USO Options History — December 2011

In December 2011, USO traded between $36.13 and $39.06. ATM implied volatility averaged 33.3%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.2% (HV 20d: 27.1%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2011-12-14: Highest Volume — 225,613 contracts
2011-12-30: Largest IV drop — 16.4% change
2011-12-15: Highest IV Rank — 33.0%
2011-12-15: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.04	$36.13	$39.06	$38.61	$38.11
Max Pain	$36.00	$36.00	$36.00	$36.00	$36.00
ATM IV	33.3%	27.2%	39.3%	32.7%	27.2%
Expected Move	9.7%	8.7%	11.3%	9.3%	9.1%
HV 20d	27.1%	22.0%	31.3%	23.0%	30.5%
HV 60d	32.4%	29.4%	34.8%	33.1%	29.4%
IV Rank	21.8%	10.4%	33.0%	20.7%	10.4%
IV Percentile	45.0%	11.9%	68.7%	46.4%	11.9%
Term Structure	2.6%	1.1%	3.8%	3.2%	3.4%
VWIV	35.2%	31.8%	41.3%	33.7%	32.5%
Skew 25d	4.2%	0.8%	6.4%	2.7%	2.2%
Skew 10d	6.1%	-0.1%	10.2%	4.6%	1.4%
Call IV 25d	32.9%	29.6%	37.5%	32.3%	31.7%
Put IV 25d	37.1%	33.0%	43.4%	35.0%	33.9%
Bid-Ask Spread %	3.34	1.90	8.09	2.35	3.71
Gamma HHI	0.10	0.07	0.20	0.09	0.08
Net GEX	13.9M	-19.9M	35.8M	25.8M	6.7M
Net DEX	-372.2M	-743.2M	142.2M	-612.0M	-307.5M
Net VEX	-4.4M	-5.0M	-3.8M	-5.0M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.44	2.43	0.98	0.44
Total Volume	84,339.81	34,507	225,613	60,339	82,507
Total OI	1,433,559.952	1,194,739	1,634,156	1,476,541	1,340,168

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
2011-12-01	$38.61	$36.00	32.7%	9.3%	23.0%	20.7%	33.7%	2.7%	3.2%	25.8M	-612.0M	-5.0M	0.98	2.35	30,525	29,814	820,173	656,368
2011-12-02	$39.03	$36.00	34.7%	9.4%	22.5%	24.4%	34.3%	0.8%	2.6%	26.9M	-736.6M	-4.9M	0.64	2.54	67,855	43,356	830,523	665,323
2011-12-05	$39.01	$36.00	37.4%	10.0%	22.6%	29.4%	36.7%	4.0%	2.4%	34.0M	-743.2M	-4.9M	0.61	5.18	45,295	27,814	848,236	670,725
2011-12-06	$39.00	$36.00	36.3%	9.6%	22.0%	27.3%	34.9%	4.4%	2.7%	35.8M	-725.3M	-4.8M	0.93	2.15	32,249	29,930	855,876	677,734
2011-12-07	$38.81	$36.00	32.3%	9.7%	22.0%	20.0%	37.1%	4.6%	2.5%	33.0M	-658.7M	-4.8M	0.94	4.01	34,518	32,547	861,880	685,900
2011-12-08	$37.78	$36.00	33.9%	10.2%	23.8%	22.8%	35.7%	5.8%	2.0%	14.3M	-355.4M	-4.6M	1.14	2.83	63,229	72,000	862,296	690,422
2011-12-09	$38.50	$36.00	30.9%	9.9%	23.8%	17.3%	35.4%	5.0%	2.2%	23.8M	-535.3M	-4.6M	0.86	2.52	46,237	39,916	852,891	729,415
2011-12-12	$37.88	$36.00	31.0%	10.1%	24.1%	17.6%	37.4%	5.8%	1.9%	18.7M	-363.0M	-4.6M	1.15	4.90	16,083	18,424	845,832	713,110
2011-12-13	$38.61	$36.00	33.8%	9.7%	24.8%	22.7%	35.0%	4.3%	2.1%	29.1M	-575.9M	-4.4M	0.54	2.85	84,514	45,985	847,513	712,665
2011-12-14	$36.66	$36.00	36.9%	10.9%	30.5%	28.4%	40.8%	6.4%	1.1%	-2.2M	-23.9M	-4.5M	2.13	2.57	72,108	153,505	849,226	727,662
2011-12-15	$36.13	$36.00	39.3%	11.3%	29.2%	33.0%	41.3%	5.9%	1.1%	-19.9M	142.2M	-4.3M	2.43	3.00	43,013	104,350	851,145	764,361
2011-12-16	$36.27	$36.00	36.5%	10.5%	27.9%	27.7%	37.3%	5.3%	3.2%	-15.8M	102.6M	-4.2M	1.37	2.67	32,075	43,893	857,717	776,439
2011-12-19	$36.20	$36.00	36.3%	10.4%	27.7%	27.4%	37.2%	5.5%	3.0%	-1.9M	55.0M	-4.0M	0.73	8.09	36,691	26,817	641,017	553,722
2011-12-20	$37.56	$36.00	33.3%	9.5%	30.9%	21.7%	34.6%	4.6%	3.1%	6.9M	-205.8M	-4.1M	0.82	2.33	37,400	30,717	659,707	565,016
2011-12-21	$38.11	$36.00	30.9%	8.8%	31.3%	17.2%	31.8%	3.6%	3.8%	11.7M	-323.8M	-4.1M	0.65	2.69	35,685	23,065	676,762	575,478
2011-12-22	$38.28	$36.00	30.7%	8.8%	30.6%	16.9%	32.2%	3.3%	3.4%	12.7M	-366.6M	-4.1M	0.83	2.55	41,841	34,543	684,045	582,259
2011-12-23	$38.49	$36.00	30.6%	8.8%	30.6%	16.8%	32.4%	3.4%	3.3%	12.1M	-403.4M	-4.1M	0.92	5.58	18,629	17,213	697,608	593,329
2011-12-27	$39.06	$36.00	30.4%	8.7%	30.3%	16.4%	31.8%	3.1%	2.8%	16.9M	-488.7M	-3.8M	0.69	2.50	34,216	23,565	688,340	580,259
2011-12-28	$38.34	$36.00	32.7%	9.4%	30.5%	20.6%	33.5%	3.9%	2.1%	11.4M	-334.7M	-4.0M	0.85	3.17	34,747	29,694	705,352	589,577
2011-12-29	$38.41	$36.00	32.5%	9.3%	30.4%	20.3%	33.3%	3.5%	2.4%	12.0M	-356.8M	-4.0M	0.53	1.90	35,638	18,933	720,684	598,004
2011-12-30	$38.11	$36.00	27.2%	9.1%	30.5%	10.4%	32.5%	2.2%	3.4%	6.7M	-307.5M	-3.9M	0.44	3.71	57,269	25,238	734,044	606,124