USO Options History — May 2008

In May 2008, USO traded between $90.38 and $108.31. ATM implied volatility averaged 36.7%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.2% (HV 20d: 29.5%). Max pain ranged from $94.00 to $104.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.78.

Notable Days

2008-05-22: Highest Volume — 94,256 contracts
2008-05-15: Largest IV spike — 22.9% change
2008-05-29: Highest IV Rank — 86.2%
2008-05-29: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.40	$90.38	$108.31	$90.38	$103.06
Max Pain	$98.95	$94.00	$104.00	$94.00	$104.00
ATM IV	36.7%	30.6%	41.2%	36.8%	41.1%
Expected Move	10.9%	10.4%	11.8%	10.5%	11.8%
HV 20d	29.5%	24.2%	34.5%	24.2%	32.9%
HV 60d	31.7%	30.9%	32.8%	32.0%	31.1%
IV Rank	64.9%	35.5%	86.2%	65.0%	86.0%
IV Percentile	81.3%	49.6%	99.2%	81.0%	98.8%
Term Structure	-0.1%	-2.5%	1.4%	-0.1%	-1.7%
VWIV	38.3%	36.4%	41.3%	37.1%	41.3%
Skew 25d	1.3%	0.6%	3.0%	1.3%	2.1%
Skew 10d	2.3%	0.5%	4.5%	0.9%	4.2%
Call IV 25d	37.8%	35.8%	40.4%	37.0%	40.4%
Put IV 25d	39.2%	36.7%	42.5%	38.3%	42.5%
Bid-Ask Spread %	14.01	9.22	23.29	15.89	10.51
Gamma HHI	0.05	0.05	0.08	0.06	0.05
Net GEX	-14.2M	-27.4M	-5.3M	-27.4M	-20.8M
Net DEX	-256.7M	-587.7M	348.8M	348.8M	-8.0M
Net VEX	-4.2M	-6.4M	-3.0M	-3.4M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.59	3.12	1.08	1.79
Total Volume	54,616.238	32,956	94,256	50,104	42,069
Total OI	475,959.286	345,648	623,528	345,648	623,528

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-05-01	$90.38	$94.00	36.8%	10.5%	24.2%	65.0%	37.1%	1.3%	-0.1%	-27.4M	348.8M	-3.4M	1.08	15.89	24,114	25,990	99,877	245,771
2008-05-02	$93.40	$94.00	37.0%	10.6%	26.1%	66.3%	37.7%	1.9%	1.1%	-15.9M	63.4M	-3.4M	0.89	14.12	17,411	15,545	110,219	247,634
2008-05-05	$96.74	$95.00	38.7%	11.0%	27.4%	74.3%	38.9%	0.6%	-1.6%	-9.1M	-227.8M	-3.1M	2.43	13.19	14,830	36,069	119,499	253,389
2008-05-06	$98.38	$95.00	36.0%	10.9%	27.7%	61.7%	38.6%	0.9%	-0.5%	-12.2M	-315.0M	-3.2M	1.38	9.88	19,462	26,935	122,983	276,534
2008-05-07	$99.80	$95.00	34.8%	11.1%	27.4%	55.7%	38.9%	0.9%	-0.6%	-10.1M	-401.9M	-3.3M	2.22	11.84	18,998	42,186	129,014	291,784
2008-05-08	$100.66	$96.00	33.8%	11.0%	26.9%	51.1%	38.1%	0.7%	-1.0%	-9.4M	-462.4M	-3.3M	2.73	11.15	9,506	25,970	132,060	305,964
2008-05-09	$102.12	$96.00	31.7%	10.7%	27.1%	41.1%	37.5%	1.1%	1.0%	-7.6M	-587.7M	-3.0M	2.00	9.80	21,645	43,319	134,204	316,523
2008-05-12	$100.11	$98.00	35.5%	10.6%	28.6%	58.9%	37.4%	0.9%	0.3%	-15.9M	-304.0M	-3.5M	3.12	13.48	10,214	31,824	138,273	337,535
2008-05-13	$101.71	$99.00	34.1%	10.7%	28.4%	52.5%	37.5%	1.0%	0.0%	-11.0M	-463.5M	-3.6M	2.02	22.96	18,243	36,767	143,893	356,077
2008-05-14	$100.22	$99.00	30.6%	10.5%	29.2%	35.5%	36.7%	1.1%	0.5%	-19.4M	-247.2M	-4.2M	2.05	23.29	12,940	26,554	151,497	375,288
2008-05-15	$100.21	$99.00	37.6%	10.8%	29.2%	68.9%	38.3%	1.0%	0.2%	-18.2M	-202.5M	-4.3M	1.94	20.38	18,285	35,552	156,372	383,483
2008-05-16	$102.27	$99.00	37.5%	10.8%	29.6%	68.6%	37.9%	1.3%	0.2%	-6.8M	-457.7M	-4.1M	1.41	13.25	28,811	40,570	156,892	390,338
2008-05-19	$102.80	$100.00	37.8%	10.8%	29.6%	69.8%	38.1%	3.0%	1.1%	-15.8M	-145.9M	-4.0M	0.59	14.65	25,417	15,122	109,858	280,991
2008-05-20	$104.30	$100.00	36.3%	10.4%	29.8%	63.1%	36.4%	0.9%	0.8%	-8.5M	-324.5M	-4.4M	1.26	11.76	17,206	21,745	132,964	289,950
2008-05-21	$108.31	$100.00	37.8%	10.8%	31.9%	70.3%	37.9%	2.1%	-0.0%	-5.3M	-586.8M	-4.0M	1.63	9.22	34,545	56,321	137,194	298,565
2008-05-22	$105.63	$102.00	37.9%	10.9%	32.4%	70.6%	38.4%	1.2%	0.0%	-10.9M	-312.7M	-5.2M	1.01	11.68	46,805	47,451	156,545	336,026
2008-05-23	$106.95	$102.00	37.0%	10.6%	31.7%	66.3%	37.2%	1.1%	1.4%	-11.6M	-444.4M	-5.3M	2.74	19.77	12,702	34,842	179,058	358,635
2008-05-27	$104.26	$104.00	39.2%	11.2%	33.5%	76.8%	39.0%	0.7%	-0.6%	-21.0M	-121.0M	-5.6M	2.06	14.23	14,639	30,106	181,754	372,502
2008-05-28	$105.92	$104.00	38.7%	11.1%	31.4%	74.3%	39.2%	1.5%	0.5%	-17.2M	-283.6M	-5.7M	1.64	11.72	24,411	39,964	187,702	382,866
2008-05-29	$102.26	$103.00	41.2%	11.8%	34.5%	86.2%	41.3%	2.3%	-2.5%	-24.6M	94.0M	-6.1M	1.38	11.36	34,383	47,473	198,360	393,544
2008-05-30	$103.06	$104.00	41.1%	11.8%	32.9%	86.0%	41.3%	2.1%	-1.7%	-20.8M	-8.0M	-6.4M	1.79	10.51	15,062	27,007	217,085	406,443