USO Options History — August 2009

In August 2009, USO traded between $35.52 and $38.30. ATM implied volatility averaged 42.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 0.1% (HV 20d: 42.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.52.

Notable Days

2009-08-20: Highest Volume — 52,959 contracts
2009-08-31: Largest IV spike — 9.6% change
2009-08-03: Highest IV Rank — 13.2%
2009-08-03: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.43	$35.52	$38.30	$37.92	$36.05
Max Pain	$36.33	$36.00	$37.00	$36.00	$37.00
ATM IV	42.5%	38.9%	44.8%	44.8%	42.7%
Expected Move	12.2%	11.2%	12.8%	12.8%	12.2%
HV 20d	42.6%	34.0%	48.0%	45.5%	35.8%
HV 60d	39.4%	38.2%	40.2%	39.9%	39.4%
IV Rank	9.6%	4.0%	13.2%	13.2%	9.9%
IV Percentile	16.7%	4.8%	29.4%	29.4%	16.7%
Term Structure	1.4%	-0.9%	3.5%	-0.8%	3.4%
VWIV	43.6%	40.6%	47.0%	46.4%	43.1%
Skew 25d	5.2%	2.9%	7.0%	7.0%	2.9%
Skew 10d	10.0%	2.8%	14.0%	12.1%	2.8%
Call IV 25d	40.7%	37.5%	42.8%	42.8%	41.9%
Put IV 25d	45.8%	41.5%	49.8%	49.8%	44.8%
Bid-Ask Spread %	10.62	7.87	14.55	8.38	9.44
Gamma HHI	0.08	0.06	0.12	0.09	0.06
Net GEX	6.7M	-1.0M	13.3M	5.7M	3.4M
Net DEX	-525.3M	-727.3M	-258.3M	-595.6M	-272.8M
Net VEX	-5.2M	-5.5M	-4.9M	-5.4M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.66	3.82	0.66	1.34
Total Volume	34,089.857	12,499	52,959	48,834	35,399
Total OI	1,020,550.714	894,192	1,110,315	998,154	983,819

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
2009-08-03	$37.92	$36.00	44.8%	12.8%	45.5%	13.2%	46.4%	7.0%	-0.8%	5.7M	-595.6M	-5.4M	0.66	8.38	29,452	19,382	579,076	419,078
2009-08-04	$37.97	$36.00	44.5%	12.8%	44.0%	12.8%	47.0%	6.3%	-0.9%	6.1M	-605.5M	-5.5M	1.90	8.80	6,797	12,898	589,466	422,885
2009-08-05	$38.20	$36.00	43.3%	12.4%	41.0%	10.9%	44.8%	5.3%	0.9%	6.6M	-635.7M	-5.5M	0.86	9.30	16,938	14,627	590,531	427,478
2009-08-06	$38.27	$36.00	42.3%	12.1%	41.0%	9.2%	43.4%	5.5%	1.2%	8.0M	-663.6M	-5.4M	1.41	8.52	11,578	16,278	599,154	429,194
2009-08-07	$37.65	$36.00	41.4%	12.1%	41.3%	7.9%	43.5%	5.5%	1.4%	6.6M	-581.5M	-5.5M	2.49	13.00	5,830	14,524	603,762	434,834
2009-08-10	$37.71	$36.00	42.2%	12.2%	41.3%	9.2%	43.6%	5.7%	1.1%	6.9M	-589.3M	-5.3M	1.05	14.55	8,523	8,965	604,897	437,144
2009-08-11	$36.86	$36.00	42.9%	12.5%	42.3%	10.2%	44.8%	5.2%	0.5%	4.4M	-468.7M	-5.3M	1.89	10.30	8,528	16,096	607,573	438,818
2009-08-12	$37.35	$36.00	42.9%	12.4%	40.4%	10.3%	42.5%	5.9%	0.9%	5.8M	-535.7M	-5.3M	1.47	11.98	9,589	14,059	609,091	441,882
2009-08-13	$37.80	$36.00	41.7%	12.0%	40.5%	8.4%	42.8%	5.5%	1.0%	7.2M	-612.9M	-5.3M	1.32	12.97	5,391	7,108	612,361	447,339
2009-08-14	$36.03	$36.00	43.8%	12.6%	44.3%	11.6%	44.2%	3.7%	0.5%	1.2M	-349.0M	-5.1M	1.85	11.76	11,739	21,665	613,628	448,312
2009-08-17	$35.52	$36.00	44.1%	12.6%	44.4%	12.1%	44.8%	6.2%	1.5%	-1.0M	-258.3M	-5.0M	0.68	11.98	23,060	15,607	614,141	449,961
2009-08-18	$36.86	$36.00	42.0%	12.1%	46.2%	8.9%	44.2%	5.3%	1.2%	5.8M	-492.3M	-5.0M	1.95	11.13	12,097	23,645	620,565	453,071
2009-08-19	$38.12	$36.00	42.9%	12.3%	47.4%	10.2%	44.5%	5.5%	1.0%	11.5M	-693.9M	-5.0M	1.67	10.46	17,457	29,229	620,095	458,389
2009-08-20	$37.67	$36.00	43.2%	12.4%	46.9%	10.6%	44.2%	5.0%	0.8%	9.9M	-613.3M	-5.0M	0.69	11.15	31,403	21,556	617,840	470,077
2009-08-21	$38.23	$37.00	42.8%	12.3%	47.0%	10.1%	43.4%	4.7%	1.7%	13.3M	-727.3M	-5.1M	0.74	11.06	26,373	19,584	626,190	484,125
2009-08-24	$38.30	$37.00	41.8%	12.0%	47.0%	8.4%	41.8%	6.0%	2.9%	9.3M	-554.8M	-5.0M	0.66	9.09	26,238	17,386	549,549	344,643
2009-08-25	$37.17	$37.00	42.2%	12.1%	48.0%	9.2%	42.5%	4.3%	2.5%	7.7M	-439.4M	-5.0M	1.73	8.62	13,891	24,009	565,751	354,049
2009-08-26	$36.95	$37.00	42.6%	12.2%	40.9%	9.8%	42.7%	4.8%	2.2%	7.1M	-405.3M	-5.0M	3.82	10.78	9,803	37,456	568,444	364,365
2009-08-27	$37.72	$37.00	39.6%	11.4%	36.2%	5.1%	40.6%	4.2%	3.5%	8.2M	-472.2M	-5.1M	1.14	7.87	19,805	22,593	570,326	387,768
2009-08-28	$37.66	$37.00	38.9%	11.2%	34.0%	4.0%	41.1%	4.0%	3.1%	8.0M	-464.8M	-5.1M	2.63	11.95	8,071	21,258	575,837	396,057
2009-08-31	$36.05	$37.00	42.7%	12.2%	35.8%	9.9%	43.1%	2.9%	3.4%	3.4M	-272.8M	-4.9M	1.34	9.44	15,158	20,241	578,612	405,207