USO Options History — December 2008

In December 2008, USO traded between $29.02 and $39.89. ATM implied volatility averaged 90.9%, placing in the 89.3% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 10.6% (HV 20d: 80.4%). Max pain ranged from $43.00 to $81.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2008-12-31: Highest Volume — 161,356 contracts
2008-12-29: Largest IV spike — 7.7% change
2008-12-05: Highest IV Rank — 100.0%
2008-12-16: Largest Expected Move — 27.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.37	$29.02	$39.89	$39.89	$33.10
Max Pain	$65.36	$43.00	$81.00	$46.00	$43.00
ATM IV	90.9%	83.3%	99.6%	89.5%	86.2%
Expected Move	25.8%	23.9%	27.7%	25.7%	24.7%
HV 20d	80.4%	65.0%	90.9%	90.9%	77.3%
HV 60d	75.1%	72.5%	77.6%	73.7%	76.7%
IV Rank	89.3%	77.7%	100.0%	92.6%	81.6%
IV Percentile	96.0%	90.1%	100.0%	99.2%	90.5%
Term Structure	-8.7%	-18.2%	2.0%	-10.9%	-2.4%
VWIV	90.3%	83.6%	97.2%	89.6%	87.0%
Skew 25d	4.3%	1.1%	7.9%	4.9%	5.4%
Skew 10d	6.4%	-1.4%	15.8%	5.9%	11.4%
Call IV 25d	88.6%	82.9%	94.8%	88.0%	84.3%
Put IV 25d	92.9%	84.6%	99.3%	92.9%	89.7%
Bid-Ask Spread %	9.25	4.66	12.70	5.41	4.66
Gamma HHI	0.07	0.04	0.23	0.06	0.06
Net GEX	-2.8M	-9.1M	891.7K	-3.7M	891.7K
Net DEX	1.05B	601.1M	1.21B	1.19B	601.1M
Net VEX	-2.5M	-3.1M	-2.0M	-2.4M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.40	1.52	0.58	0.40
Total Volume	82,171	33,034	161,356	33,034	161,356
Total OI	970,821.455	780,410	1,143,734	780,410	1,110,814

Daily Data (22 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
2008-12-01	$39.89	$46.00	89.5%	25.7%	90.9%	92.6%	89.6%	4.9%	-10.9%	-3.7M	1.19B	-2.4M	0.58	5.41	20,970	12,064	352,021	428,389
2008-12-02	$38.50	$46.00	89.9%	25.8%	90.0%	93.2%	89.5%	5.3%	-9.2%	-3.6M	1.18B	-2.3M	1.29	5.71	14,999	19,396	359,918	432,135
2008-12-03	$38.05	$45.00	90.2%	25.9%	81.1%	93.7%	90.2%	3.5%	-7.1%	-3.8M	1.17B	-2.3M	1.14	9.35	20,536	23,462	364,376	435,621
2008-12-04	$35.41	$45.00	94.3%	27.0%	81.7%	99.6%	93.4%	4.1%	-7.0%	-3.6M	1.18B	-2.1M	0.81	5.55	42,488	34,293	374,692	446,448
2008-12-05	$34.25	$81.00	99.6%	26.2%	79.7%	100.0%	91.9%	7.9%	-13.4%	-3.1M	1.16B	-2.0M	0.93	11.04	59,535	55,502	390,387	452,490
2008-12-08	$36.12	$80.00	97.8%	25.8%	83.6%	97.5%	90.2%	7.5%	-14.8%	-2.3M	1.10B	-2.4M	0.75	8.11	35,124	26,410	426,902	471,218
2008-12-09	$34.45	$80.00	99.4%	26.9%	82.9%	99.6%	93.4%	6.0%	-16.3%	-2.8M	1.12B	-2.2M	0.64	10.63	25,721	16,431	429,197	481,062
2008-12-10	$35.81	$80.00	93.1%	26.0%	83.8%	91.1%	91.8%	4.4%	-14.9%	-2.5M	1.09B	-2.5M	1.52	12.70	35,480	54,059	444,460	486,117
2008-12-11	$38.64	$80.00	89.4%	25.6%	88.5%	86.1%	89.8%	6.4%	-15.9%	-3.0M	1.02B	-2.9M	0.83	11.36	48,846	40,436	453,926	517,157
2008-12-12	$38.10	$80.00	88.9%	25.5%	83.7%	85.4%	89.3%	5.1%	-14.4%	-1.9M	1.02B	-2.9M	0.58	12.32	36,667	21,165	467,257	516,512
2008-12-15	$36.84	$80.00	95.1%	27.3%	82.3%	93.8%	96.0%	3.9%	-18.2%	-2.5M	1.05B	-2.7M	0.53	12.25	42,495	22,384	478,271	524,146
2008-12-16	$36.44	$80.00	96.6%	27.7%	82.2%	95.9%	97.2%	4.5%	-16.9%	-2.4M	1.06B	-2.7M	1.21	10.39	34,892	42,167	488,698	529,290
2008-12-17	$34.81	$80.00	91.4%	26.2%	83.1%	88.7%	92.2%	5.7%	-2.7%	-4.3M	1.14B	-2.5M	0.86	11.74	61,667	52,795	503,870	548,316
2008-12-18	$32.73	$76.00	87.9%	25.2%	84.6%	84.0%	88.3%	3.7%	-6.3%	-6.3M	1.21B	-2.3M	0.70	11.42	86,880	61,009	523,513	563,752
2008-12-19	$33.06	$75.00	83.3%	23.9%	80.1%	77.7%	83.6%	2.2%	-4.7%	-9.1M	1.17B	-2.6M	0.87	12.31	73,886	64,635	561,939	581,795
2008-12-22	$30.63	$67.00	85.0%	24.4%	81.6%	80.0%	85.2%	1.7%	-4.8%	-1.6M	994.2M	-2.3M	0.90	9.51	44,907	40,301	466,980	490,996
2008-12-23	$30.00	$61.00	87.6%	25.1%	74.7%	83.5%	87.9%	1.5%	-3.5%	-1.7M	961.4M	-2.3M	0.58	8.49	61,614	35,775	488,079	499,101
2008-12-24	$29.02	$58.00	87.0%	24.9%	72.9%	82.7%	87.5%	1.1%	-2.1%	-1.8M	964.3M	-2.3M	0.44	6.91	34,058	14,820	512,466	515,106
2008-12-26	$29.10	$55.00	85.8%	24.6%	65.0%	81.0%	87.0%	1.6%	2.0%	-1.5M	939.7M	-2.4M	0.67	7.56	49,852	33,394	528,234	519,937
2008-12-29	$30.92	$50.00	92.4%	26.5%	69.7%	90.1%	93.7%	5.1%	-5.0%	-292.0K	846.7M	-2.7M	0.72	7.46	48,943	35,124	552,725	528,744
2008-12-30	$30.20	$50.00	90.5%	25.9%	68.3%	87.5%	91.9%	3.1%	-2.5%	-874.4K	870.4M	-2.7M	0.72	8.68	35,559	25,665	566,609	544,406
2008-12-31	$33.10	$43.00	86.2%	24.7%	77.3%	81.6%	87.0%	5.4%	-2.4%	891.7K	601.1M	-3.1M	0.40	4.66	115,173	46,183	586,772	524,042