USO Options History — January 2012

In January 2012, USO traded between $37.78 and $39.77. ATM implied volatility averaged 30.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 3.1% (HV 20d: 27.7%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2012-01-12: Highest Volume — 150,619 contracts
2012-01-12: Largest IV spike — 16.2% change
2012-01-03: Highest IV Rank — 31.6%
2012-01-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.64	$37.78	$39.77	$39.69	$37.82
Max Pain	$38.30	$36.00	$39.00	$36.00	$38.00
ATM IV	30.8%	26.8%	38.6%	38.6%	31.1%
Expected Move	8.6%	7.5%	9.8%	9.8%	7.7%
HV 20d	27.7%	22.6%	34.1%	33.6%	22.6%
HV 60d	27.6%	25.4%	29.6%	29.6%	25.4%
IV Rank	14.7%	4.1%	31.6%	31.6%	12.5%
IV Percentile	29.1%	5.6%	67.1%	67.1%	32.1%
Term Structure	1.8%	0.8%	2.6%	1.0%	1.5%
VWIV	30.9%	26.9%	36.7%	36.7%	28.0%
Skew 25d	2.4%	0.1%	4.3%	0.4%	1.5%
Skew 10d	2.8%	-2.2%	6.9%	-1.9%	1.4%
Call IV 25d	30.0%	26.2%	35.9%	35.9%	27.5%
Put IV 25d	32.4%	28.1%	36.3%	36.2%	29.0%
Bid-Ask Spread %	2.65	1.81	3.53	2.27	2.38
Gamma HHI	0.09	0.07	0.12	0.10	0.08
Net GEX	15.0M	900.8K	29.1M	25.0M	7.4M
Net DEX	-346.8M	-707.9M	-59.0M	-669.7M	-59.0M
Net VEX	-3.7M	-4.1M	-3.5M	-4.0M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.38	4.10	0.38	1.12
Total Volume	82,904.05	35,590	150,619	135,703	91,082
Total OI	1,304,359.75	844,799	1,639,505	1,359,159	937,227

Daily Data (20 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
2012-01-03	$39.69	$36.00	38.6%	9.8%	33.6%	31.6%	36.7%	0.4%	1.0%	25.0M	-669.7M	-4.0M	0.38	2.27	98,098	37,605	754,054	605,105
2012-01-04	$39.77	$37.00	36.9%	9.5%	33.6%	28.5%	34.6%	0.1%	1.5%	29.1M	-707.9M	-4.0M	0.52	2.00	70,009	36,247	793,033	614,605
2012-01-05	$39.17	$37.00	34.5%	9.5%	34.1%	24.0%	34.3%	1.7%	1.4%	21.7M	-555.0M	-4.1M	0.71	1.81	40,006	28,237	826,256	633,240
2012-01-06	$39.22	$39.00	31.1%	9.6%	34.1%	17.6%	33.9%	3.7%	0.8%	19.7M	-559.7M	-4.0M	0.48	3.48	56,319	27,155	842,645	637,769
2012-01-09	$39.08	$39.00	33.8%	9.3%	32.6%	22.6%	33.6%	4.3%	1.2%	21.9M	-534.6M	-3.9M	0.68	2.55	41,267	27,879	852,795	635,992
2012-01-10	$39.34	$39.00	33.3%	9.1%	32.0%	21.8%	31.5%	4.2%	1.5%	25.9M	-607.3M	-4.0M	1.61	2.72	23,328	37,573	868,619	649,466
2012-01-11	$38.92	$39.00	28.1%	9.0%	31.6%	12.1%	32.5%	4.3%	1.5%	18.7M	-453.1M	-4.0M	0.87	2.83	28,530	24,785	873,203	663,070
2012-01-12	$38.06	$39.00	32.6%	9.4%	32.0%	20.5%	33.1%	4.0%	1.4%	9.0M	-262.6M	-3.9M	0.78	2.88	84,389	66,230	881,373	664,272
2012-01-13	$38.16	$39.00	31.7%	9.1%	25.7%	15.6%	32.2%	4.3%	1.9%	11.4M	-297.2M	-3.8M	1.32	3.06	38,771	51,291	904,480	674,777
2012-01-17	$38.79	$39.00	29.9%	8.6%	25.4%	12.1%	30.9%	2.8%	2.2%	21.9M	-488.9M	-3.6M	0.83	2.29	42,044	34,820	893,658	670,913
2012-01-18	$38.83	$39.00	28.5%	8.2%	25.4%	9.5%	29.5%	2.1%	2.2%	21.6M	-481.8M	-3.6M	0.55	3.17	57,242	31,659	898,864	677,852
2012-01-19	$38.69	$39.00	29.1%	8.3%	25.4%	10.5%	30.1%	2.2%	1.5%	14.8M	-407.5M	-3.6M	0.77	2.83	42,468	32,653	924,342	688,313
2012-01-20	$37.78	$39.00	28.9%	8.3%	23.9%	10.1%	29.6%	2.0%	2.1%	6.0M	-152.6M	-3.5M	0.69	2.54	55,387	38,134	936,419	703,086
2012-01-23	$38.39	$38.00	28.8%	8.2%	24.0%	10.0%	29.5%	1.7%	2.1%	8.4M	-132.3M	-3.6M	0.64	2.16	38,180	24,280	486,982	357,817
2012-01-24	$38.10	$38.00	28.5%	8.2%	24.1%	8.8%	29.4%	2.0%	2.2%	7.7M	-94.3M	-3.6M	0.58	2.37	22,461	13,129	508,269	371,491
2012-01-25	$38.35	$38.00	27.4%	7.8%	24.1%	6.5%	27.9%	1.9%	2.3%	9.5M	-136.2M	-3.6M	4.10	2.66	25,367	104,114	517,052	378,319
2012-01-26	$38.37	$38.00	27.2%	7.8%	23.5%	6.2%	27.3%	1.6%	2.4%	900.8K	-114.5M	-3.7M	0.95	2.60	37,883	35,818	523,873	413,661
2012-01-27	$38.30	$38.00	26.8%	7.6%	22.6%	4.1%	26.9%	1.9%	2.5%	11.5M	-143.6M	-3.6M	0.77	3.53	28,404	21,785	539,777	386,658
2012-01-30	$38.01	$38.00	29.3%	7.5%	22.7%	8.9%	27.1%	2.0%	2.6%	8.6M	-78.1M	-3.5M	0.68	2.97	37,746	25,706	537,230	360,638
2012-01-31	$37.82	$38.00	31.1%	7.7%	22.6%	12.5%	28.0%	1.5%	1.5%	7.4M	-59.0M	-3.6M	1.12	2.38	43,063	48,019	560,441	376,786