USO Options History — December 2010

In December 2010, USO traded between $37.20 and $39.00. ATM implied volatility averaged 26.6%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.4% (HV 20d: 24.2%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2010-12-03: Highest Volume — 97,801 contracts
2010-12-13: Largest IV spike — 13.4% change
2010-12-07: Highest IV Rank — 43.1%
2010-12-03: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.17	$37.20	$39.00	$37.20	$39.00
Max Pain	$36.00	$36.00	$36.00	$36.00	$36.00
ATM IV	26.6%	22.6%	31.2%	28.6%	26.4%
Expected Move	7.7%	6.5%	8.7%	8.2%	7.5%
HV 20d	24.2%	13.3%	31.9%	31.8%	14.6%
HV 60d	26.8%	25.4%	28.0%	27.9%	26.0%
IV Rank	25.1%	9.1%	43.1%	32.9%	24.2%
IV Percentile	20.4%	0.4%	66.3%	31.7%	15.9%
Term Structure	2.0%	0.1%	3.8%	1.1%	1.2%
VWIV	27.4%	23.3%	30.9%	29.2%	26.8%
Skew 25d	2.9%	2.0%	4.0%	3.7%	3.9%
Skew 10d	5.4%	3.4%	8.4%	6.2%	8.4%
Call IV 25d	25.8%	21.9%	29.5%	27.1%	24.7%
Put IV 25d	28.7%	24.4%	31.9%	30.8%	28.6%
Bid-Ask Spread %	6.38	2.60	9.19	3.11	6.10
Gamma HHI	0.11	0.09	0.20	0.09	0.13
Net GEX	22.5M	13.1M	34.9M	18.8M	24.9M
Net DEX	-588.0M	-708.9M	-436.6M	-436.6M	-647.1M
Net VEX	-4.3M	-4.6M	-4.0M	-4.5M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.52	1.81	0.65	0.64
Total Volume	51,180.364	24,581	97,801	53,576	80,370
Total OI	1,180,249.773	1,079,541	1,259,603	1,123,504	1,228,241

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
2010-12-01	$37.20	$36.00	28.6%	8.2%	31.8%	32.9%	29.2%	3.7%	1.1%	18.8M	-436.6M	-4.5M	0.65	3.11	32,440	21,136	694,527	428,977
2010-12-02	$37.77	$36.00	27.2%	8.0%	31.9%	27.2%	28.8%	4.0%	1.2%	22.7M	-557.4M	-4.5M	0.62	2.60	28,458	17,690	703,768	434,134
2010-12-03	$38.31	$36.00	27.7%	8.7%	31.5%	29.3%	30.8%	2.3%	0.1%	24.9M	-680.0M	-4.6M	0.71	3.75	57,280	40,521	705,544	439,890
2010-12-06	$38.22	$36.00	29.9%	8.6%	31.5%	37.9%	30.4%	2.8%	1.1%	26.9M	-673.3M	-4.5M	0.85	5.44	27,732	23,616	725,517	450,256
2010-12-07	$37.80	$36.00	31.2%	8.7%	31.7%	43.1%	30.9%	2.4%	1.3%	22.1M	-573.9M	-4.5M	1.33	5.92	28,779	38,171	726,552	459,312
2010-12-08	$37.96	$36.00	29.1%	8.4%	31.4%	35.0%	30.1%	3.0%	1.6%	21.5M	-589.5M	-4.4M	1.13	6.25	23,783	26,989	735,844	476,525
2010-12-09	$37.94	$36.00	28.4%	8.3%	29.9%	32.3%	29.4%	2.9%	1.8%	19.7M	-572.9M	-4.5M	1.81	7.05	12,510	22,633	744,687	487,081
2010-12-10	$37.66	$36.00	26.5%	8.1%	30.0%	24.5%	30.0%	3.2%	2.3%	23.8M	-509.0M	-4.5M	1.27	7.49	21,362	27,113	748,073	490,692
2010-12-13	$37.89	$36.00	30.0%	8.1%	26.7%	38.5%	29.1%	3.2%	1.9%	28.0M	-593.4M	-4.4M	0.76	8.73	31,156	23,722	745,103	487,172
2010-12-14	$37.90	$36.00	29.3%	7.9%	26.7%	35.5%	28.4%	3.1%	2.6%	28.0M	-601.7M	-4.3M	0.64	7.30	23,592	15,054	749,063	491,827
2010-12-15	$37.99	$36.00	27.5%	7.9%	24.1%	28.6%	28.5%	3.3%	2.7%	26.8M	-621.2M	-4.3M	0.92	7.36	25,149	23,056	747,182	496,168
2010-12-16	$37.77	$36.00	26.9%	7.7%	22.6%	26.1%	27.3%	3.3%	3.4%	24.9M	-565.4M	-4.3M	1.10	8.72	21,508	23,601	750,323	498,883
2010-12-17	$37.81	$36.00	25.5%	7.3%	21.7%	20.7%	26.2%	2.9%	3.8%	13.1M	-566.0M	-4.2M	0.84	6.00	28,593	23,954	756,107	503,496
2010-12-20	$38.05	$36.00	24.7%	7.1%	21.3%	17.6%	25.5%	2.9%	2.5%	15.3M	-465.4M	-4.1M	0.77	5.80	27,412	21,224	656,556	422,985
2010-12-21	$38.29	$36.00	23.9%	6.9%	21.1%	14.5%	24.0%	2.8%	2.3%	20.3M	-540.9M	-4.1M	0.69	5.94	18,168	12,513	670,791	429,616
2010-12-22	$38.64	$36.00	22.6%	6.5%	20.9%	9.1%	23.6%	2.9%	2.7%	22.3M	-631.3M	-4.0M	0.93	5.92	21,569	19,963	681,209	433,456
2010-12-23	$38.98	$36.00	22.8%	6.5%	18.5%	9.9%	23.3%	2.0%	2.8%	34.9M	-708.9M	-4.0M	1.08	6.13	23,219	25,148	690,334	441,914
2010-12-27	$38.71	$36.00	23.8%	6.8%	18.7%	13.8%	24.2%	2.1%	2.3%	19.9M	-624.6M	-4.0M	0.52	9.19	16,213	8,368	688,515	449,562
2010-12-28	$38.91	$36.00	24.2%	6.9%	17.4%	15.4%	24.8%	2.3%	1.9%	21.6M	-667.1M	-4.0M	0.65	5.86	16,283	10,649	693,246	453,141
2010-12-29	$38.82	$36.00	24.2%	6.9%	15.3%	15.6%	25.1%	2.6%	1.5%	20.4M	-634.1M	-4.0M	1.28	7.85	20,897	26,841	700,224	458,241
2010-12-30	$38.12	$36.00	25.4%	7.3%	13.3%	20.1%	25.7%	3.1%	1.8%	13.8M	-476.0M	-4.2M	1.78	7.77	31,517	56,016	711,654	479,107
2010-12-31	$39.00	$36.00	26.4%	7.5%	14.6%	24.2%	26.8%	3.9%	1.2%	24.9M	-647.1M	-4.4M	0.64	6.10	49,105	31,265	717,330	510,911