USO Options History — November 2011

In November 2011, USO traded between $35.20 and $39.34. ATM implied volatility averaged 39.8%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 11.4% (HV 20d: 28.4%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.13.

Notable Days

2011-11-16: Highest Volume — 185,241 contracts
2011-11-03: Largest IV drop — 14.8% change
2011-11-01: Highest IV Rank — 60.1%
2011-11-01: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.51	$35.20	$39.34	$35.20	$38.78
Max Pain	$35.19	$34.00	$36.00	$34.00	$36.00
ATM IV	39.8%	36.2%	53.9%	53.9%	36.9%
Expected Move	11.0%	9.8%	12.1%	12.1%	9.8%
HV 20d	28.4%	23.0%	34.8%	34.8%	23.0%
HV 60d	34.8%	33.2%	37.6%	37.4%	33.6%
IV Rank	33.9%	27.1%	60.1%	60.1%	28.4%
IV Percentile	71.4%	60.7%	96.8%	96.8%	60.7%
Term Structure	1.3%	-0.8%	2.8%	-0.8%	2.6%
VWIV	39.8%	35.7%	46.2%	42.4%	35.7%
Skew 25d	5.8%	2.8%	9.9%	9.9%	3.5%
Skew 10d	9.7%	3.6%	20.2%	20.2%	6.2%
Call IV 25d	36.5%	33.6%	40.2%	37.6%	33.6%
Put IV 25d	42.3%	37.1%	47.4%	47.4%	37.1%
Bid-Ask Spread %	2.74	2.03	6.69	2.65	2.21
Gamma HHI	0.08	0.06	0.12	0.06	0.08
Net GEX	23.1M	8.3M	46.4M	8.3M	25.3M
Net DEX	-575.2M	-1.20B	-146.5M	-146.5M	-624.8M
Net VEX	-5.4M	-5.8M	-4.9M	-5.4M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.39	3.44	1.63	0.50
Total Volume	96,666.905	40,902	185,241	75,129	106,296
Total OI	1,493,202.524	1,346,889	1,702,483	1,406,867	1,448,444

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
2011-11-01	$35.20	$34.00	53.9%	12.1%	34.8%	60.1%	42.4%	9.9%	-0.8%	8.3M	-146.5M	-5.4M	1.63	2.65	28,598	46,531	764,022	642,845
2011-11-02	$35.67	$34.00	46.7%	11.1%	33.8%	46.7%	40.9%	7.6%	1.1%	12.3M	-266.0M	-5.4M	1.13	2.06	21,256	24,060	770,459	656,613
2011-11-03	$36.32	$34.00	39.8%	11.0%	32.4%	33.9%	39.5%	7.0%	1.4%	18.0M	-413.6M	-5.4M	1.08	2.08	20,505	22,088	778,367	660,259
2011-11-04	$36.46	$34.00	36.8%	11.2%	32.3%	28.3%	38.7%	7.5%	0.3%	18.3M	-461.0M	-5.4M	0.77	2.22	34,654	26,733	787,581	667,119
2011-11-07	$37.09	$34.00	39.9%	11.2%	30.6%	34.1%	39.2%	6.2%	-0.0%	23.9M	-594.6M	-5.4M	0.74	2.83	29,057	21,607	785,971	662,255
2011-11-08	$37.43	$35.00	39.9%	11.1%	30.3%	34.0%	40.4%	5.5%	0.0%	27.2M	-684.8M	-5.3M	0.63	2.03	47,150	29,668	797,164	670,794
2011-11-09	$37.00	$35.00	42.1%	12.0%	30.8%	38.3%	46.2%	6.4%	-0.5%	23.5M	-595.8M	-5.6M	1.39	4.82	55,234	76,549	805,219	678,799
2011-11-10	$37.72	$35.00	40.3%	11.6%	30.6%	34.8%	45.0%	7.2%	-0.2%	30.6M	-754.4M	-5.8M	1.06	3.13	42,797	45,226	827,737	710,179
2011-11-11	$38.21	$35.00	39.3%	11.3%	28.7%	33.0%	40.8%	5.3%	0.5%	32.7M	-883.3M	-5.7M	0.41	2.70	90,993	37,619	838,073	711,287
2011-11-14	$37.86	$35.00	37.9%	10.9%	28.4%	30.3%	40.1%	5.7%	1.6%	31.8M	-794.9M	-5.6M	1.12	2.91	47,972	53,860	845,325	709,915
2011-11-15	$38.43	$35.00	36.6%	10.5%	28.0%	28.0%	37.3%	4.2%	2.4%	37.2M	-947.6M	-5.6M	0.39	2.70	102,490	39,691	859,272	724,305
2011-11-16	$39.34	$35.00	36.2%	10.4%	26.2%	27.1%	37.0%	2.9%	1.6%	46.4M	-1.20B	-5.7M	1.01	2.34	92,285	92,956	913,204	727,503
2011-11-17	$38.23	$36.00	37.4%	10.7%	29.2%	29.4%	38.2%	5.9%	1.7%	30.9M	-795.4M	-5.7M	1.09	2.28	59,528	65,185	927,757	762,469
2011-11-18	$37.82	$36.00	36.5%	10.5%	29.7%	27.7%	37.7%	6.0%	2.2%	29.2M	-650.7M	-5.4M	1.15	2.07	79,119	91,164	934,451	768,032
2011-11-21	$37.59	$36.00	37.8%	10.8%	26.1%	30.1%	39.8%	5.3%	2.2%	16.1M	-387.3M	-5.3M	1.39	2.55	51,728	71,836	770,334	576,555
2011-11-22	$37.82	$36.00	36.8%	10.6%	26.0%	28.4%	40.0%	4.9%	2.2%	19.8M	-427.6M	-5.4M	3.44	2.08	23,785	81,751	791,896	604,389
2011-11-23	$37.16	$36.00	39.7%	11.4%	25.6%	33.6%	40.2%	5.8%	1.2%	9.4M	-241.0M	-5.5M	1.06	2.21	37,271	39,542	787,868	654,242
2011-11-25	$37.16	$36.00	39.7%	11.1%	23.1%	33.6%	38.7%	6.2%	2.8%	8.9M	-255.5M	-5.5M	0.82	6.69	22,458	18,444	805,396	662,535
2011-11-28	$37.85	$36.00	41.5%	10.8%	23.8%	37.0%	41.2%	6.7%	2.2%	14.7M	-391.4M	-5.2M	2.04	3.03	27,636	56,417	787,261	644,890
2011-11-29	$38.55	$36.00	40.2%	10.3%	24.0%	34.6%	36.9%	2.8%	2.8%	21.6M	-565.7M	-5.1M	0.77	2.03	38,553	29,713	787,579	648,888
2011-11-30	$38.78	$36.00	36.9%	9.8%	23.0%	28.4%	35.7%	3.5%	2.6%	25.3M	-624.8M	-4.9M	0.50	2.21	70,672	35,624	795,947	652,497