USO Options History — April 2008 In April 2008, USO traded between $81.06 and $95.69. ATM implied volatility averaged 38.0%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.5% (HV 20d: 31.4%). Max pain ranged from $83.00 to $95.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.30.
Notable Days 2008-04-15 : Highest Volume — 44,637 contracts2008-04-14 : Largest IV spike — 4.2% change2008-04-07 : Highest IV Rank — 79.0%2008-04-07 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $90.32 $81.06 $95.69 $81.06 $92.50 Max Pain $88.77 $83.00 $95.00 $83.00 $95.00 ATM IV 38.0% 35.9% 39.7% 38.4% 36.4% Expected Move 10.9% 10.3% 11.7% 11.0% 10.4% HV 20d 31.4% 20.3% 39.7% 39.1% 22.1% HV 60d 31.7% 31.0% 32.5% 31.9% 31.8% IV Rank 70.9% 61.0% 79.0% 72.8% 63.5% IV Percentile 89.2% 80.2% 97.4% 94.2% 80.5% Term Structure -1.9% -4.4% 0.5% -1.8% -0.2% VWIV 38.5% 36.1% 41.1% 38.2% 36.4% Skew 25d 1.2% -0.1% 3.3% 0.8% 2.4% Skew 10d 2.0% 0.1% 6.0% 1.7% 6.0% Call IV 25d 38.0% 34.9% 40.4% 38.1% 34.9% Put IV 25d 39.2% 36.9% 41.3% 38.9% 37.3% Bid-Ask Spread % 14.42 7.91 27.60 11.74 27.60 Gamma HHI 0.08 0.05 0.13 0.09 0.05 Net GEX -15.7M -41.3M 5.5M -41.3M -22.0M Net DEX -106.7M -590.9M 433.6M 433.6M 187.6M Net VEX -2.4M -3.3M -1.8M -2.6M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.30 0.89 6.29 1.78 2.88 Total Volume 28,528.409 7,341 44,637 15,767 41,693 Total OI 366,015.045 212,994 482,071 362,951 332,889
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2008-04-01 $81.06 $83.00 38.4% 11.0% 39.1% 72.8% 38.2% 0.8% -1.8% -41.3M 433.6M -2.6M 1.78 11.74 5,673 10,094 90,154 272,797 2008-04-02 $83.78 $83.00 38.5% 11.0% 39.7% 73.4% 39.0% 1.8% -1.1% -34.3M 196.9M -2.5M 1.72 16.16 14,707 25,240 92,384 271,281 2008-04-03 $83.65 $83.00 39.6% 11.3% 35.9% 78.6% 39.4% 1.8% -2.0% -35.7M 219.7M -2.6M 2.73 12.07 5,705 15,564 101,719 281,730 2008-04-04 $84.88 $85.00 39.6% 11.0% 36.2% 78.7% 39.0% -0.1% -3.8% -32.1M 97.2M -2.5M 2.39 8.97 6,381 15,268 104,678 284,798 2008-04-07 $86.93 $85.00 39.7% 11.7% 37.1% 79.0% 41.1% 0.9% -4.4% -24.1M -78.9M -2.4M 1.26 9.45 10,657 13,399 104,360 292,754 2008-04-08 $87.19 $86.00 38.0% 11.2% 36.3% 71.3% 39.4% 0.7% -2.8% -25.1M -85.1M -2.3M 4.01 11.84 4,408 17,670 108,563 299,598 2008-04-09 $88.90 $87.00 37.3% 11.4% 36.9% 67.5% 40.3% 1.1% -3.2% -20.7M -223.6M -2.2M 1.56 7.91 16,218 25,318 109,838 309,683 2008-04-10 $88.18 $87.00 38.0% 10.9% 37.0% 70.9% 38.5% -0.1% -2.5% -18.9M -187.1M -2.2M 0.89 9.38 8,559 7,656 112,824 312,185 2008-04-11 $88.48 $87.00 37.0% 10.6% 37.0% 66.4% 38.5% 1.0% -2.2% -15.4M -230.8M -2.1M 3.35 12.03 1,688 5,653 113,973 314,466 2008-04-14 $89.64 $87.00 38.6% 11.1% 37.0% 73.9% 39.2% 0.4% -3.3% -7.6M -330.0M -1.9M 2.03 11.72 4,475 9,076 114,327 316,429 2008-04-15 $91.44 $87.00 38.6% 11.1% 34.4% 74.1% 39.4% 0.9% -2.7% 3.8M -470.0M -1.8M 1.62 10.28 17,005 27,632 115,048 320,787 2008-04-16 $92.15 $89.00 38.7% 11.1% 33.2% 74.4% 39.5% 1.4% -2.7% 3.4M -500.1M -2.1M 1.19 17.79 14,117 16,774 125,237 343,406 2008-04-17 $92.37 $90.00 39.3% 11.3% 28.6% 77.0% 39.4% 0.6% -3.3% 5.5M -501.0M -2.1M 1.61 12.78 7,398 11,895 126,747 348,941 2008-04-18 $93.79 $90.00 38.4% 11.0% 27.9% 73.1% 38.5% 1.3% -3.5% 3.2M -590.9M -2.0M 1.38 12.46 18,481 25,435 126,611 355,460 2008-04-21 $94.38 $90.00 37.5% 10.7% 26.9% 68.4% 37.8% 0.8% -1.3% -7.0M -103.8M -2.1M 2.48 16.12 11,413 28,359 63,558 149,441 2008-04-22 $95.08 $90.00 38.4% 11.0% 26.8% 72.9% 38.8% 1.1% -1.3% -6.3M -122.4M -2.1M 1.54 16.37 12,185 18,753 63,554 149,440 2008-04-23 $95.18 $93.00 36.9% 10.6% 24.0% 65.9% 37.2% 1.7% -0.4% -9.8M -78.5M -2.6M 2.91 15.80 5,734 16,663 76,415 181,059 2008-04-24 $93.20 $94.00 35.9% 10.3% 25.7% 61.0% 36.1% 1.3% -0.2% -13.5M 27.4M -2.8M 2.47 18.61 9,327 23,031 78,158 188,352 2008-04-25 $95.66 $94.00 36.5% 10.5% 25.7% 64.0% 36.8% 2.2% 0.5% -13.6M -64.3M -2.7M 2.32 15.34 11,285 26,208 81,963 199,495 2008-04-28 $95.69 $94.00 36.9% 10.6% 20.3% 65.6% 38.1% 3.3% -0.2% -14.5M -61.6M -2.9M 2.29 26.00 6,131 14,061 89,941 214,094 2008-04-29 $92.99 $94.00 37.5% 10.7% 23.9% 68.5% 37.0% 1.1% 0.1% -19.6M 118.0M -3.0M 6.29 16.87 5,574 35,062 93,628 219,566 2008-04-30 $92.50 $95.00 36.4% 10.4% 22.1% 63.5% 36.4% 2.4% -0.2% -22.0M 187.6M -3.3M 2.88 27.60 10,744 30,949 96,082 236,807
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