USO Options History — July 2008 In July 2008, USO traded between $98.04 and $117.48. ATM implied volatility averaged 45.5%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 5.7% (HV 20d: 39.8%). Max pain ranged from $106.00 to $115.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.97.
Notable Days 2008-07-17 : Highest Volume — 177,658 contracts2008-07-15 : Largest IV spike — 7.4% change2008-07-17 : Highest IV Rank — 100.0%2008-07-18 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $107.96 $98.04 $117.48 $114.59 $99.99 Max Pain $110.59 $106.00 $115.00 $106.00 $108.00 ATM IV 45.5% 40.2% 51.4% 43.3% 43.1% Expected Move 13.2% 11.5% 14.7% 12.4% 12.4% HV 20d 39.8% 33.0% 45.0% 45.0% 42.6% HV 60d 38.3% 34.8% 40.6% 34.8% 40.5% IV Rank 78.0% 58.3% 100.0% 70.5% 67.1% IV Percentile 95.2% 88.5% 100.0% 95.2% 88.5% Term Structure 1.7% -0.3% 4.1% 2.3% 1.8% VWIV 46.3% 40.4% 51.3% 43.6% 43.6% Skew 25d 1.5% 0.4% 2.5% 1.7% 0.4% Skew 10d 3.2% 1.0% 5.0% 1.8% 1.0% Call IV 25d 45.7% 39.1% 50.8% 42.9% 43.6% Put IV 25d 47.3% 40.4% 53.1% 44.6% 44.0% Bid-Ask Spread % 11.30 8.31 15.01 9.11 12.56 Gamma HHI 0.06 0.04 0.11 0.05 0.07 Net GEX -34.3M -111.1M 12.5M 1.7M -46.8M Net DEX 310.9M -1.37B 1.55B -884.7M 1.36B Net VEX -9.5M -10.7M -7.1M -7.1M -10.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.97 0.74 4.31 3.02 0.75 Total Volume 73,248.273 21,393 177,658 63,913 21,393 Total OI 825,213.818 630,741 1,120,847 696,953 744,692
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 2008-07-01 $114.59 $106.00 43.3% 12.4% 45.0% 70.5% 43.6% 1.7% 2.3% 1.7M -884.7M -7.1M 3.02 9.11 15,912 48,001 243,519 453,434 2008-07-02 $116.84 $107.00 41.8% 12.0% 44.3% 64.7% 42.7% 1.3% 3.6% 870.4K -1.05B -7.6M 1.26 12.43 30,065 37,917 248,220 492,225 2008-07-03 $116.82 $108.00 40.2% 11.5% 41.7% 58.3% 40.4% 1.3% 4.1% 3.4M -1.13B -7.9M 2.34 11.46 12,544 29,387 262,650 512,600 2008-07-07 $114.95 $113.00 41.7% 12.9% 33.0% 64.1% 45.2% 1.7% 2.4% -1.4M -880.3M -7.7M 4.31 9.21 16,243 70,008 266,638 521,919 2008-07-08 $109.92 $114.00 43.6% 13.3% 35.4% 71.5% 46.8% 2.5% 1.8% -30.9M -51.4M -8.5M 2.95 10.45 36,180 106,555 269,653 565,573 2008-07-09 $109.65 $113.00 42.1% 13.0% 34.7% 65.8% 46.1% 1.7% 1.5% -35.4M 27.5M -9.2M 4.09 8.31 15,808 64,678 286,231 616,735 2008-07-10 $114.34 $113.00 45.1% 12.9% 35.5% 77.1% 45.8% 2.0% 1.6% -12.0M -741.7M -9.2M 1.28 10.02 37,342 47,813 290,833 649,973 2008-07-11 $117.39 $113.00 45.3% 13.0% 36.6% 78.2% 45.7% 1.9% 1.2% 1.9M -1.28B -9.1M 1.15 10.63 36,745 42,250 299,933 676,081 2008-07-14 $117.48 $115.00 44.8% 12.8% 35.7% 76.2% 45.3% 2.3% 2.4% 12.5M -1.37B -8.9M 1.48 9.71 22,667 33,555 314,271 691,941 2008-07-15 $112.39 $115.00 48.1% 13.8% 39.5% 89.0% 48.6% 2.0% 0.8% -24.9M -319.3M -9.8M 2.41 10.82 33,184 80,115 320,501 711,485 2008-07-16 $109.25 $114.00 49.1% 14.1% 40.9% 92.6% 49.7% 1.8% 0.0% -61.3M 514.9M -10.4M 1.56 9.20 42,310 65,949 325,546 748,848 2008-07-17 $105.53 $114.00 51.2% 14.7% 42.0% 100.0% 51.3% 2.5% -0.1% -107.7M 1.40B -10.5M 2.76 11.17 47,296 130,362 335,713 767,125 2008-07-18 $104.44 $110.00 51.4% 14.7% 40.2% 100.0% 50.9% 1.5% -0.3% -111.1M 1.55B -10.7M 2.95 10.18 30,416 89,642 350,991 769,856 2008-07-21 $106.67 $110.00 48.4% 13.9% 40.2% 88.3% 48.7% 1.9% 1.5% -39.2M 811.4M -10.5M 1.11 10.90 14,416 15,962 164,969 465,772 2008-07-22 $103.32 $110.00 47.1% 13.5% 41.1% 83.7% 47.7% 1.6% 2.5% -41.8M 1.08B -10.5M 2.35 15.01 14,235 33,520 173,137 474,065 2008-07-23 $100.02 $110.00 48.1% 13.8% 42.3% 87.6% 48.3% 1.6% 1.8% -42.2M 1.30B -10.3M 1.40 12.20 23,132 32,336 179,091 475,096 2008-07-24 $101.46 $108.00 47.0% 13.5% 42.3% 83.4% 47.5% 0.9% 1.4% -41.3M 1.19B -10.4M 0.74 12.87 16,635 12,348 190,132 479,092 2008-07-25 $99.27 $108.00 45.5% 13.0% 39.2% 76.6% 45.6% 0.9% 1.9% -41.5M 1.34B -10.3M 1.47 12.38 19,467 28,619 199,287 481,726 2008-07-28 $100.54 $108.00 46.3% 13.3% 39.6% 79.6% 46.4% 1.3% 0.8% -44.9M 1.31B -10.3M 1.17 14.25 12,451 14,569 199,327 499,504 2008-07-29 $98.04 $108.00 44.6% 12.8% 40.1% 72.9% 44.5% 0.7% 1.4% -46.6M 1.53B -10.1M 1.75 11.88 26,331 46,134 202,070 506,389 2008-07-30 $102.13 $108.00 43.5% 12.5% 43.4% 68.5% 43.9% 0.4% 2.0% -45.5M 1.13B -10.4M 0.93 13.73 29,472 27,498 207,794 520,067 2008-07-31 $99.99 $108.00 43.1% 12.4% 42.6% 67.1% 43.6% 0.4% 1.8% -46.8M 1.36B -10.4M 0.75 12.56 12,194 9,199 218,788 525,904
« Jun 2008 | All History | Aug 2008 » Home USO History July 2008