USO Options History — May 2011

In May 2011, USO traded between $38.47 and $44.93. ATM implied volatility averaged 36.3%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 6.6% (HV 20d: 42.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.13.

Notable Days

2011-05-05: Highest Volume — 467,826 contracts
2011-05-05: Largest IV spike — 71.9% change
2011-05-05: Highest IV Rank — 100.0%
2011-05-05: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.15	$38.47	$44.93	$44.93	$40.50
Max Pain	$41.33	$40.00	$43.00	$43.00	$41.00
ATM IV	36.3%	25.4%	55.0%	31.3%	33.5%
Expected Move	9.7%	8.0%	12.5%	8.0%	8.6%
HV 20d	42.9%	25.4%	47.6%	25.4%	47.6%
HV 60d	34.1%	27.6%	36.9%	27.6%	33.8%
IV Rank	44.5%	11.3%	100.0%	32.5%	35.5%
IV Percentile	75.7%	7.1%	100.0%	63.9%	77.0%
Term Structure	-0.5%	-6.8%	1.3%	1.2%	0.2%
VWIV	34.6%	28.3%	43.9%	28.6%	30.4%
Skew 25d	2.3%	-1.9%	4.1%	-1.9%	2.8%
Skew 10d	4.1%	-4.1%	8.2%	-4.1%	4.5%
Call IV 25d	33.5%	28.3%	42.5%	29.9%	29.0%
Put IV 25d	35.8%	28.0%	46.6%	28.0%	31.8%
Bid-Ask Spread %	2.90	1.63	8.48	2.25	1.68
Gamma HHI	0.08	0.07	0.13	0.13	0.08
Net GEX	6.3M	-12.1M	49.0M	49.0M	14.9M
Net DEX	-196.5M	-1.39B	321.3M	-1.39B	-437.4M
Net VEX	-8.4M	-9.3M	-7.9M	-9.1M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.47	1.64	0.47	0.94
Total Volume	148,380.095	61,264	467,826	90,217	61,264
Total OI	1,558,084.667	1,383,087	1,748,157	1,409,276	1,484,572

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
2011-05-02	$44.93	$43.00	31.3%	8.0%	25.4%	32.5%	28.6%	-1.9%	1.2%	49.0M	-1.39B	-9.1M	0.47	2.25	61,498	28,719	841,675	567,601
2011-05-03	$44.08	$43.00	30.6%	8.0%	26.5%	30.3%	29.5%	0.1%	1.0%	39.4M	-1.14B	-9.3M	1.44	2.64	40,413	58,205	864,293	573,415
2011-05-04	$43.26	$43.00	32.0%	8.0%	27.4%	34.9%	28.3%	1.0%	1.3%	26.7M	-868.6M	-9.1M	1.33	1.92	45,830	60,843	874,538	583,172
2011-05-05	$39.32	$43.00	55.0%	12.5%	43.5%	100.0%	43.9%	4.1%	-6.8%	-1.7M	134.4M	-8.5M	1.59	8.48	180,595	287,231	884,661	596,466
2011-05-06	$38.87	$42.00	45.1%	10.2%	42.9%	70.4%	36.1%	2.4%	-1.2%	-9.2M	321.3M	-8.4M	1.06	4.64	172,118	182,079	942,843	646,670
2011-05-09	$40.87	$42.00	45.6%	10.6%	46.1%	71.7%	38.2%	0.8%	-1.5%	13.6M	-419.6M	-9.2M	0.76	5.43	100,851	76,532	950,497	628,189
2011-05-10	$41.08	$42.00	45.6%	10.2%	44.9%	71.9%	36.3%	0.8%	-1.0%	16.2M	-470.3M	-9.1M	1.34	3.78	56,952	76,184	962,662	638,087
2011-05-11	$39.35	$42.00	42.5%	10.9%	46.0%	62.6%	38.7%	3.4%	-1.2%	-3.6M	95.6M	-8.7M	1.41	3.16	99,117	139,463	971,891	663,811
2011-05-12	$39.28	$42.00	38.5%	11.0%	45.7%	50.5%	39.3%	3.1%	-1.6%	-5.9M	108.4M	-8.6M	1.16	3.33	78,375	91,083	992,103	685,650
2011-05-13	$39.44	$41.00	36.0%	10.3%	45.4%	43.1%	37.1%	3.2%	-0.8%	-953.9K	41.5M	-8.6M	1.10	3.75	55,259	60,746	1,017,651	689,760
2011-05-16	$38.51	$41.00	35.9%	10.3%	45.6%	42.7%	37.6%	3.3%	-0.7%	-10.3M	293.5M	-7.9M	1.06	2.10	46,717	49,742	979,510	668,733
2011-05-17	$38.55	$41.00	34.2%	9.8%	45.4%	37.6%	35.2%	3.2%	-0.4%	-12.1M	300.2M	-7.9M	1.02	2.35	70,406	71,783	989,203	673,790
2011-05-18	$39.50	$41.00	35.2%	10.1%	46.6%	40.5%	36.1%	3.1%	-0.7%	-2.0M	-3.3M	-8.2M	0.76	1.80	68,768	52,266	1,013,701	687,533
2011-05-19	$39.07	$41.00	33.5%	9.6%	44.9%	35.4%	33.8%	3.3%	0.0%	-9.4M	168.1M	-8.0M	1.13	2.13	57,461	64,678	1,016,800	691,855
2011-05-20	$39.47	$40.00	33.6%	9.6%	45.0%	35.7%	34.4%	2.7%	-0.2%	4.4M	41.4M	-8.3M	0.99	2.08	90,140	89,143	1,034,114	714,043
2011-05-23	$38.47	$40.00	35.1%	10.1%	45.5%	40.3%	35.9%	3.6%	-0.7%	-649.4K	13.9M	-7.9M	1.47	1.83	42,555	62,458	815,418	567,669
2011-05-24	$39.28	$40.00	32.9%	9.4%	46.5%	33.6%	33.6%	3.3%	0.3%	5.0M	-174.4M	-8.0M	1.64	1.94	25,494	41,798	824,951	581,794
2011-05-25	$39.93	$40.00	31.8%	9.1%	46.8%	30.4%	32.2%	2.1%	0.6%	11.6M	-327.9M	-8.2M	1.36	2.04	56,870	77,221	831,329	593,197
2011-05-26	$39.60	$40.00	29.8%	8.5%	46.8%	24.4%	30.8%	2.3%	0.6%	477.4K	-193.0M	-8.0M	1.06	1.85	33,526	35,443	852,903	628,426
2011-05-27	$39.71	$40.00	25.4%	8.4%	46.7%	11.3%	29.8%	2.5%	1.0%	7.0M	-227.4M	-8.1M	0.77	1.63	37,389	28,767	862,095	632,507
2011-05-31	$40.50	$41.00	33.5%	8.6%	47.6%	35.5%	30.4%	2.8%	0.2%	14.9M	-437.4M	-8.0M	0.94	1.68	31,654	29,610	860,591	623,981