USO Options History — September 2008

In September 2008, USO traded between $74.99 and $89.19. ATM implied volatility averaged 48.6%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 4.6% (HV 20d: 43.9%). Max pain ranged from $90.00 to $102.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2008-09-02: Highest Volume — 161,196 contracts
  • 2008-09-29: Largest IV spike — 22.5% change
  • 2008-09-18: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.15$74.99$89.19$89.19$82.01
Max Pain$95.81$90.00$102.00$98.00$90.00
ATM IV48.6%42.6%62.1%44.0%58.6%
Expected Move13.9%12.3%17.8%12.6%16.8%
HV 20d43.9%36.0%64.2%38.7%64.2%
HV 60d40.5%37.4%49.4%38.7%49.4%
IV Rank81.5%65.0%100.0%70.6%90.2%
IV Percentile92.3%81.0%100.0%86.5%99.6%
Term Structure-1.7%-4.7%0.9%0.9%-2.5%
VWIV48.9%43.1%62.3%44.6%59.8%
Skew 25d0.5%-1.0%2.8%-1.0%2.0%
Skew 10d0.5%-2.0%4.5%-1.9%4.5%
Call IV 25d48.8%43.0%62.2%45.4%58.3%
Put IV 25d49.4%43.2%63.6%44.4%60.4%
Bid-Ask Spread %14.908.7719.119.8511.96
Gamma HHI0.090.070.120.100.07
Net GEX-39.5M-53.9M-22.7M-48.8M-22.7M
Net DEX1.79B798.3M2.83B1.74B1.18B
Net VEX-7.4M-9.2M-5.7M-9.2M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.653.153.151.93
Total Volume64,40616,588161,196161,19638,656
Total OI834,612.095699,612986,718818,119748,865

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$89.19$98.0044.0%12.6%38.7%70.6%44.6%-1.0%0.9%-48.8M1.74B-9.2M3.159.8538,828122,368289,028529,091
2008-09-03$88.44$96.0043.0%12.3%38.3%66.8%43.1%-0.8%-0.1%-42.3M1.63B-8.3M2.3710.4214,91035,401304,556490,550
2008-09-04$87.02$95.0043.0%12.3%38.5%66.7%43.9%0.0%-0.2%-47.0M1.84B-8.2M1.158.7717,14019,696307,822507,666
2008-09-05$86.06$102.0042.6%12.3%38.2%65.0%43.4%-0.1%-0.3%-48.3M1.93B-7.9M1.1214.1219,61521,936309,660505,910
2008-09-08$85.93$102.0044.2%12.3%36.0%71.4%43.2%0.5%-1.4%-50.0M1.95B-7.6M1.6515.3528,37846,900319,874512,113
2008-09-09$82.35$100.0045.6%12.4%38.5%76.9%43.3%0.4%-1.1%-52.0M2.37B-7.2M1.9115.4322,75843,465329,565532,984
2008-09-10$82.97$100.0043.7%12.3%38.7%69.4%43.3%0.7%-1.4%-53.9M2.24B-7.3M1.1713.6616,47419,256337,747534,565
2008-09-11$81.49$100.0044.3%12.7%37.4%71.8%44.8%0.1%-1.7%-50.1M2.37B-7.1M2.1516.1416,71235,885342,933534,737
2008-09-12$81.49$100.0043.5%12.5%37.4%68.5%43.8%0.1%-1.3%-53.7M2.42B-6.9M0.6518.7440,07726,216348,747542,017
2008-09-15$76.30$100.0043.8%12.6%43.0%69.8%44.6%0.6%-2.0%-42.1M2.83B-5.7M1.9416.5838,52274,848371,122545,152
2008-09-16$74.99$97.0048.9%14.0%43.0%90.0%49.2%1.4%-1.9%-37.1M2.82B-5.7M1.9417.8544,88487,225390,735552,313
2008-09-17$77.50$94.0050.0%14.3%44.8%94.2%50.1%1.1%-2.0%-41.1M2.43B-6.8M1.2616.5831,06539,283407,028564,475
2008-09-18$79.17$93.0051.7%14.8%45.4%100.0%52.6%1.1%-1.3%-43.4M2.25B-7.2M1.2719.1129,04236,819415,119566,411
2008-09-19$82.63$93.0050.2%14.4%45.2%94.0%50.8%1.2%-2.5%-45.1M1.77B-7.6M0.9415.5726,79225,106419,609567,109
2008-09-22$87.62$93.0055.3%15.9%47.0%100.0%56.4%2.8%-4.7%-25.3M798.3M-8.0M1.5815.2737,04058,599270,146429,466
2008-09-23$86.13$93.0053.1%15.2%47.1%92.5%53.4%-0.0%-3.0%-27.0M895.3M-7.9M0.6916.0943,90630,105283,553439,489
2008-09-24$84.86$92.0051.8%14.8%47.0%87.9%52.5%-0.4%-1.7%-26.6M991.3M-8.0M0.9915.5610,30210,202300,572448,619
2008-09-25$86.69$92.0050.0%14.3%47.2%81.7%50.4%-0.5%-1.1%-25.1M805.4M-7.9M0.7915.0417,31013,610298,464436,931
2008-09-26$86.21$91.0050.6%14.5%46.7%83.9%51.1%0.2%-1.5%-23.8M818.3M-7.9M1.5114.116,6029,986306,604438,331
2008-09-29$77.09$91.0062.1%17.8%60.4%100.0%62.3%1.4%-4.3%-23.6M1.59B-6.6M2.2216.7117,56139,046308,112439,064
2008-09-30$82.01$90.0058.6%16.8%64.2%90.2%59.8%2.0%-2.5%-22.7M1.18B-7.2M1.9311.9613,20825,448312,891435,974