USO Options History — February 2008

In February 2008, USO traded between $69.02 and $81.48. ATM implied volatility averaged 30.4%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.6% (HV 20d: 27.8%). Max pain ranged from $72.00 to $78.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.89.

Notable Days

  • 2008-02-19: Highest Volume — 39,969 contracts
  • 2008-02-11: Largest IV spike — 17.5% change
  • 2008-02-20: Highest IV Rank — 63.2%
  • 2008-02-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.57$69.02$81.48$70.47$80.42
Max Pain$74.90$72.00$78.00$75.00$78.00
ATM IV30.4%26.5%33.9%27.8%31.6%
Expected Move8.8%8.0%9.7%8.0%9.1%
HV 20d27.8%22.2%32.8%22.2%32.8%
HV 60d29.3%28.7%30.0%29.0%29.2%
IV Rank42.7%19.6%63.2%27.6%49.4%
IV Percentile61.3%21.8%85.8%41.1%71.1%
Term Structure0.9%-0.4%2.3%1.6%2.3%
VWIV31.2%28.2%34.4%28.2%31.9%
Skew 25d0.2%-0.6%1.5%0.9%-0.5%
Skew 10d0.3%-1.9%2.1%0.8%-1.2%
Call IV 25d31.1%28.0%34.6%28.0%32.0%
Put IV 25d31.4%28.9%34.7%28.9%31.4%
Bid-Ask Spread %17.4313.9522.4416.3722.44
Gamma HHI0.090.070.120.110.07
Net GEX-21.4M-32.4M-13.8M-21.2M-14.9M
Net DEX206.6M-13.4M473.8M354.2M31.3M
Net VEX-1.8M-2.1M-1.5M-1.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.891.1022.628.032.36
Total Volume15,435.37,38439,96911,09110,409
Total OI222,049.4173,616262,945173,616262,945

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$70.47$75.0027.8%8.0%22.2%27.6%28.2%0.9%1.6%-21.2M354.2M-1.6M8.0316.371,2289,86347,895125,721
2008-02-04$71.37$73.0028.8%8.4%22.8%33.0%29.8%-0.3%-0.1%-22.7M331.3M-1.5M5.5214.731,88710,40848,238128,867
2008-02-05$70.15$73.0029.4%8.5%22.2%36.6%29.9%-0.1%-0.4%-25.3M415.4M-1.6M4.7617.982,34711,17848,819136,845
2008-02-06$69.02$73.0030.4%8.5%22.2%42.7%30.0%-0.4%0.1%-25.7M473.8M-1.5M22.6218.6088319,97449,721143,296
2008-02-07$69.80$72.0027.8%8.5%22.8%27.3%30.9%0.8%0.2%-30.5M463.9M-1.7M10.9822.067888,64950,073157,063
2008-02-08$72.90$72.0028.1%8.4%27.8%29.3%30.7%0.7%-0.3%-31.6M308.5M-1.7M2.3315.238,09618,85350,016159,408
2008-02-11$74.55$73.0033.1%8.8%28.5%58.1%31.5%0.6%0.0%-27.3M206.1M-1.7M1.5914.194,7317,50354,185172,945
2008-02-12$73.59$73.0028.6%8.9%28.4%32.2%31.4%0.4%0.0%-32.4M266.2M-1.8M1.4216.064,4776,35056,044176,864
2008-02-13$74.11$73.0026.5%8.7%27.5%19.6%30.5%0.8%0.2%-28.3M227.9M-1.7M1.5817.283,1965,05856,022177,027
2008-02-14$75.76$73.0029.5%8.5%28.0%37.2%30.0%0.9%1.1%-19.4M129.2M-1.7M1.6514.694,7257,80056,385181,193
2008-02-15$75.93$75.0029.4%8.4%27.5%36.6%29.5%-0.1%1.4%-16.4M131.2M-1.7M1.1015.088,6629,50756,852187,024
2008-02-19$78.81$75.0033.8%9.7%30.0%62.3%34.1%0.4%-0.2%-15.3M99.4M-1.6M2.0919.2312,92327,04643,494143,555
2008-02-20$79.32$77.0033.9%9.7%29.2%63.2%34.4%0.1%0.6%-16.5M104.9M-1.9M1.7819.595,76910,28451,309161,216
2008-02-21$77.33$77.0032.0%9.2%30.4%51.8%32.6%1.1%1.5%-19.5M188.4M-2.0M2.1121.867,43015,69054,736166,874
2008-02-22$78.60$77.0031.6%9.1%30.1%49.7%31.9%1.5%1.8%-18.3M141.9M-2.1M1.2221.945,1656,30759,588174,813
2008-02-25$78.74$77.0031.5%9.0%30.0%49.0%31.9%-0.5%1.9%-17.7M119.6M-2.1M1.6317.896,0199,82163,556178,456
2008-02-26$80.10$77.0031.6%9.1%30.3%49.4%31.7%-0.3%2.0%-15.2M47.5M-2.0M1.6515.255,0638,33566,812182,588
2008-02-27$78.92$77.0030.6%8.8%31.1%43.9%30.8%-0.6%2.2%-17.1M103.4M-2.1M1.8814.222,5644,82068,815185,664
2008-02-28$81.48$78.0032.5%9.3%32.6%54.7%32.6%-0.6%1.2%-13.8M-13.4M-1.9M1.5513.955,8379,06168,591187,473
2008-02-29$80.42$78.0031.6%9.1%32.8%49.4%31.9%-0.5%2.3%-14.9M31.3M-2.0M2.3622.443,0957,31470,766192,179