d22.7%22.4%23.6%22.7%23.6%
Term Structure0.1%-1.6%1.7%0.7%0.9%
VWIV29.7%27.6%33.7%28.7%28.2%
Skew 25d2.2%1.0%4.2%1.2%2.2%
Skew 10d4.5%1.8%9.4%1.8%3.7%
Call IV 25d28.3%26.6%29.5%28.1%27.2%
Put IV 25d30.5%27.9%33.3%29.3%29.4%
Bid-Ask Spread %17.9110.0264.2017.6112.99
Gamma HHI0.150.090.200.090.16
Net GEX-2.3M-6.7M683.6K595.2K-6.4M
Net DEX-35.3M-66.6M10.7M-34.3M-13.8M
Net VEX-411.6K-556.5K-242.6K-242.6K-556.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.448.120.443.31
Total Volume6,646.4211,41113,0191,4117,601
Total OI63,531.73736,54791,36736,54783,667

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-09-04$56.75$54.0027.5%7.9%21.3%0.0%28.7%1.2%0.7%595.2K-34.3M-242.6K0.4417.6198242918,60217,945
2007-09-05$57.26$55.0028.6%8.2%21.4%0.0%30.2%1.0%-0.4%683.6K-37.5M-242.7K8.1217.113833,11118,54418,119
2007-09-06$57.63$55.0029.4%8.4%21.4%0.0%29.8%1.2%-0.7%415.0K-36.1M-268.5K2.6613.711,0792,86818,67120,695
2007-09-07$57.76$54.0029.8%8.2%20.9%0.0%30.1%2.0%0.2%327.2K-36.4M-274.8K3.8015.654921,87119,16521,085
2007-09-10$58.79$55.0031.5%8.2%21.3%0.0%29.3%2.7%0.4%281.2K-47.1M-262.7K1.7217.131,1862,04019,26522,517
2007-09-11$58.96$55.0030.9%8.3%21.3%0.0%30.1%2.3%0.0%104.0K-46.1M-275.5K5.0115.501,7638,83719,72523,799
2007-09-12$60.00$55.0030.3%8.3%21.8%0.0%30.3%2.5%0.0%-326.9K-48.8M-339.6K5.2414.022,08510,93420,47331,511
2007-09-13$60.17$55.0028.9%8.3%21.4%0.0%29.7%2.6%0.4%-1.5M-39.1M-416.7K1.2417.752,4663,05221,52939,463
2007-09-14$59.79$56.0028.8%8.2%18.1%0.0%29.4%2.2%0.5%-1.9M-30.8M-425.3K1.3916.422,3643,27921,67240,974
2007-09-17$60.67$57.0029.2%8.4%18.3%0.0%31.3%2.7%-0.5%-1.5M-46.6M-408.4K3.4113.172,9129,92723,03242,826
2007-09-18$62.05$58.0029.8%8.5%18.4%0.0%31.2%2.9%-1.3%-1.6M-60.5M-462.6K3.1021.001,9376,00825,03151,650
2007-09-19$61.82$58.0029.0%8.3%15.6%0.0%29.6%1.5%-1.0%-2.8M-51.7M-485.8K2.6215.402,3216,08225,82656,430
2007-09-20$62.65$58.0031.0%8.9%15.3%0.0%33.7%4.2%-1.6%-2.4M-66.6M-480.5K8.0864.201,25410,13526,63255,638
2007-09-21$62.14$60.0029.7%8.5%16.4%0.0%29.7%2.5%-0.9%-3.7M-51.6M-534.2K2.5212.732,2465,67026,85064,517
2007-09-24$61.82$60.0028.2%8.1%16.6%0.0%28.4%2.3%1.0%-6.1M-769.7K-537.7K1.8214.781,6332,96818,70356,395
2007-09-25$61.07$60.0027.5%7.9%17.8%0.0%28.2%1.9%1.0%-6.7M10.7M-550.8K3.7415.471,0013,74819,93857,316
2007-09-26$61.70$60.0027.0%7.7%17.4%0.0%27.6%1.3%1.7%-6.6M-1.7M-550.3K2.7015.601,2363,33520,24659,131
2007-09-27$63.44$60.0028.2%8.1%17.4%0.0%28.6%2.5%0.6%-5.1M-32.4M-505.4K4.1210.021,3775,67020,94358,578
2007-09-28$62.55$60.0027.5%7.9%18.7%0.0%28.2%2.2%0.9%-6.4M-13.8M-556.5K3.3112.991,7635,83821,67461,993