USO Options History — November 2008

In November 2008, USO traded between $39.55 and $57.38. ATM implied volatility averaged 82.5%, placing in the 83.9% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 1.8% (HV 20d: 80.7%). Max pain ranged from $47.00 to $62.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2008-11-19: Highest Volume — 77,893 contracts
  • 2008-11-13: Largest IV drop — 11.1% change
  • 2008-11-06: Highest IV Rank — 100.0%
  • 2008-11-06: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.84$39.55$57.38$52.49$42.09
Max Pain$54.05$47.00$62.00$62.00$47.00
ATM IV82.5%72.8%94.5%86.1%80.8%
Expected Move23.5%20.9%27.1%24.7%23.2%
HV 20d80.7%64.1%91.2%64.1%91.2%
HV 60d65.6%57.4%73.2%57.4%73.2%
IV Rank83.9%68.2%100.0%97.3%79.9%
IV Percentile96.0%90.9%100.0%99.6%95.6%
Term Structure-5.7%-8.7%-1.5%-6.4%-6.3%
VWIV82.4%72.1%94.4%85.8%81.7%
Skew 25d5.2%2.9%9.0%4.9%7.0%
Skew 10d8.3%1.9%16.2%8.5%9.7%
Call IV 25d80.5%70.9%93.9%84.5%77.8%
Put IV 25d85.7%74.7%99.1%89.4%84.9%
Bid-Ask Spread %11.775.8616.2814.036.43
Gamma HHI0.070.060.080.080.06
Net GEX-6.7M-8.9M-3.7M-7.3M-3.7M
Net DEX1.36B1.16B1.54B1.28B1.18B
Net VEX-3.2M-4.7M-2.0M-3.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.471.931.930.85
Total Volume46,963.15810,91277,89342,29710,912
Total OI808,665702,845926,675702,845777,880

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$52.49$62.0086.1%24.7%64.1%97.3%85.8%4.9%-6.4%-7.3M1.28B-3.8M1.9314.0314,42427,873306,455396,390
2008-11-04$57.38$61.0085.9%24.6%73.6%96.9%85.5%5.8%-8.7%-8.7M1.16B-4.7M1.9114.3624,72747,184312,514411,594
2008-11-05$53.84$61.0087.2%25.0%75.7%99.1%88.6%4.6%-6.0%-8.9M1.28B-4.2M1.1716.1632,45937,882317,788423,967
2008-11-06$50.15$61.0094.5%27.1%78.0%100.0%94.4%5.2%-8.5%-8.1M1.36B-3.8M1.4416.2824,48135,373337,446436,075
2008-11-07$50.04$55.0086.0%23.9%77.3%87.5%83.0%4.3%-5.9%-8.6M1.39B-3.8M0.6515.2022,45814,697349,278450,053
2008-11-10$51.23$55.0089.2%24.3%77.6%92.2%85.0%5.1%-7.0%-8.2M1.35B-4.0M0.7114.6920,91614,953362,451455,128
2008-11-11$48.11$55.0089.3%24.9%79.0%92.4%87.5%4.5%-6.5%-7.6M1.40B-3.5M0.9713.7922,47321,697371,565456,755
2008-11-12$45.75$55.0090.7%25.3%77.6%94.4%89.0%3.9%-5.8%-6.9M1.42B-3.2M1.0711.4619,42620,739380,451454,501
2008-11-13$49.00$54.0080.6%23.1%82.9%79.6%81.8%3.1%-2.9%-7.7M1.40B-3.5M0.8614.2629,09725,048388,001458,099
2008-11-14$46.18$54.0079.8%22.9%84.6%78.5%79.8%3.8%-3.5%-7.1M1.44B-3.1M0.5012.7129,46014,699394,811461,746
2008-11-17$45.16$53.0079.7%22.9%82.3%78.3%81.6%2.9%-4.4%-6.4M1.47B-2.9M0.5010.4013,9466,998406,251463,355
2008-11-18$44.77$53.0075.0%21.5%81.3%71.4%75.7%3.2%-1.5%-6.4M1.52B-2.6M1.3610.7216,91922,983408,698463,453
2008-11-19$43.26$53.0072.8%20.9%79.2%68.2%72.1%3.9%-3.5%-6.5M1.53B-2.2M1.4010.7732,49545,398411,398463,846
2008-11-20$39.55$52.0079.7%22.8%82.1%78.2%80.0%5.5%-7.2%-6.1M1.54B-2.0M1.308.0732,93642,792424,882479,189
2008-11-21$41.00$51.0078.3%22.4%82.2%76.2%78.3%5.7%-6.6%-6.1M1.52B-2.3M1.3510.4717,93324,257439,289487,386
2008-11-24$44.13$50.0076.3%21.9%86.9%73.3%77.8%9.0%-6.2%-5.0M1.21B-2.5M0.798.4026,33620,758307,451407,605
2008-11-25$41.36$48.0080.3%23.0%86.9%79.1%80.8%7.9%-6.7%-4.2M1.20B-2.4M1.115.8618,70420,828323,484414,434
2008-11-26$44.54$47.0075.2%21.6%90.0%71.7%77.0%7.7%-3.8%-4.3M1.19B-2.8M0.479.5225,82612,213335,536425,430
2008-11-28$42.09$47.0080.8%23.2%91.2%79.9%81.7%7.0%-6.3%-3.7M1.18B-2.6M0.856.435,8955,017350,629427,251