Do you mean for the round ends of the 'O' to be kind of flattened?

Stuart :D

Hi Stuart,

No, no flattened top or bottom, please.

Red Rooster has a number of condensed fonts with oblong O's like this. Schindler comes in 5 weights.
Raleigh Gothic Condensed comes in 3 weights, but is more squared perhaps than you want.
Pall Mall is another in 2 styles & 2 weights.
Keyboard comes in 3 weights.
Helium comes in 4 weights.
Grand Canyon is all upper case but comes in 8 flavors.
Europa Grotesque comes in 4 weights.
Coliseum has 3 weights.
Chamfer Gothic has angled corners, 3 weights and 2 styles (other is Small Caps Expert set).
And last but not least is Block Gothic, which comes in Condensed & Extra condensed, with 5 weights of each.

I just happen to have the Red Rooster fonts and I use these a lot when I want condensed styles.

You could try the Tasse family. The O is flattened but doesn't have the corners of your sample. Comes in many weights.

Thanks everyone, lots of fonts for me to look at. Armada could be the one -- will keep you posted.
A.

You did say 40's so I was going to suggest my Hamburger Menu font from the Casino Buffet Font Set: http://www.fontdiner.com/menu_vegas.html

Stuart :D

Font Bureau's Agency seems to fit your request. Loads of variation too. You might also be interested in Font Bureau's Armada.