USO Options History — March 2011

In March 2011, USO traded between $39.39 and $42.60. ATM implied volatility averaged 38.3%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.1% (HV 20d: 31.2%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.63.

Notable Days

2011-03-04: Highest Volume — 441,352 contracts
2011-03-09: Largest IV drop — 24.5% change
2011-03-01: Highest IV Rank — 100.0%
2011-03-04: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.42	$39.39	$42.60	$40.48	$42.60
Max Pain	$39.17	$37.00	$40.00	$38.00	$40.00
ATM IV	38.3%	30.0%	51.4%	48.0%	30.0%
Expected Move	10.4%	8.2%	11.9%	11.1%	8.7%
HV 20d	31.2%	24.2%	35.9%	32.3%	25.3%
HV 60d	28.2%	26.4%	29.3%	26.4%	28.7%
IV Rank	58.4%	31.3%	100.0%	100.0%	31.3%
IV Percentile	83.7%	54.0%	100.0%	100.0%	54.0%
Term Structure	-0.3%	-2.4%	1.7%	-1.2%	1.7%
VWIV	37.5%	29.9%	44.3%	40.0%	31.2%
Skew 25d	-3.9%	-7.7%	-0.1%	-7.7%	-0.1%
Skew 10d	-7.4%	-14.4%	-0.4%	-14.4%	-0.6%
Call IV 25d	39.4%	29.7%	46.3%	44.6%	31.4%
Put IV 25d	35.5%	29.6%	40.1%	36.9%	31.3%
Bid-Ask Spread %	5.96	3.20	9.21	6.21	7.98
Gamma HHI	0.09	0.07	0.22	0.08	0.11
Net GEX	48.4M	18.6M	90.5M	45.0M	57.0M
Net DEX	-1.32B	-1.91B	-482.3M	-1.24B	-1.51B
Net VEX	-9.9M	-10.7M	-8.0M	-8.0M	-9.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.35	1.03	0.40	0.60
Total Volume	187,036.783	55,424	441,352	193,503	67,231
Total OI	1,902,259.217	1,480,435	2,240,396	1,480,435	1,868,104

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
2011-03-01	$40.48	$38.00	48.0%	11.1%	32.3%	100.0%	40.0%	-7.7%	-1.2%	45.0M	-1.24B	-8.0M	0.40	6.21	138,126	55,377	943,443	536,992
2011-03-02	$41.39	$38.00	51.4%	11.1%	32.5%	100.0%	41.9%	-5.8%	-0.3%	57.2M	-1.55B	-8.3M	0.67	6.03	193,492	128,754	991,062	551,286
2011-03-03	$41.18	$38.00	39.4%	10.4%	32.6%	61.4%	36.8%	-4.3%	0.9%	58.1M	-1.45B	-8.7M	0.65	6.63	125,683	81,579	1,048,421	628,106
2011-03-04	$42.33	$37.00	44.8%	11.9%	33.6%	78.7%	44.3%	-6.2%	-2.4%	57.0M	-1.89B	-9.2M	0.39	4.35	318,174	123,178	1,088,218	649,827
2011-03-07	$42.37	$38.00	51.3%	11.7%	32.3%	99.5%	42.7%	-7.2%	-1.3%	68.4M	-1.91B	-9.6M	0.58	3.20	201,607	116,626	1,168,370	661,718
2011-03-08	$42.31	$39.00	49.3%	11.6%	31.1%	93.0%	41.0%	-6.6%	-1.3%	64.2M	-1.82B	-9.9M	1.03	3.72	104,775	107,609	1,210,089	734,453
2011-03-09	$42.05	$39.00	37.2%	11.4%	31.4%	54.2%	40.5%	-5.4%	-1.3%	54.3M	-1.61B	-10.0M	0.91	4.73	99,146	90,358	1,207,945	791,312
2011-03-10	$41.40	$39.00	38.8%	11.1%	32.2%	59.6%	39.4%	-6.5%	-1.8%	35.5M	-1.27B	-10.0M	0.74	5.53	185,523	136,757	1,207,711	833,215
2011-03-11	$40.69	$40.00	37.8%	10.8%	33.2%	56.3%	39.7%	-5.7%	-1.0%	31.7M	-914.0M	-9.9M	0.39	6.88	194,863	76,155	1,222,971	864,098
2011-03-14	$40.91	$40.00	36.9%	10.6%	32.5%	53.4%	38.0%	-3.9%	-0.5%	40.3M	-1.17B	-10.6M	0.36	5.96	90,031	32,769	1,291,498	845,290
2011-03-15	$39.39	$40.00	38.2%	10.9%	35.9%	57.4%	39.4%	-4.3%	-1.5%	18.6M	-482.3M	-10.3M	0.59	5.44	191,700	112,832	1,304,077	850,294
2011-03-16	$39.68	$39.00	39.4%	11.3%	35.2%	61.3%	40.5%	-1.7%	-1.6%	32.3M	-707.1M	-10.5M	0.51	7.47	87,692	44,568	1,358,927	834,564
2011-03-17	$40.69	$39.00	39.8%	11.4%	35.9%	62.7%	41.3%	-4.0%	-0.9%	57.3M	-1.36B	-10.7M	0.36	5.88	132,833	48,290	1,371,254	829,472
2011-03-18	$40.97	$39.00	38.3%	11.0%	35.8%	57.8%	40.7%	-4.2%	-0.7%	90.5M	-1.37B	-10.7M	0.54	5.70	93,897	50,834	1,396,776	843,620
2011-03-21	$41.13	$39.00	35.5%	10.2%	35.8%	48.7%	37.3%	-4.5%	-0.4%	37.7M	-1.12B	-10.4M	0.52	5.55	79,111	40,855	1,114,483	655,602
2011-03-22	$41.93	$39.00	34.8%	10.0%	30.8%	46.7%	37.1%	-3.1%	0.2%	47.0M	-1.36B	-10.4M	0.35	6.27	153,077	53,913	1,122,734	671,225
2011-03-23	$42.11	$40.00	32.4%	9.3%	28.9%	39.0%	33.5%	-2.5%	1.1%	51.8M	-1.40B	-10.3M	0.66	5.40	83,454	55,294	1,116,455	685,294
2011-03-24	$42.05	$40.00	32.2%	9.2%	27.5%	38.4%	33.5%	-2.8%	1.0%	49.9M	-1.36B	-10.3M	0.97	6.89	46,229	44,896	1,127,833	703,561
2011-03-25	$42.18	$40.00	30.4%	8.8%	27.0%	32.4%	31.7%	-1.9%	1.4%	47.5M	-1.41B	-10.2M	0.76	5.74	50,611	38,310	1,141,577	710,179
2011-03-28	$41.42	$40.00	34.0%	8.7%	27.5%	44.0%	31.1%	-0.8%	0.6%	36.1M	-1.09B	-9.7M	0.82	8.93	52,523	43,244	1,125,739	704,270
2011-03-29	$41.83	$40.00	30.9%	8.8%	25.4%	34.2%	30.8%	-0.4%	0.3%	38.9M	-1.20B	-9.7M	0.94	3.38	38,418	36,028	1,138,408	723,654
2011-03-30	$41.66	$40.00	30.7%	8.2%	24.2%	33.4%	29.9%	-0.1%	1.7%	36.3M	-1.13B	-9.7M	0.83	9.21	30,333	25,091	1,146,898	730,937
2011-03-31	$42.60	$40.00	30.0%	8.7%	25.3%	31.3%	31.2%	-0.1%	1.7%	57.0M	-1.51B	-9.6M	0.60	7.98	42,076	25,155	1,148,668	719,436