If a compound existed, we would identify the oxidation state of sulfur using the following logic:
oxygen is more electronegative than sulfur, so it's more electron-withdrawing and it should have a negative oxidation state producing a positive oxidation state for sulfur;
oxygen typically has an oxidation state of -2;
we may then apply the fact that SO is expected to be a molecule with a net charge of 0;
if the net charge is 0 and the oxidation state of oxygen is -2, we may set the oxidation state of S to x;
write the equation for the net charge of 0 by adding all individual charges of the two atoms: ;
hence, x = 2.
That said, in this hypothetical compound S would have an oxidation state of +2.