USO Options History — March 2008

In March 2008, USO traded between $79.40 and $87.21. ATM implied volatility averaged 37.9%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 3.7% (HV 20d: 34.2%). Max pain ranged from $79.00 to $85.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.19.

Notable Days

  • 2008-03-17: Highest Volume — 89,937 contracts
  • 2008-03-17: Largest IV spike — 14.9% change
  • 2008-03-17: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.75$79.40$87.21$81.32$81.36
Max Pain$82.55$79.00$85.00$79.00$84.00
ATM IV37.9%31.6%44.1%33.3%37.7%
Expected Move10.9%9.1%12.6%9.5%10.8%
HV 20d34.2%30.2%39.3%30.7%39.3%
HV 60d29.9%27.9%31.9%28.9%31.9%
IV Rank77.3%49.7%100.0%59.4%69.4%
IV Percentile92.8%71.8%100.0%83.4%90.6%
Term Structure-1.9%-5.8%0.9%0.9%-0.8%
VWIV38.2%31.8%44.8%33.5%37.8%
Skew 25d0.5%-2.1%3.4%-0.4%1.4%
Skew 10d0.4%-5.2%6.2%-2.1%1.9%
Call IV 25d38.4%32.3%45.4%33.8%37.7%
Put IV 25d38.9%32.2%44.5%33.4%39.1%
Bid-Ask Spread %14.897.1522.5318.0112.76
Gamma HHI0.080.060.140.070.09
Net GEX-29.7M-62.4M-11.7M-14.9M-39.8M
Net DEX128.9M-210.6M580.4M9.9M409.0M
Net VEX-2.5M-3.1M-1.8M-1.9M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.191.578.492.702.83
Total Volume40,663.7512,73889,93717,83838,089
Total OI359,989.6266,515478,862266,515356,088

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$81.32$79.0033.3%9.5%30.7%59.4%33.5%-0.4%0.9%-14.9M9.9M-1.9M2.7018.014,82613,01270,706195,809
2008-03-04$79.40$79.0031.6%9.1%32.5%49.7%31.8%-0.1%0.9%-20.2M135.8M-2.1M2.5917.296,07415,74772,456203,286
2008-03-05$83.30$79.0035.5%10.2%34.6%72.4%35.6%0.4%-0.8%-13.6M-65.7M-2.0M2.9722.535,83817,32275,215210,604
2008-03-06$83.89$80.0036.0%10.3%33.4%75.4%35.9%-1.1%-1.2%-14.4M-88.5M-1.9M2.2110.385,80912,82477,056218,780
2008-03-07$83.73$80.0034.7%10.1%33.6%67.6%36.0%-1.6%-1.6%-15.7M-64.2M-2.1M2.4017.356,58115,80278,549223,758
2008-03-10$85.63$81.0037.2%10.5%31.6%82.5%36.8%-2.1%-1.6%-12.7M-176.7M-1.9M1.8610.807,16913,30981,050231,928
2008-03-11$86.34$81.0038.2%10.9%31.1%88.0%38.3%-1.9%-2.4%-11.7M-210.6M-1.8M5.6514.299,13851,63882,815237,434
2008-03-12$86.92$83.0038.2%11.3%30.2%87.9%39.6%-0.6%-2.7%-18.7M-143.9M-2.3M4.018.0412,97252,00986,539277,359
2008-03-13$87.21$85.0039.1%11.2%30.2%93.3%39.5%0.1%-2.8%-25.2M-76.6M-2.6M2.827.159,07525,58690,749312,798
2008-03-14$86.51$85.0038.4%11.0%30.3%89.0%39.4%0.1%-2.4%-27.4M-18.1M-2.8M8.498.566,06751,50193,695320,638
2008-03-17$83.30$85.0044.1%12.6%34.1%100.0%44.8%-0.9%-5.5%-46.6M343.4M-3.1M3.8617.5418,49871,43996,508351,464
2008-03-18$85.80$85.0040.2%11.5%33.3%81.3%40.8%1.5%-3.6%-35.2M22.7M-2.7M2.8113.2714,07439,494100,853346,512
2008-03-19$82.29$85.0043.1%12.3%37.0%95.2%43.5%0.7%-5.8%-56.3M478.3M-3.0M1.5718.9829,47446,266105,883364,632
2008-03-20$81.30$84.0040.4%11.6%36.0%82.2%40.8%3.3%-4.4%-62.4M580.4M-3.1M4.1819.3814,17159,273109,234369,628
2008-03-24$80.26$83.0039.5%11.3%36.0%78.3%39.5%2.6%-2.1%-39.5M531.9M-2.9M1.6417.448,69914,29174,727268,555
2008-03-25$81.47$83.0038.3%11.0%36.4%72.2%38.2%3.4%-1.6%-40.1M443.5M-2.8M2.0613.224,1638,57578,852270,369
2008-03-26$84.81$83.0037.4%10.7%38.5%68.1%38.1%2.4%-0.2%-33.6M179.9M-2.7M4.3813.9612,83256,17280,851271,620
2008-03-27$85.73$83.0038.0%10.9%38.0%71.0%38.4%2.1%-0.3%-29.5M90.2M-2.6M2.3815.445,99214,23385,122267,520
2008-03-28$84.37$84.0036.4%10.4%37.2%63.4%36.5%1.8%-0.1%-35.9M198.3M-2.6M2.3621.494,53910,70286,465273,685
2008-03-31$81.36$84.0037.7%10.8%39.3%69.4%37.8%1.4%-0.8%-39.8M409.0M-2.6M2.8312.769,94228,14786,175269,913