USO Options History — January 2008

In January 2008, USO traded between $69.50 and $78.47. ATM implied volatility averaged 31.7%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.1% (HV 20d: 26.5%). Max pain ranged from $74.00 to $78.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.41.

Notable Days

  • 2008-01-03: Highest Volume — 28,814 contracts
  • 2008-01-22: Largest IV spike — 18.9% change
  • 2008-01-02: Highest IV Rank — 82.7%
  • 2008-01-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.48$69.50$78.47$78.47$72.35
Max Pain$76.14$74.00$78.00$74.00$75.00
ATM IV31.7%28.3%37.3%37.3%28.3%
Expected Move9.2%8.1%10.7%10.7%8.1%
HV 20d26.5%20.8%31.3%31.3%20.8%
HV 60d32.4%28.6%33.5%33.5%28.6%
IV Rank49.9%30.4%82.7%82.7%30.4%
IV Percentile69.6%44.6%92.7%92.7%44.6%
Term Structure-0.4%-2.7%1.1%-1.7%1.1%
VWIV32.2%28.4%38.0%38.0%28.4%
Skew 25d-0.5%-2.0%1.7%-1.0%0.1%
Skew 10d-1.4%-3.3%1.2%-2.5%-0.6%
Call IV 25d32.9%28.7%38.6%38.6%28.7%
Put IV 25d32.4%28.9%37.6%37.6%28.9%
Bid-Ask Spread %16.437.3439.1914.8316.47
Gamma HHI0.120.080.190.090.11
Net GEX-22.1M-45.0M-9.5M-9.5M-18.9M
Net DEX215.6M-86.4M480.1M-86.4M263.7M
Net VEX-1.6M-1.7M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.9110.360.913.96
Total Volume14,088.3333,80828,81419,3275,869
Total OI234,026.429144,707306,293229,319170,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$78.47$74.0037.3%10.7%31.3%82.7%38.0%-1.0%-1.7%-9.5M-86.4M-1.4M0.9114.8310,0939,23460,880168,439
2008-01-03$78.37$74.0035.7%10.2%30.1%73.7%36.2%-1.3%-1.6%-9.9M-84.2M-1.5M1.1714.2113,27915,53568,011174,271
2008-01-04$77.31$78.0032.8%9.5%30.4%56.5%33.3%-2.0%-1.2%-11.7M-24.3M-1.7M2.239.355,00711,17779,025186,453
2008-01-07$75.50$78.0032.9%9.5%30.3%57.0%33.3%-1.4%-1.5%-19.6M90.0M-1.7M4.207.895,29722,25882,237193,049
2008-01-08$76.06$77.0032.4%9.5%28.7%54.1%33.5%-1.8%-1.0%-14.4M32.3M-1.7M2.187.912,7886,08285,379192,698
2008-01-09$75.25$77.0029.4%9.5%29.2%36.6%33.5%-1.2%-0.9%-18.2M86.9M-1.7M2.337.344,0979,53787,330196,556
2008-01-10$74.02$77.0032.8%9.4%29.9%56.2%33.0%-1.1%-1.1%-24.0M196.8M-1.7M3.238.113,73812,05886,857199,980
2008-01-11$73.09$77.0031.2%8.9%24.3%47.2%32.0%-1.6%-0.4%-31.1M293.5M-1.7M2.0511.914,4859,18386,518202,902
2008-01-14$74.25$77.0031.3%9.0%24.7%47.9%31.4%-1.3%-0.8%-27.3M190.6M-1.6M3.2412.298982,91087,129203,508
2008-01-15$72.78$77.0032.0%9.2%25.4%51.6%32.1%-0.4%-0.6%-34.5M324.2M-1.5M10.3612.421,66717,26287,240204,634
2008-01-16$71.85$77.0031.6%9.1%25.8%49.8%31.5%-0.9%-0.1%-42.1M410.3M-1.5M3.2013.132,8849,22687,657210,359
2008-01-17$71.03$77.0029.3%8.4%25.8%35.9%29.6%0.1%0.9%-45.0M480.1M-1.5M5.0217.584,41922,20588,697212,781
2008-01-18$71.54$77.0028.9%8.3%25.4%34.0%29.2%0.5%1.1%-42.1M432.4M-1.5M1.0016.244,9914,98490,878215,415
2008-01-22$70.55$76.0034.4%9.9%25.8%66.1%34.6%1.7%-2.7%-14.4M293.0M-1.4M2.6824.852,2796,10641,383103,324
2008-01-23$69.50$76.0032.6%9.3%24.6%55.2%32.7%0.5%0.0%-14.9M333.9M-1.4M2.1131.183,6407,67542,257106,310
2008-01-24$70.93$75.0030.6%8.8%25.9%43.8%31.3%0.4%1.0%-16.2M290.2M-1.5M3.1120.333,56211,08443,829109,145
2008-01-25$71.91$75.0031.0%8.9%24.4%46.3%31.4%-0.4%-0.2%-15.9M250.9M-1.5M1.8839.196,25311,76346,075110,235
2008-01-28$72.35$75.0031.5%9.0%24.5%49.0%31.6%0.2%-0.4%-17.2M257.7M-1.6M8.8122.351,33711,77446,403117,327
2008-01-29$72.98$75.0030.1%8.6%24.8%40.7%29.9%-0.6%0.4%-18.6M253.3M-1.6M3.9518.999863,89547,095123,129
2008-01-30$73.08$75.0028.8%8.2%24.8%33.0%29.1%0.1%0.8%-18.5M242.4M-1.6M3.9218.488823,45647,154121,746
2008-01-31$72.35$75.0028.3%8.1%20.8%30.4%28.4%0.1%1.1%-18.9M263.7M-1.6M3.9616.471,1844,68547,463122,797