USO Options History — August 2008

In August 2008, USO traded between $91.26 and $101.04. ATM implied volatility averaged 43.9%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.5% (HV 20d: 38.4%). Max pain ranged from $98.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2008-08-21: Highest Volume — 85,217 contracts
  • 2008-08-14: Largest IV spike — 17.3% change
  • 2008-08-29: Highest IV Rank — 87.2%
  • 2008-08-29: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.22$91.26$101.04$101.04$92.87
Max Pain$106.38$98.00$115.00$108.00$98.00
ATM IV43.9%38.4%48.2%42.8%48.2%
Expected Move12.8%11.9%13.8%12.3%13.8%
HV 20d38.4%33.1%44.1%43.0%38.1%
HV 60d41.4%40.4%42.6%40.4%41.3%
IV Rank70.3%48.3%87.2%65.9%87.2%
IV Percentile87.8%67.9%98.0%87.7%98.0%
Term Structure0.5%-0.8%2.6%2.6%-0.8%
VWIV45.2%42.2%48.8%43.0%48.8%
Skew 25d0.1%-1.0%1.6%0.3%-0.8%
Skew 10d0.2%-3.4%2.6%1.9%-3.4%
Call IV 25d45.3%42.4%49.5%43.4%49.5%
Put IV 25d45.4%41.9%48.7%43.8%48.7%
Bid-Ask Spread %12.048.4916.5416.5413.64
Gamma HHI0.090.070.130.070.09
Net GEX-46.5M-64.2M-32.2M-44.8M-37.1M
Net DEX1.58B813.0M2.37B1.25B1.14B
Net VEX-9.7M-10.4M-9.4M-10.4M-10.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.472.620.470.94
Total Volume50,742.95227,63085,21730,73034,578
Total OI779,714.81671,627886,667747,871777,327

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$101.04$108.0042.8%12.3%43.0%65.9%43.0%0.3%2.6%-44.8M1.25B-10.4M0.4716.5420,9299,801223,693524,178
2008-08-04$97.52$115.0046.2%13.1%44.1%79.1%46.2%1.0%0.8%-45.0M1.56B-10.0M0.819.9131,88025,773235,439524,987
2008-08-05$95.59$115.0046.1%13.2%42.2%78.7%46.4%1.6%-0.0%-47.0M1.80B-9.9M2.578.4911,39329,230247,857535,682
2008-08-06$95.42$115.0045.6%13.2%42.2%76.8%46.3%1.3%-0.1%-51.1M1.87B-9.9M1.259.8214,66718,385250,418550,239
2008-08-07$96.44$112.0042.2%13.0%38.7%63.3%46.0%0.2%0.5%-54.3M1.78B-10.0M0.849.7921,78118,300252,477555,608
2008-08-08$92.68$110.0040.6%12.7%37.9%57.3%44.6%0.1%0.3%-55.7M2.16B-9.5M1.4811.8332,44248,022262,533560,679
2008-08-11$92.51$110.0042.5%12.6%37.8%64.5%44.6%0.2%0.7%-64.2M2.27B-9.4M2.6214.2116,48643,240270,812581,275
2008-08-12$91.49$110.0042.6%12.8%35.9%65.0%44.7%0.3%-0.2%-61.8M2.37B-9.4M1.7112.2717,52829,899275,389588,457
2008-08-13$93.75$110.0038.4%12.9%37.2%48.3%45.8%0.6%-0.1%-60.6M2.00B-9.6M0.9613.1140,23738,602283,489585,006
2008-08-14$92.74$109.0045.0%12.9%35.8%74.5%45.9%0.7%0.3%-54.6M2.11B-9.6M1.7112.5216,99729,053295,352585,593
2008-08-15$91.80$109.0046.7%13.4%35.8%81.2%47.1%0.1%0.3%-53.3M2.19B-9.6M1.9714.2325,62850,612294,699591,968
2008-08-18$91.26$105.0045.1%12.9%34.3%75.0%45.5%-0.4%0.0%-43.6M1.50B-9.6M0.7810.6216,89113,196183,718487,909
2008-08-19$92.74$105.0042.8%12.3%34.1%65.9%43.3%-0.3%1.2%-42.5M1.33B-9.6M1.3410.7614,39619,263194,302490,286
2008-08-20$93.98$102.0041.9%12.0%33.1%62.3%42.5%0.4%0.8%-44.1M1.29B-9.7M2.0913.1122,05446,036201,468501,084
2008-08-21$98.21$102.0043.0%12.3%36.7%66.8%43.5%-0.2%0.7%-34.1M813.0M-9.8M1.2212.8338,39346,824215,439490,206
2008-08-22$92.54$100.0041.7%11.9%41.6%61.3%42.2%-0.6%1.5%-38.9M1.29B-9.5M1.3411.6833,71245,108236,050486,492
2008-08-25$93.10$100.0042.4%12.2%41.3%64.4%42.7%-0.2%1.5%-38.9M1.25B-9.4M1.7112.5110,18117,449248,760493,787
2008-08-26$93.90$100.0044.9%12.9%40.7%74.1%45.4%-0.5%1.2%-36.9M1.14B-9.7M0.8311.9015,94013,170253,166499,468
2008-08-27$95.66$100.0046.7%13.4%38.3%81.1%46.7%-1.0%-0.7%-32.2M924.9M-9.7M0.9212.9123,32321,537259,598496,097
2008-08-28$93.39$99.0047.4%13.6%38.5%84.1%47.4%-0.8%-0.1%-35.3M1.15B-10.0M1.7310.0715,60727,059273,983509,041
2008-08-29$92.87$98.0048.2%13.8%38.1%87.2%48.8%-0.8%-0.8%-37.1M1.14B-10.1M0.9413.6417,86516,713259,718517,609