USO Options History — January 2011

In January 2011, USO traded between $35.94 and $39.05. ATM implied volatility averaged 26.8%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.9% (HV 20d: 20.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2011-01-31: Highest Volume — 307,697 contracts
2011-01-28: Largest IV spike — 25.6% change
2011-01-31: Highest IV Rank — 71.6%
2011-01-31: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.96	$35.94	$39.05	$39.05	$38.61
Max Pain	$37.35	$36.00	$38.00	$36.00	$37.00
ATM IV	26.8%	21.6%	38.4%	27.4%	38.4%
Expected Move	7.4%	6.8%	9.2%	7.0%	9.2%
HV 20d	20.9%	13.8%	29.9%	13.8%	29.9%
HV 60d	24.7%	22.6%	26.2%	25.5%	26.2%
IV Rank	25.9%	5.3%	71.6%	28.0%	71.6%
IV Percentile	24.1%	0.4%	94.8%	25.4%	94.8%
Term Structure	1.8%	-0.2%	3.5%	1.5%	-0.2%
VWIV	26.6%	24.1%	32.3%	25.0%	32.3%
Skew 25d	2.3%	-1.1%	3.8%	2.9%	-0.9%
Skew 10d	4.9%	-3.1%	11.0%	5.7%	-3.1%
Call IV 25d	25.5%	23.1%	33.5%	23.7%	33.5%
Put IV 25d	27.8%	25.5%	32.7%	26.6%	32.7%
Bid-Ask Spread %	6.30	3.33	13.34	5.53	10.04
Gamma HHI	0.10	0.07	0.13	0.12	0.10
Net GEX	10.5M	-7.5M	23.9M	21.9M	23.9M
Net DEX	-393.8M	-672.2M	41.2M	-672.2M	-526.3M
Net VEX	-4.1M	-4.6M	-3.8M	-4.4M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.21	1.71	0.47	0.32
Total Volume	93,395.05	44,154	307,697	46,339	307,697
Total OI	1,150,605.35	682,167	1,362,157	1,234,173	883,141

Daily Data (20 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
2011-01-03	$39.05	$36.00	27.4%	7.0%	13.8%	28.0%	25.0%	2.9%	1.5%	21.9M	-672.2M	-4.4M	0.47	5.53	31,472	14,867	719,695	514,478
2011-01-04	$38.08	$36.00	29.5%	7.3%	16.6%	36.3%	26.5%	3.8%	1.6%	11.6M	-408.4M	-4.4M	1.50	6.18	42,558	63,722	729,588	519,637
2011-01-05	$38.52	$36.00	27.1%	7.1%	16.6%	26.9%	26.1%	3.2%	1.8%	14.2M	-516.1M	-4.4M	1.51	8.17	38,155	57,630	740,285	532,820
2011-01-06	$37.68	$36.00	28.7%	7.5%	18.4%	33.5%	27.0%	3.2%	1.4%	5.7M	-326.4M	-4.4M	0.76	8.47	34,809	26,577	749,087	545,089
2011-01-07	$37.67	$38.00	26.1%	7.8%	18.4%	23.2%	27.5%	3.3%	1.6%	10.7M	-357.6M	-4.3M	1.70	7.76	29,129	49,536	761,756	554,724
2011-01-10	$38.17	$38.00	29.7%	7.7%	18.8%	37.2%	27.7%	2.8%	1.7%	14.2M	-487.4M	-4.2M	0.73	3.46	31,456	22,906	751,893	558,061
2011-01-11	$38.88	$38.00	27.1%	7.4%	19.8%	26.9%	26.9%	2.2%	1.9%	21.0M	-629.8M	-4.1M	1.20	3.52	21,112	25,425	745,862	564,871
2011-01-12	$38.99	$38.00	21.6%	7.3%	19.8%	5.3%	26.6%	1.7%	2.3%	22.1M	-663.6M	-4.1M	0.89	3.51	36,580	32,662	747,191	573,245
2011-01-13	$38.65	$38.00	25.4%	7.3%	20.1%	20.2%	26.1%	2.0%	2.1%	17.1M	-562.4M	-4.1M	1.71	4.02	18,791	32,052	759,428	582,947
2011-01-14	$38.92	$38.00	24.4%	7.0%	20.0%	16.5%	24.9%	1.6%	2.7%	17.1M	-657.9M	-4.0M	0.62	5.85	27,274	16,880	763,473	591,709
2011-01-18	$38.73	$38.00	24.6%	7.1%	20.2%	17.1%	24.6%	1.7%	2.7%	20.0M	-595.0M	-3.8M	0.68	5.22	37,908	25,699	759,279	578,477
2011-01-19	$38.54	$38.00	24.3%	7.0%	20.2%	15.7%	25.3%	3.4%	3.0%	16.8M	-522.0M	-3.9M	0.58	3.33	50,791	29,221	766,513	585,021
2011-01-20	$37.57	$38.00	24.9%	7.1%	22.1%	18.4%	25.5%	2.1%	2.7%	-730.2K	-259.0M	-3.8M	1.61	6.61	37,872	61,161	770,306	587,245
2011-01-21	$37.51	$38.00	23.6%	6.8%	21.7%	13.2%	24.1%	2.4%	3.5%	-200.8K	-258.8M	-3.8M	0.67	3.69	50,760	34,186	774,660	587,497
2011-01-24	$36.93	$38.00	24.4%	7.0%	21.9%	16.1%	24.9%	2.4%	1.5%	652.1K	-94.5M	-3.8M	1.18	8.67	27,036	31,990	387,353	294,814
2011-01-25	$36.27	$37.00	26.9%	7.7%	22.6%	26.1%	27.9%	3.7%	0.8%	-2.7M	-14.6M	-3.8M	1.52	6.02	29,388	44,611	398,858	309,581
2011-01-26	$36.85	$37.00	24.0%	6.9%	23.4%	14.7%	24.8%	3.0%	2.0%	-1.1M	-93.6M	-3.9M	0.91	3.63	40,595	37,127	413,921	328,926
2011-01-27	$35.94	$37.00	25.9%	7.4%	24.7%	22.0%	26.6%	3.0%	1.8%	-7.5M	41.2M	-3.9M	0.83	8.89	41,162	34,041	432,463	342,478
2011-01-28	$37.58	$37.00	32.5%	8.7%	29.5%	48.2%	31.0%	-1.1%	-0.0%	5.8M	-271.1M	-4.2M	0.21	13.34	241,624	51,439	451,781	353,954
2011-01-31	$38.61	$37.00	38.4%	9.2%	29.9%	71.6%	32.3%	-0.9%	-0.2%	23.9M	-526.3M	-4.6M	0.32	10.04	233,195	74,502	528,150	354,991