USO Options History — June 2012

In June 2012, USO traded between $29.46 and $32.15. ATM implied volatility averaged 33.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.2% (HV 20d: 28.3%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2012-06-29: Highest Volume — 216,868 contracts
2012-06-11: Largest IV spike — 23.0% change
2012-06-04: Highest IV Rank — 35.7%
2012-06-01: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.02	$29.46	$32.15	$31.43	$31.83
Max Pain	$34.38	$33.00	$38.00	$38.00	$33.00
ATM IV	33.5%	29.5%	39.3%	38.9%	31.3%
Expected Move	9.7%	8.5%	11.2%	11.2%	9.0%
HV 20d	28.3%	21.9%	41.0%	23.6%	41.0%
HV 60d	23.4%	21.3%	29.7%	21.3%	29.7%
IV Rank	25.2%	18.1%	35.7%	34.8%	21.3%
IV Percentile	56.0%	38.1%	75.4%	74.6%	48.0%
Term Structure	0.7%	-1.4%	1.5%	-1.4%	0.9%
VWIV	33.7%	30.0%	39.2%	37.3%	33.1%
Skew 25d	5.7%	2.5%	9.2%	9.2%	2.5%
Skew 10d	8.8%	3.7%	16.1%	16.1%	4.8%
Call IV 25d	31.4%	27.6%	36.3%	34.1%	31.3%
Put IV 25d	37.1%	32.4%	43.2%	43.2%	33.8%
Bid-Ask Spread %	3.01	2.02	3.61	3.61	3.52
Gamma HHI	0.09	0.07	0.15	0.09	0.07
Net GEX	-9.5M	-18.1M	200.3K	-18.1M	200.3K
Net DEX	664.4M	139.4M	921.1M	921.1M	139.4M
Net VEX	-3.5M	-4.3M	-3.1M	-3.1M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.45	0.94	0.84	0.94
Total Volume	101,455.619	42,562	216,868	209,917	216,868
Total OI	1,231,024.238	1,039,204	1,362,658	1,128,828	1,332,293

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
2012-06-01	$31.43	$38.00	38.9%	11.2%	23.6%	34.8%	37.3%	9.2%	-1.4%	-18.1M	921.1M	-3.1M	0.84	3.61	113,822	96,095	613,062	515,766
2012-06-04	$31.76	$36.00	39.3%	10.1%	21.9%	35.7%	35.3%	7.1%	0.5%	-11.0M	824.0M	-3.1M	0.78	3.61	42,543	33,104	641,605	526,836
2012-06-05	$31.76	$36.00	37.1%	9.6%	22.0%	31.8%	33.3%	6.3%	1.2%	-9.9M	808.8M	-3.2M	0.58	2.72	39,149	22,556	655,077	534,369
2012-06-06	$32.15	$35.00	32.3%	9.5%	23.1%	23.1%	33.0%	6.4%	0.7%	-8.0M	758.4M	-3.3M	0.72	3.08	35,613	25,800	670,371	543,455
2012-06-07	$31.72	$35.00	31.7%	9.7%	23.2%	22.0%	33.8%	5.6%	0.4%	-10.0M	803.9M	-3.2M	0.81	3.43	43,521	35,457	673,981	550,959
2012-06-08	$31.80	$35.00	31.4%	9.8%	23.2%	21.6%	35.2%	5.5%	0.3%	-9.7M	795.0M	-3.3M	0.92	2.84	68,399	62,826	689,201	563,957
2012-06-11	$30.70	$35.00	38.7%	11.1%	25.3%	34.5%	39.2%	6.8%	-0.1%	-11.8M	906.6M	-3.3M	0.73	3.06	47,481	34,585	705,292	574,402
2012-06-12	$31.42	$35.00	34.7%	10.7%	27.4%	27.3%	37.1%	6.6%	-0.1%	-10.0M	820.4M	-3.5M	0.79	2.92	29,841	23,518	728,896	589,536
2012-06-13	$31.10	$35.00	32.0%	10.4%	27.4%	22.6%	36.2%	6.5%	0.7%	-10.1M	844.6M	-3.5M	0.75	3.12	36,803	27,711	738,243	583,391
2012-06-14	$31.73	$34.00	33.2%	9.5%	28.9%	24.6%	33.1%	5.9%	1.0%	-4.4M	751.1M	-3.6M	0.45	2.76	43,262	19,273	751,706	586,056
2012-06-15	$31.63	$34.00	32.8%	9.4%	28.9%	23.9%	33.1%	6.7%	1.4%	-4.2M	768.7M	-3.5M	0.94	2.64	37,381	35,277	772,178	590,480
2012-06-18	$31.32	$34.00	33.1%	9.5%	28.6%	24.6%	32.6%	5.1%	0.3%	-7.3M	416.2M	-3.4M	0.91	2.26	53,848	48,851	597,898	441,306
2012-06-19	$31.68	$34.00	29.5%	8.5%	27.6%	18.1%	30.0%	6.0%	1.5%	-5.3M	374.6M	-3.5M	0.82	2.40	34,394	28,043	625,947	464,678
2012-06-20	$30.49	$34.00	32.7%	9.4%	29.7%	23.8%	31.8%	6.0%	0.9%	-12.0M	536.8M	-3.2M	0.72	3.25	71,014	51,163	631,202	464,741
2012-06-21	$29.46	$34.00	35.0%	10.0%	31.3%	28.0%	34.2%	5.7%	1.0%	-13.7M	668.3M	-3.2M	0.91	2.99	93,684	84,781	662,240	491,041
2012-06-22	$30.10	$33.00	32.8%	9.4%	32.7%	24.0%	32.6%	5.2%	0.4%	-12.9M	554.4M	-3.5M	0.83	3.08	83,262	68,833	703,785	523,662
2012-06-25	$29.80	$33.00	33.3%	9.6%	32.6%	24.9%	34.0%	5.0%	0.9%	-9.6M	567.3M	-3.7M	0.81	2.02	55,617	45,118	718,453	532,714
2012-06-26	$29.81	$33.00	30.8%	8.8%	32.6%	20.5%	31.4%	4.3%	1.4%	-10.3M	570.6M	-3.6M	0.92	3.30	22,166	20,396	728,491	539,612
2012-06-27	$30.20	$33.00	30.5%	8.7%	31.5%	19.8%	30.4%	3.0%	1.4%	-7.3M	502.1M	-3.7M	0.81	3.36	44,661	36,197	735,111	547,113
2012-06-28	$29.50	$33.00	32.2%	9.2%	32.1%	22.9%	31.7%	3.8%	0.9%	-13.5M	620.7M	-3.6M	0.73	3.17	68,067	49,588	749,974	562,429
2012-06-29	$31.83	$33.00	31.3%	9.0%	41.0%	21.3%	33.1%	2.5%	0.9%	200.3K	139.4M	-4.3M	0.94	3.52	111,666	105,202	759,028	573,265