USO Options History — November 2007

In November 2007, USO traded between $69.91 and $77.34. ATM implied volatility averaged 35.9%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 1.2% (HV 20d: 37.1%). Max pain ranged from $70.00 to $74.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.86.

Notable Days

  • 2007-11-13: Highest Volume — 33,208 contracts
  • 2007-11-12: Largest IV spike — 14.5% change
  • 2007-11-06: Highest IV Rank — 100.0%
  • 2007-11-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.82$69.91$77.34$72.17$69.91
Max Pain$72.95$70.00$74.00$70.00$73.00
ATM IV35.9%30.7%40.2%38.0%36.1%
Expected Move10.2%8.8%11.4%10.9%10.4%
HV 20d37.1%32.6%39.4%36.0%33.2%
HV 60d28.2%26.7%30.8%26.7%30.8%
IV Rank72.1%44.4%100.0%100.0%76.1%
IV Percentile91.3%79.3%100.0%100.0%92.3%
Term Structure-0.6%-3.1%1.9%-2.4%-1.4%
VWIV35.7%30.7%39.1%38.2%36.6%
Skew 25d-1.3%-4.7%1.4%-4.7%-0.9%
Skew 10d-2.5%-5.7%0.1%-4.4%-1.2%
Call IV 25d36.9%30.7%42.0%42.0%37.3%
Put IV 25d35.5%31.0%38.5%37.3%36.4%
Bid-Ask Spread %25.4910.9661.8510.9622.43
Gamma HHI0.080.060.110.080.07
Net GEX-13.0M-23.1M-5.9M-11.6M-22.7M
Net DEX7.7M-138.6M342.8M-24.2M342.8M
Net VEX-1.5M-1.9M-1.2M-1.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.716.691.282.59
Total Volume17,916.2381,39533,20817,82631,513
Total OI225,624175,134260,609189,175252,052

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$72.17$70.0038.0%10.9%36.0%0.0%38.2%-4.7%-2.4%-11.6M-24.2M-1.3M1.2810.967,81810,00848,559140,616
2007-11-02$74.35$70.0039.7%11.4%36.5%0.0%38.6%-4.6%-2.3%-8.5M-102.5M-1.2M1.2426.289,10811,33351,157142,000
2007-11-05$73.54$72.0038.7%10.6%35.1%0.0%37.0%-3.2%-3.1%-9.9M-70.9M-1.3M2.9214.672,5227,36257,603147,993
2007-11-06$75.34$72.0040.2%11.1%35.5%100.0%38.5%-3.3%-3.1%-7.4M-138.6M-1.2M1.1814.717,4838,85958,050150,578
2007-11-07$74.48$73.0038.2%11.0%36.2%88.1%39.1%-3.0%-1.6%-8.4M-103.7M-1.3M1.5731.237,67012,06261,025155,326
2007-11-08$74.08$73.0038.9%11.0%36.4%91.9%39.0%-2.4%-1.6%-10.0M-82.5M-1.4M2.3513.563,7698,85464,302162,377
2007-11-09$74.77$73.0034.5%10.7%36.4%66.5%36.9%-0.6%-1.2%-9.1M-98.6M-1.3M4.3338.943,69215,98865,042166,808
2007-11-12$72.77$74.0039.5%10.8%37.5%95.7%38.6%-0.9%-2.2%-13.9M22.7M-1.5M3.7217.414,68217,41466,429175,884
2007-11-13$70.93$74.0038.7%10.4%38.7%90.9%36.8%1.4%-0.9%-23.1M168.1M-1.5M2.6921.699,00524,20366,715186,170
2007-11-14$72.60$73.0037.4%9.8%39.2%83.3%34.6%-0.2%0.0%-15.5M25.7M-1.4M2.6911.672,0425,49370,182186,298
2007-11-15$72.30$73.0033.5%9.6%38.7%60.8%34.0%-0.1%0.4%-15.9M36.5M-1.4M6.6914.061,65411,07370,843186,723
2007-11-16$73.90$73.0031.9%9.1%38.6%51.3%32.0%0.1%1.9%-5.9M-69.2M-1.3M0.7118.1616,54511,72470,817189,792
2007-11-19$74.49$73.0030.7%8.8%38.3%44.4%30.7%0.4%1.8%-10.3M-3.3M-1.3M2.4915.748,07120,08045,107130,027
2007-11-20$77.34$73.0032.8%9.4%39.4%56.5%33.0%-0.2%1.7%-9.7M-93.7M-1.4M1.9915.056,47212,90752,868147,156
2007-11-21$76.44$73.0033.4%9.6%38.9%60.2%34.0%-0.5%0.8%-11.4M-47.0M-1.6M5.1534.503,07515,82556,186155,881
2007-11-23$76.76$74.0034.7%10.0%37.7%67.8%34.9%-2.3%0.9%-11.9M-51.4M-1.6M2.2819.5942597057,112164,680
2007-11-26$76.25$74.0034.4%9.9%37.7%65.9%34.8%-2.0%0.9%-11.9M-44.3M-1.5M2.8661.853,62310,37457,318162,843
2007-11-27$74.30$74.0034.2%9.8%38.7%65.0%33.7%-1.2%-0.3%-15.0M58.0M-1.7M4.7658.162,46811,75959,960170,396
2007-11-28$71.80$74.0033.4%9.6%37.7%60.1%33.4%-0.2%0.3%-19.1M199.6M-1.9M2.9722.693,80311,29360,933178,570
2007-11-29$71.64$74.0035.5%10.2%32.6%72.5%35.8%0.4%-1.4%-20.8M238.5M-1.9M3.6252.032,86210,35861,935183,791
2007-11-30$69.91$73.0036.1%10.4%33.2%76.1%36.6%-0.9%-1.4%-22.7M342.8M-1.9M2.5922.438,77222,74163,163188,889