USO Options History — October 2011

In October 2011, USO traded between $29.74 and $36.21. ATM implied volatility averaged 44.7%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 4.0% (HV 20d: 40.7%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.99.

Notable Days

2011-10-25: Highest Volume — 252,678 contracts
2011-10-31: Largest IV spike — 20.8% change
2011-10-03: Highest IV Rank — 77.4%
2011-10-03: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.45	$29.74	$36.21	$29.74	$35.74
Max Pain	$33.57	$33.00	$35.00	$35.00	$34.00
ATM IV	44.7%	34.6%	63.2%	63.2%	41.8%
Expected Move	12.4%	10.2%	15.7%	15.7%	10.8%
HV 20d	40.7%	33.7%	44.7%	38.4%	33.7%
HV 60d	40.2%	38.2%	42.3%	38.2%	40.4%
IV Rank	43.0%	24.2%	77.4%	77.4%	37.5%
IV Percentile	84.2%	60.3%	99.2%	99.2%	78.6%
Term Structure	0.3%	-1.5%	1.4%	-1.5%	0.0%
VWIV	44.3%	38.6%	54.6%	54.6%	39.1%
Skew 25d	9.2%	5.9%	11.1%	10.9%	6.8%
Skew 10d	16.9%	10.5%	22.0%	19.2%	12.1%
Call IV 25d	39.3%	33.6%	50.2%	50.2%	35.5%
Put IV 25d	48.6%	39.5%	61.1%	61.1%	42.4%
Bid-Ask Spread %	2.19	1.75	2.82	2.75	1.75
Gamma HHI	0.07	0.06	0.10	0.08	0.06
Net GEX	3.6M	-11.1M	17.3M	-11.1M	12.5M
Net DEX	110.5M	-417.5M	719.7M	719.7M	-283.1M
Net VEX	-4.9M	-5.6M	-4.2M	-4.2M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.28	1.79	1.32	0.95
Total Volume	84,240	43,347	252,678	92,733	43,347
Total OI	1,621,596	1,196,098	1,857,262	1,614,538	1,385,557

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
2011-10-03	$29.74	$35.00	63.2%	15.7%	38.4%	77.4%	54.6%	10.9%	-1.5%	-11.1M	719.7M	-4.2M	1.32	2.75	39,901	52,832	967,765	646,773
2011-10-04	$29.91	$35.00	60.5%	15.3%	38.6%	72.3%	52.9%	8.6%	-0.6%	-10.2M	684.4M	-4.3M	1.15	1.97	32,987	37,938	978,595	660,560
2011-10-05	$30.84	$35.00	57.5%	14.0%	38.4%	66.8%	48.2%	8.7%	-0.2%	-8.6M	580.9M	-4.5M	0.44	1.94	55,213	24,507	987,109	668,936
2011-10-06	$31.98	$35.00	46.9%	12.9%	41.2%	47.1%	46.0%	8.4%	0.7%	-4.3M	397.7M	-4.8M	0.69	2.74	43,343	29,992	1,002,173	677,473
2011-10-07	$32.04	$33.00	43.9%	13.1%	40.9%	41.5%	48.4%	11.1%	0.2%	-694.7K	397.1M	-4.7M	1.79	2.42	22,884	41,025	1,009,895	684,062
2011-10-10	$33.24	$33.00	47.7%	12.3%	42.7%	48.6%	42.9%	10.9%	0.4%	-2.7M	223.5M	-4.8M	1.15	1.76	29,324	33,721	1,004,949	690,811
2011-10-11	$33.01	$33.00	44.3%	12.2%	42.4%	42.2%	40.6%	9.7%	0.5%	-3.3M	256.2M	-4.8M	0.50	2.01	53,418	26,691	1,011,821	696,633
2011-10-12	$32.92	$33.00	40.2%	12.1%	42.2%	34.6%	41.4%	9.7%	0.6%	-1.8M	252.6M	-4.8M	0.28	2.34	46,019	13,093	1,042,368	698,206
2011-10-13	$32.65	$33.00	42.1%	12.1%	42.1%	38.2%	44.1%	10.0%	0.6%	-2.7M	307.4M	-4.8M	1.11	2.67	24,420	27,088	1,069,129	700,017
2011-10-14	$33.87	$33.00	40.2%	11.5%	44.1%	34.6%	41.5%	9.4%	0.8%	3.1M	37.7M	-5.0M	0.62	2.03	41,701	25,952	1,073,485	704,426
2011-10-17	$33.43	$33.00	44.5%	12.8%	43.4%	42.6%	45.5%	10.5%	-0.4%	2.1M	125.1M	-4.9M	0.75	2.82	43,022	32,397	1,074,871	701,728
2011-10-18	$34.15	$33.00	40.9%	11.7%	44.1%	36.0%	42.5%	9.8%	1.2%	9.1M	-64.6M	-5.1M	0.72	2.28	47,605	34,393	1,094,739	712,773
2011-10-19	$33.31	$33.00	43.1%	12.4%	44.7%	40.1%	45.7%	11.1%	0.7%	2.2M	156.9M	-4.9M	1.29	2.30	37,326	47,973	1,105,726	722,195
2011-10-20	$33.33	$33.00	43.2%	12.4%	39.4%	40.3%	44.6%	10.6%	0.4%	1.5M	157.9M	-4.9M	1.10	2.27	31,349	34,422	1,117,755	731,690
2011-10-21	$33.85	$33.00	41.4%	11.9%	39.6%	36.9%	42.3%	10.6%	1.1%	15.6M	42.9M	-4.9M	0.90	1.76	37,708	33,937	1,121,177	736,085
2011-10-24	$35.38	$33.00	40.3%	11.6%	42.0%	34.9%	42.3%	7.9%	0.4%	15.1M	-299.0M	-5.0M	0.90	1.91	69,573	62,476	688,418	507,680
2011-10-25	$35.80	$33.00	42.4%	12.2%	41.2%	38.7%	44.8%	8.2%	-0.6%	16.6M	-391.9M	-5.2M	1.20	1.95	114,959	137,719	714,791	532,213
2011-10-26	$35.06	$34.00	41.8%	12.0%	39.6%	37.7%	42.7%	8.5%	-0.0%	9.2M	-175.9M	-5.5M	1.20	2.09	41,449	49,618	738,242	616,502
2011-10-27	$36.21	$34.00	38.4%	11.0%	40.3%	31.3%	42.0%	6.8%	0.6%	17.3M	-417.5M	-5.6M	1.37	2.08	50,457	69,289	746,188	618,044
2011-10-28	$36.03	$34.00	34.6%	10.2%	35.3%	24.2%	38.6%	5.9%	1.4%	16.0M	-387.2M	-5.6M	1.28	2.09	21,024	26,948	767,166	644,790
2011-10-31	$35.74	$34.00	41.8%	10.8%	33.7%	37.5%	39.1%	6.8%	0.0%	12.5M	-283.1M	-5.4M	0.95	1.75	22,221	21,126	753,960	631,597