USO Options History — June 2008

In June 2008, USO traded between $98.98 and $113.75. ATM implied volatility averaged 43.8%, placing in the 77.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 0.4% (HV 20d: 43.5%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2008-06-06: Highest Volume — 176,013 contracts
  • 2008-06-06: Largest IV spike — 30.7% change
  • 2008-06-06: Highest IV Rank — 100.0%
  • 2008-06-06: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.66$98.98$113.75$103.05$113.66
Max Pain$103.05$100.00$105.00$104.00$105.00
ATM IV43.8%38.7%51.0%41.8%41.9%
Expected Move12.6%11.1%14.2%12.0%12.0%
HV 20d43.5%30.8%46.9%31.4%46.2%
HV 60d34.8%31.1%37.0%31.1%35.0%
IV Rank77.0%62.2%100.0%89.3%65.1%
IV Percentile96.6%90.1%100.0%99.2%93.7%
Term Structure-0.6%-3.9%2.7%-1.4%2.4%
VWIV44.3%39.1%49.1%42.0%42.7%
Skew 25d0.8%-0.7%2.4%1.8%1.3%
Skew 10d1.5%-2.0%4.8%3.7%1.6%
Call IV 25d44.1%38.5%49.0%40.7%42.2%
Put IV 25d44.9%39.0%50.3%42.5%43.5%
Bid-Ask Spread %10.677.8614.3311.5511.01
Gamma HHI0.060.040.170.050.05
Net GEX-6.9M-36.5M29.8M-22.1M301.3K
Net DEX-586.2M-1.16B558.1M-8.6M-766.5M
Net VEX-6.4M-7.0M-5.9M-6.4M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.741.052.991.051.44
Total Volume65,13642,502176,01344,01155,770
Total OI708,639.19536,214850,087635,946668,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$103.05$104.0041.8%12.0%31.4%89.3%42.0%1.8%-1.4%-22.1M-8.6M-6.4M1.0511.5521,47422,537220,098415,848
2008-06-03$100.65$104.0040.0%11.5%30.8%80.3%40.1%1.5%-0.2%-30.7M323.8M-6.3M1.5010.2820,34730,428232,219422,586
2008-06-04$98.98$104.0038.7%11.1%31.0%74.3%39.1%-0.5%-0.3%-36.5M558.1M-6.1M2.378.0020,29248,040237,595424,281
2008-06-05$103.95$104.0039.0%11.2%35.2%75.8%39.8%2.2%-1.0%-19.5M-145.1M-6.1M1.3811.6822,33330,820241,830431,346
2008-06-06$112.17$100.0051.0%14.2%44.0%100.0%49.1%2.4%-3.9%2.4M-1.13B-5.9M1.1414.3382,28093,733243,603434,375
2008-06-09$109.05$101.0042.4%12.5%45.4%69.3%44.3%-0.7%-0.0%-430.1K-827.9M-6.4M1.5814.3327,33243,275268,088476,248
2008-06-10$107.02$101.0045.9%13.0%45.3%81.7%45.7%0.2%-2.5%-12.9M-479.6M-6.7M2.8311.0816,15445,685271,405480,219
2008-06-11$110.99$101.0045.7%13.3%46.6%81.1%47.0%-0.3%-3.2%205.5K-1.06B-6.3M1.318.8033,26043,474272,965489,703
2008-06-12$111.27$102.0047.7%13.7%46.1%88.3%48.2%-0.3%-3.9%1.2M-1.12B-6.8M2.089.9416,33833,947291,117505,922
2008-06-13$109.20$102.0047.3%13.6%46.8%85.7%47.9%-0.4%-2.9%-6.3M-816.9M-6.8M1.477.8617,29625,502288,135509,502
2008-06-16$108.99$102.0048.1%13.8%46.5%88.9%48.6%0.7%-2.7%-9.3M-745.0M-6.4M1.6711.2418,75131,298290,973515,444
2008-06-17$108.68$103.0046.9%13.4%46.5%84.1%46.9%0.2%-2.2%-12.0M-706.4M-6.5M2.2710.5213,01129,491299,437530,403
2008-06-18$110.89$103.0043.8%12.6%46.8%72.3%44.6%1.0%-0.2%8.9M-1.16B-6.0M2.428.9019,39247,006296,485527,374
2008-06-19$106.91$103.0044.4%12.7%46.9%74.6%44.5%0.6%0.0%-23.8M-393.4M-6.5M1.1410.4239,44544,962298,554538,839
2008-06-20$109.14$103.0045.1%12.9%46.6%77.3%45.3%1.2%-0.1%29.8M-916.7M-6.2M1.2413.1438,73748,032305,193544,894
2008-06-23$110.92$103.0043.6%12.5%46.7%71.5%44.0%1.3%2.2%-4.3M-504.8M-6.0M1.367.9918,75025,529181,727354,487
2008-06-24$110.95$104.0042.3%12.1%45.6%66.3%43.1%0.8%1.4%-2.6M-544.9M-6.1M2.9910.2612,39037,021193,181365,954
2008-06-25$108.50$105.0041.2%11.8%46.2%62.2%42.4%1.5%1.9%-9.9M-306.4M-6.6M2.1113.4522,37247,201200,907388,349
2008-06-26$113.12$105.0042.4%12.2%46.2%66.9%43.0%1.4%1.4%-56.6K-735.1M-6.7M1.718.2927,84547,525210,948400,735
2008-06-27$113.75$105.0041.2%11.8%46.2%62.3%41.8%0.5%2.7%2.3M-816.8M-6.5M1.4811.1119,64629,135210,948400,735
2008-06-30$113.66$105.0041.9%12.0%46.2%65.1%42.7%1.3%2.4%301.3K-766.5M-7.0M1.4411.0122,82732,943229,705439,066