USO Options History — August 2011

In August 2011, USO traded between $31.51 and $37.20. ATM implied volatility averaged 45.9%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.8% (HV 20d: 41.1%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.15.

Notable Days

2011-08-09: Highest Volume — 316,641 contracts
2011-08-08: Largest IV spike — 74.6% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-09: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.60	$31.51	$37.20	$37.20	$34.51
Max Pain	$35.13	$34.00	$38.00	$38.00	$34.00
ATM IV	45.9%	36.8%	75.3%	38.0%	40.2%
Expected Move	11.8%	8.8%	14.9%	9.0%	10.0%
HV 20d	41.1%	22.5%	50.7%	22.8%	50.5%
HV 60d	32.8%	26.5%	35.8%	28.2%	35.7%
IV Rank	50.2%	28.3%	100.0%	49.0%	34.6%
IV Percentile	93.5%	85.3%	100.0%	90.9%	88.5%
Term Structure	-0.4%	-4.6%	3.5%	-0.2%	3.5%
VWIV	43.0%	31.4%	54.7%	32.0%	39.6%
Skew 25d	9.5%	3.5%	14.5%	3.8%	9.5%
Skew 10d	18.3%	6.9%	27.5%	7.9%	18.8%
Call IV 25d	37.6%	29.8%	48.1%	30.0%	33.1%
Put IV 25d	47.1%	33.3%	60.8%	33.8%	42.6%
Bid-Ask Spread %	3.15	2.08	6.11	2.89	2.46
Gamma HHI	0.07	0.06	0.19	0.07	0.06
Net GEX	-3.3M	-15.8M	5.4M	4.7M	5.4M
Net DEX	329.5M	-4.5M	727.3M	-4.5M	41.8M
Net VEX	-5.4M	-5.9M	-4.5M	-5.4M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.64	1.70	1.37	1.38
Total Volume	119,857.783	54,812	316,641	95,461	56,877
Total OI	1,471,006.087	1,199,630	1,683,950	1,199,630	1,587,497

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
2011-08-01	$37.20	$38.00	38.0%	9.0%	22.8%	49.0%	32.0%	3.8%	-0.2%	4.7M	-4.5M	-5.4M	1.37	2.89	40,268	55,193	747,433	452,197
2011-08-02	$36.40	$38.00	42.4%	9.5%	22.5%	62.1%	32.6%	4.4%	-0.4%	-2.0M	132.5M	-5.2M	0.77	2.19	31,032	23,780	758,442	464,096
2011-08-03	$35.86	$38.00	38.6%	8.8%	23.0%	51.0%	31.4%	3.5%	0.3%	-5.4M	210.9M	-5.1M	1.23	2.43	58,193	71,728	767,712	469,766
2011-08-04	$33.73	$38.00	46.7%	11.8%	29.6%	74.9%	41.9%	5.3%	-3.7%	-12.4M	525.6M	-4.6M	1.56	3.14	86,886	135,261	785,954	501,725
2011-08-05	$33.95	$37.00	42.0%	10.6%	29.5%	61.0%	37.8%	5.6%	0.2%	-15.3M	481.9M	-5.1M	1.20	4.61	94,313	113,248	810,512	547,544
2011-08-08	$31.51	$36.00	73.4%	13.6%	38.3%	100.0%	48.1%	10.7%	-3.1%	-11.1M	727.3M	-4.5M	1.44	4.94	81,581	117,783	808,518	562,042
2011-08-09	$31.62	$36.00	75.3%	14.9%	37.4%	100.0%	53.8%	12.7%	-4.6%	-10.1M	658.0M	-4.9M	1.02	6.11	157,054	159,587	830,097	579,973
2011-08-10	$31.78	$35.00	57.5%	14.6%	37.1%	66.8%	54.7%	10.8%	-2.7%	-7.9M	595.6M	-5.4M	0.64	4.65	103,309	66,121	885,058	617,521
2011-08-11	$33.30	$35.00	43.5%	12.5%	41.8%	40.8%	45.6%	9.1%	-1.1%	-2.9M	361.9M	-5.8M	0.99	4.13	58,172	57,441	937,842	617,991
2011-08-12	$33.23	$34.00	42.2%	12.1%	41.0%	38.4%	43.9%	10.3%	-0.4%	-4.9M	415.9M	-5.5M	1.13	3.05	38,210	43,333	951,574	627,143
2011-08-15	$34.22	$34.00	36.8%	10.6%	42.9%	28.3%	38.7%	9.2%	1.1%	-2.5M	252.6M	-5.6M	0.87	2.99	50,862	44,154	943,987	619,606
2011-08-16	$33.83	$34.00	37.3%	10.7%	42.1%	29.2%	42.0%	8.6%	1.1%	-2.9M	327.3M	-5.5M	1.36	2.59	39,057	53,156	965,752	633,075
2011-08-17	$34.01	$34.00	36.9%	10.6%	42.2%	28.4%	38.6%	7.6%	1.0%	-728.2K	279.7M	-5.6M	1.70	2.44	26,847	45,536	982,766	660,757
2011-08-18	$31.72	$35.00	49.8%	14.3%	47.4%	52.5%	53.8%	14.5%	-3.4%	-9.8M	679.7M	-5.1M	1.40	2.67	74,091	103,878	993,585	658,972
2011-08-19	$32.12	$34.00	48.2%	13.8%	47.8%	49.5%	48.2%	14.5%	-2.1%	-15.8M	616.8M	-5.2M	1.07	3.05	50,007	53,300	1,010,275	673,675
2011-08-22	$32.72	$34.00	45.5%	13.0%	48.8%	44.4%	48.1%	12.7%	-0.7%	89.8K	264.5M	-5.4M	0.99	2.74	39,541	39,248	840,828	544,958
2011-08-23	$33.42	$34.00	42.2%	12.1%	49.8%	38.4%	42.6%	11.2%	0.8%	2.8M	165.7M	-5.7M	0.81	3.21	63,276	51,477	849,874	561,314
2011-08-24	$33.08	$34.00	42.1%	12.1%	49.5%	38.1%	42.9%	12.6%	0.5%	2.0M	222.4M	-5.7M	1.16	2.08	34,284	39,850	886,494	582,118
2011-08-25	$32.97	$34.00	45.4%	13.0%	49.5%	44.3%	47.2%	12.9%	-1.1%	862.9K	237.4M	-5.8M	1.05	2.42	37,548	39,582	903,800	601,101
2011-08-26	$33.15	$34.00	42.1%	12.1%	49.6%	38.2%	44.8%	11.9%	0.6%	3.5M	235.7M	-5.6M	1.08	2.75	29,594	31,926	915,684	611,055
2011-08-29	$33.96	$34.00	42.7%	11.0%	50.7%	39.3%	41.2%	9.0%	2.5%	3.1M	117.4M	-5.6M	1.25	2.49	39,649	49,698	912,992	607,465
2011-08-30	$34.44	$34.00	46.0%	11.1%	50.7%	45.5%	39.2%	8.1%	2.2%	5.2M	31.3M	-5.9M	0.99	2.45	35,622	35,176	929,276	633,094
2011-08-31	$34.51	$34.00	40.2%	10.0%	50.5%	34.6%	39.6%	9.5%	3.5%	5.4M	41.8M	-5.9M	1.38	2.46	23,900	32,977	939,417	648,080