USO Options History — October 2008

In October 2008, USO traded between $50.85 and $79.59. ATM implied volatility averaged 71.1%, placing in the 91.4% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 5.5% (HV 20d: 65.5%). Max pain ranged from $61.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.50.

Notable Days

2008-10-09: Highest Volume — 99,770 contracts
2008-10-06: Largest IV spike — 23.9% change
2008-10-06: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 25.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.04	$50.85	$79.59	$79.59	$55.59
Max Pain	$73.61	$61.00	$90.00	$90.00	$62.00
ATM IV	71.1%	55.1%	87.8%	57.8%	79.6%
Expected Move	19.8%	15.8%	25.2%	16.6%	22.8%
HV 20d	65.5%	57.7%	69.3%	64.8%	63.4%
HV 60d	51.6%	48.6%	56.9%	49.0%	56.9%
IV Rank	91.4%	80.3%	100.0%	88.1%	86.7%
IV Percentile	99.0%	96.8%	100.0%	99.2%	98.4%
Term Structure	-4.3%	-7.6%	-1.4%	-3.0%	-5.4%
VWIV	69.4%	55.0%	87.0%	58.5%	80.3%
Skew 25d	5.3%	0.7%	9.2%	0.9%	6.7%
Skew 10d	9.4%	-1.1%	18.6%	3.7%	10.6%
Call IV 25d	67.6%	55.1%	86.1%	57.9%	77.6%
Put IV 25d	72.8%	56.4%	90.4%	58.8%	84.3%
Bid-Ask Spread %	15.67	10.49	34.04	12.35	16.96
Gamma HHI	0.09	0.06	0.13	0.06	0.09
Net GEX	-15.8M	-23.9M	-7.7M	-23.0M	-8.2M
Net DEX	1.66B	1.22B	2.19B	1.36B	1.24B
Net VEX	-4.8M	-6.8M	-3.5M	-6.8M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.35	3.96	1.43	1.38
Total Volume	47,580.652	21,053	99,770	34,546	37,455
Total OI	737,460.478	571,806	883,242	750,691	704,725

Daily Data (23 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
2008-10-01	$79.59	$90.00	57.8%	16.6%	64.8%	88.1%	58.5%	0.9%	-3.0%	-23.0M	1.36B	-6.8M	1.43	12.35	14,189	20,357	316,177	434,514
2008-10-02	$75.82	$90.00	57.5%	16.5%	66.5%	87.3%	57.9%	0.7%	-3.5%	-23.7M	1.66B	-6.2M	1.52	10.88	17,025	25,802	322,930	438,788
2008-10-03	$75.25	$90.00	55.1%	15.8%	66.5%	80.6%	55.0%	1.3%	-1.4%	-23.9M	1.72B	-6.1M	1.20	15.36	13,064	15,638	331,365	445,037
2008-10-06	$71.61	$81.00	68.2%	17.7%	68.2%	100.0%	62.7%	2.8%	-5.2%	-21.1M	1.86B	-5.4M	1.30	25.94	28,682	37,155	334,162	444,358
2008-10-07	$72.49	$80.00	64.9%	17.4%	67.4%	92.0%	61.1%	3.0%	-4.8%	-22.7M	1.82B	-5.6M	1.04	17.93	15,886	16,469	338,246	451,516
2008-10-08	$72.26	$80.00	61.6%	17.2%	67.2%	84.2%	60.2%	3.3%	-3.3%	-23.2M	1.86B	-5.5M	1.25	12.36	26,126	32,714	341,752	457,710
2008-10-09	$69.60	$80.00	63.3%	16.7%	68.0%	88.4%	57.5%	4.2%	-1.5%	-21.0M	1.95B	-4.9M	3.96	14.47	20,119	79,651	359,328	446,201
2008-10-10	$66.50	$80.00	73.8%	19.5%	69.2%	100.0%	67.6%	6.4%	-6.5%	-20.9M	2.11B	-5.3M	1.76	34.04	30,742	54,044	346,630	479,740
2008-10-13	$67.78	$79.00	70.9%	17.8%	66.7%	93.8%	62.0%	5.4%	-4.5%	-23.5M	2.12B	-5.2M	1.85	10.49	25,119	46,462	352,390	485,719
2008-10-14	$65.03	$78.00	68.6%	17.9%	67.8%	89.0%	62.1%	5.0%	-5.0%	-22.0M	2.19B	-4.9M	2.58	11.85	15,719	40,634	362,539	496,837
2008-10-15	$60.73	$78.00	73.8%	20.1%	69.3%	100.0%	70.7%	8.0%	-7.6%	-16.6M	2.17B	-4.4M	1.84	23.67	12,583	23,143	363,192	487,581
2008-10-16	$59.34	$76.00	70.9%	20.3%	68.3%	93.9%	70.9%	8.2%	-3.9%	-14.9M	2.18B	-4.1M	1.69	15.94	27,989	47,362	368,729	487,083
2008-10-17	$59.37	$72.00	67.5%	19.4%	65.2%	86.8%	67.2%	6.7%	-3.1%	-13.6M	2.17B	-4.3M	1.99	14.30	19,131	38,098	383,894	499,348
2008-10-20	$61.80	$68.00	64.4%	18.5%	62.6%	80.3%	64.5%	6.1%	-2.5%	-13.0M	1.28B	-4.6M	0.93	13.42	17,464	16,202	217,718	354,088
2008-10-21	$58.77	$65.00	67.0%	19.2%	63.7%	85.6%	67.9%	5.5%	-3.6%	-11.5M	1.31B	-4.3M	1.45	18.38	8,597	12,456	229,923	361,062
2008-10-22	$54.93	$65.00	78.9%	22.6%	65.9%	100.0%	80.3%	7.0%	-6.1%	-9.2M	1.31B	-3.9M	2.64	14.09	9,846	26,013	234,582	361,400
2008-10-23	$56.60	$65.00	77.4%	22.2%	66.7%	97.2%	78.1%	8.1%	-3.6%	-10.1M	1.32B	-4.1M	0.95	14.09	15,509	14,761	239,244	371,336
2008-10-24	$53.00	$65.00	81.6%	23.4%	68.2%	100.0%	81.5%	9.2%	-4.8%	-8.9M	1.33B	-3.7M	1.37	11.81	16,626	22,820	244,603	376,333
2008-10-27	$50.85	$64.00	87.8%	25.2%	60.4%	100.0%	87.0%	4.2%	-7.6%	-8.6M	1.33B	-3.5M	0.35	11.67	39,813	13,968	250,142	385,953
2008-10-28	$53.22	$62.00	83.9%	24.1%	57.7%	93.8%	83.8%	7.1%	-4.7%	-7.9M	1.34B	-3.8M	0.54	12.40	20,813	11,316	282,257	389,085
2008-10-29	$55.68	$62.00	80.6%	23.1%	62.2%	88.3%	81.1%	5.7%	-4.7%	-7.9M	1.22B	-4.4M	0.62	13.51	20,117	12,416	294,777	393,296
2008-10-30	$54.00	$61.00	79.2%	22.7%	61.4%	86.1%	79.0%	5.5%	-3.3%	-7.7M	1.29B	-4.0M	0.75	14.44	19,523	14,737	298,819	396,482
2008-10-31	$55.59	$62.00	79.6%	22.8%	63.4%	86.7%	80.3%	6.7%	-5.4%	-8.2M	1.24B	-4.4M	1.38	16.96	15,750	21,705	303,043	401,682