USO Options History — October 2007

In October 2007, USO traded between $60.76 and $73.27. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.1% (HV 20d: 24.8%). Max pain ranged from $60.00 to $69.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 2.56.

Notable Days

  • 2007-10-31: Highest Volume — 34,368 contracts
  • 2007-10-31: Largest IV spike — 18.6% change
  • 2007-10-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.80$60.76$73.27$61.59$73.27
Max Pain$64.17$60.00$69.00$61.00$69.00
ATM IV30.9%27.8%39.6%29.0%39.6%
Expected Move8.9%8.1%11.4%8.3%11.4%
HV 20d24.8%19.7%35.3%20.2%35.3%
HV 60d24.5%23.5%26.4%23.8%26.4%
Term Structure-0.8%-5.1%1.0%0.6%-3.7%
VWIV31.5%28.8%39.9%29.3%39.9%
Skew 25d1.4%-2.2%2.6%2.5%-2.2%
Skew 10d3.2%-3.7%5.1%4.3%-0.6%
Call IV 25d31.0%27.3%41.8%28.2%41.8%
Put IV 25d32.4%29.2%39.7%30.8%39.7%
Bid-Ask Spread %15.638.5623.9517.4213.62
Gamma HHI0.130.080.250.160.09
Net GEX-7.4M-12.8M1.4M-7.6M-8.5M
Net DEX-20.0M-119.5M91.5M10.8M-66.9M
Net VEX-727.9K-1.2M-534.2K-581.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.561.385.172.101.81
Total Volume12,957.8261,15734,3684,30734,368
Total OI113,775.60986,114169,99986,114169,999

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$61.59$61.0029.0%8.3%20.2%0.0%29.3%2.5%0.6%-7.6M10.8M-581.0K2.1017.421,3912,91622,60263,512
2007-10-02$61.63$60.0029.4%8.4%19.7%0.0%30.0%2.0%0.0%-7.3M7.8M-579.8K3.3115.561,0653,52123,21963,181
2007-10-03$61.29$60.0028.7%8.2%19.9%0.0%29.3%1.8%0.1%-7.9M12.8M-569.8K2.7216.9531184623,56863,575
2007-10-04$62.61$60.0028.4%8.1%20.9%0.0%28.8%2.4%0.8%-6.9M-15.0M-540.1K2.1814.208821,92623,59763,908
2007-10-05$62.28$63.0027.8%8.2%21.2%0.0%29.2%2.4%-0.8%-7.1M-11.1M-534.2K1.9122.082,6185,00223,78764,221
2007-10-08$60.76$63.0029.6%8.4%22.8%0.0%29.3%2.5%-1.3%-9.2M29.3M-585.7K2.6914.381,7514,70825,32566,770
2007-10-09$61.40$63.0028.8%8.4%23.0%0.0%29.5%2.3%-0.9%-8.2M3.9M-588.5K2.3317.187421,72725,91966,597
2007-10-10$62.40$62.0028.7%8.4%22.8%0.0%29.0%2.1%-1.2%-7.1M-17.3M-558.8K3.5023.951,1794,12826,06267,088
2007-10-11$63.59$63.0028.2%8.1%23.6%0.0%29.5%2.3%0.7%-6.5M-38.5M-562.9K2.1422.902,9086,23126,62369,730
2007-10-12$64.00$62.0028.3%8.1%23.4%0.0%29.2%1.4%0.5%-5.6M-53.5M-561.5K2.3716.002,3485,56128,05771,968
2007-10-15$65.89$62.0028.6%8.2%24.9%0.0%29.2%2.0%0.9%-4.1M-88.1M-545.6K1.3811.785,2787,30129,06676,413
2007-10-16$66.98$62.0031.5%9.0%24.3%0.0%32.0%0.9%-1.6%-3.1M-103.7M-574.8K1.889.816,22911,72431,86181,145
2007-10-17$66.63$64.0032.8%9.4%24.4%0.0%33.3%1.8%-2.4%-5.4M-73.9M-645.7K1.5615.777,08611,04832,00290,015
2007-10-18$68.17$65.0031.4%9.0%25.1%0.0%32.3%2.1%-1.8%-2.5M-119.5M-644.6K3.2616.905,44717,73436,21395,714
2007-10-19$67.14$66.0030.7%8.8%25.7%0.0%32.3%1.8%-1.7%1.4M-48.6M-831.4K4.1921.763,75415,73438,309111,582
2007-10-22$66.54$66.0030.4%8.7%25.9%0.0%31.3%1.3%-0.1%-10.8M65.8M-925.3K5.1714.941,9179,91724,15986,614
2007-10-23$65.83$67.0030.2%8.7%25.8%0.0%30.5%2.5%1.0%-12.8M91.5M-973.5K2.6313.602,1075,53924,42692,143
2007-10-24$67.98$67.0030.4%8.7%27.6%0.0%31.1%2.6%-0.1%-11.6M38.5M-917.8K2.1712.574,91610,65725,86493,663
2007-10-25$70.12$67.0031.4%9.0%28.0%0.0%32.8%0.8%0.2%-9.8M-22.2M-884.5K2.2911.073,7118,51329,05598,264
2007-10-26$71.17$67.0034.1%9.8%27.3%0.0%35.1%-0.3%-1.8%-9.3M-32.9M-909.1K2.4019.066,34315,20530,562103,283
2007-10-29$72.50$68.0038.3%11.0%26.3%0.0%38.3%-0.9%-5.1%-8.4M-58.8M-917.7K2.408.568,23519,74333,570110,622
2007-10-30$69.54$69.0033.4%9.6%31.6%0.0%34.3%-2.1%-1.1%-12.8M29.8M-1.2M2.579.386,66017,10339,058123,928
2007-10-31$73.27$69.0039.6%11.4%35.3%0.0%39.9%-2.2%-3.7%-8.5M-66.9M-1.1M1.8113.6212,21722,15141,788128,211