USO Options History — December 2007

In December 2007, USO traded between $68.69 and $76.25. ATM implied volatility averaged 32.1%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.0% (HV 20d: 33.1%). Max pain ranged from $72.00 to $74.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.40.

Notable Days

  • 2007-12-05: Highest Volume — 22,587 contracts
  • 2007-12-31: Largest IV spike — 8.7% change
  • 2007-12-03: Highest IV Rank — 84.2%
  • 2007-12-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.35$68.69$76.25$70.70$75.76
Max Pain$72.90$72.00$74.00$73.00$74.00
ATM IV32.1%26.2%37.5%37.5%34.7%
Expected Move9.1%7.5%10.8%10.8%10.0%
HV 20d33.1%29.3%36.4%31.5%29.3%
HV 60d32.6%30.8%33.4%30.8%32.9%
IV Rank52.5%17.9%84.2%84.2%67.8%
IV Percentile72.8%22.8%93.1%93.1%89.0%
Term Structure-0.1%-3.2%4.2%-2.4%-1.0%
VWIV32.1%26.0%37.6%37.6%34.7%
Skew 25d-0.5%-2.4%1.7%0.2%-2.4%
Skew 10d-1.6%-4.7%0.6%0.3%-4.4%
Call IV 25d32.8%27.0%38.0%38.0%36.2%
Put IV 25d32.2%26.3%38.1%38.1%33.8%
Bid-Ask Spread %23.599.4058.8814.9528.77
Gamma HHI0.100.070.210.070.10
Net GEX-24.4M-40.7M-14.3M-24.2M-14.7M
Net DEX191.9M378.9K392.8M306.3M27.2M
Net VEX-1.6M-1.9M-1.3M-1.9M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.388.031.071.02
Total Volume11,292.052,36422,58715,4384,604
Total OI258,235.05205,810291,465254,973227,916

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$70.70$73.0037.5%10.8%31.5%84.2%37.6%0.2%-2.4%-24.2M306.3M-1.9M1.0714.957,4707,96862,666192,307
2007-12-04$69.40$73.0036.9%10.6%31.9%80.3%37.3%0.7%-3.2%-23.5M350.3M-1.8M1.6424.643,7706,17665,566190,074
2007-12-05$68.69$73.0034.7%10.0%30.3%67.9%34.7%-0.2%-1.6%-23.9M392.8M-1.7M2.2316.416,99215,59566,291188,739
2007-12-06$71.02$73.0032.9%9.4%33.1%57.1%33.4%1.7%-0.6%-23.4M254.6M-1.8M2.389.403,5288,39569,983192,230
2007-12-07$69.43$72.0033.2%9.3%33.8%58.9%33.0%-0.1%-1.2%-25.1M353.9M-1.8M2.9517.332,2806,72170,165194,018
2007-12-10$69.36$72.0035.6%9.5%33.5%73.0%33.0%-0.2%-1.6%-25.9M367.4M-1.7M2.8520.771,2483,55770,430195,281
2007-12-11$70.26$72.0034.6%9.2%32.8%67.1%33.2%-0.8%-0.1%-26.4M310.6M-1.7M1.2058.883,0203,62771,401198,392
2007-12-12$73.90$72.0032.2%9.4%36.4%53.2%33.9%0.4%0.2%-20.3M47.9M-1.6M2.7746.105,04713,99672,371198,913
2007-12-13$73.17$72.0033.2%9.5%35.7%58.8%33.5%-1.3%-0.7%-23.1M110.6M-1.6M8.0315.271,80914,52473,132201,603
2007-12-14$72.26$73.0032.5%9.3%36.0%55.0%32.6%-1.5%-0.2%-28.1M199.6M-1.6M2.2517.372,6105,88073,469207,126
2007-12-17$71.89$73.0031.8%9.1%35.1%50.6%31.8%-0.7%-0.2%-28.2M217.8M-1.5M5.1425.272,73814,08773,881206,124
2007-12-18$71.11$73.0030.3%8.7%35.1%42.2%30.8%-1.5%-0.1%-30.1M293.7M-1.6M2.4430.662,9057,07874,826214,716
2007-12-19$72.15$73.0029.9%8.6%32.4%39.4%29.9%-1.1%0.6%-30.8M219.0M-1.6M4.0726.611,0334,20575,305214,427
2007-12-20$72.10$73.0027.3%7.8%32.3%24.5%27.7%-0.4%2.4%-34.3M227.4M-1.5M3.1321.922,3877,46275,453215,975
2007-12-21$73.80$73.0026.2%7.5%33.6%17.9%26.0%-0.7%4.2%-40.7M41.5M-1.4M1.3823.895,3317,33675,621215,844
2007-12-24$73.95$73.0027.2%7.8%33.5%23.5%27.0%0.1%1.3%-19.3M92.9M-1.4M0.3823.091,71864647,049158,761
2007-12-26$75.91$73.0029.1%8.3%33.6%34.9%28.8%0.6%1.8%-16.2M14.5M-1.3M0.8016.795,8154,66547,040159,025
2007-12-27$76.25$74.0030.4%8.7%30.9%42.7%30.9%-1.0%0.7%-14.5M378.9K-1.4M0.5118.227,5023,79249,465161,376
2007-12-28$75.89$74.0031.9%9.2%31.0%51.5%32.1%-2.3%-0.3%-14.3M9.0M-1.4M1.6915.496,80511,51954,765162,975
2007-12-31$75.76$74.0034.7%10.0%29.3%67.8%34.7%-2.4%-1.0%-14.7M27.2M-1.5M1.0228.772,2832,32159,534168,382