USO Options History — July 2012

In July 2012, USO traded between $31.43 and $34.64. ATM implied volatility averaged 34.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 8.2% (HV 20d: 42.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2012-07-19: Highest Volume — 202,454 contracts
2012-07-31: Largest IV spike — 20.9% change
2012-07-31: Highest IV Rank — 39.3%
2012-07-03: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.91	$31.43	$34.64	$31.43	$32.68
Max Pain	$32.52	$32.00	$33.00	$33.00	$33.00
ATM IV	34.4%	30.6%	41.4%	38.6%	41.4%
Expected Move	9.3%	8.3%	9.9%	9.9%	8.8%
HV 20d	42.6%	31.9%	46.1%	41.1%	32.8%
HV 60d	32.7%	29.6%	34.1%	29.6%	33.0%
IV Rank	26.8%	20.1%	39.3%	34.4%	39.3%
IV Percentile	56.5%	37.7%	81.0%	73.0%	81.0%
Term Structure	0.6%	-1.0%	1.9%	-1.0%	1.1%
VWIV	33.2%	29.2%	35.5%	34.9%	31.0%
Skew 25d	1.8%	0.6%	2.9%	2.5%	2.2%
Skew 10d	2.5%	0.8%	4.5%	3.0%	3.5%
Call IV 25d	32.3%	29.0%	36.0%	33.6%	30.5%
Put IV 25d	34.1%	30.3%	36.8%	36.1%	32.7%
Bid-Ask Spread %	3.09	2.33	4.78	2.54	4.78
Gamma HHI	0.08	0.05	0.20	0.06	0.06
Net GEX	8.8M	-1.5M	26.7M	-1.5M	719.9K
Net DEX	-48.1M	-487.6M	254.0M	254.0M	50.5M
Net VEX	-4.3M	-4.7M	-4.0M	-4.3M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.43	1.59	0.68	0.62
Total Volume	82,403.19	35,190	202,454	115,985	90,226
Total OI	1,334,167.048	1,075,913	1,531,360	1,337,459	1,141,918

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
2012-07-02	$31.43	$33.00	38.6%	9.9%	41.1%	34.4%	34.9%	2.5%	-1.0%	-1.5M	254.0M	-4.3M	0.68	2.54	69,146	46,839	769,638	567,821
2012-07-03	$32.94	$33.00	40.3%	9.9%	44.4%	37.3%	35.5%	0.8%	0.4%	11.0M	-133.1M	-4.6M	0.61	3.41	117,400	71,189	797,796	585,759
2012-07-05	$32.62	$33.00	37.0%	9.9%	44.4%	31.5%	35.3%	1.3%	0.2%	11.7M	-65.1M	-4.7M	0.64	3.23	60,912	39,019	834,027	602,190
2012-07-06	$31.59	$32.00	34.7%	9.9%	45.7%	27.4%	35.4%	2.7%	0.4%	2.6M	209.1M	-4.5M	0.78	2.91	55,679	43,587	841,686	612,067
2012-07-09	$32.17	$32.00	39.7%	9.9%	46.1%	36.4%	34.5%	2.9%	0.4%	5.9M	87.5M	-4.5M	0.56	3.39	60,499	33,829	821,231	592,832
2012-07-10	$31.52	$32.00	39.8%	9.9%	44.9%	36.5%	34.9%	2.7%	0.9%	13.3K	248.4M	-4.3M	1.05	3.53	25,344	26,561	827,089	597,150
2012-07-11	$32.33	$32.00	33.2%	9.8%	45.0%	24.8%	34.3%	2.5%	-0.2%	7.8M	65.2M	-4.4M	1.14	2.38	32,089	36,453	831,583	608,620
2012-07-12	$32.20	$32.00	32.0%	9.2%	44.9%	22.6%	32.4%	2.1%	1.0%	5.7M	118.2M	-4.3M	0.79	3.20	31,573	24,875	834,974	612,342
2012-07-13	$32.68	$32.00	31.3%	9.0%	44.6%	21.3%	32.0%	1.4%	0.9%	12.4M	-30.9M	-4.3M	0.69	3.55	31,527	21,629	842,456	616,530
2012-07-16	$33.12	$32.00	31.0%	8.9%	44.8%	20.7%	32.7%	1.6%	0.7%	17.7M	-120.3M	-4.2M	1.14	3.84	27,266	31,009	827,512	607,542
2012-07-17	$33.38	$32.00	32.0%	9.2%	44.6%	22.5%	32.5%	1.2%	0.2%	19.0M	-172.1M	-4.1M	1.32	2.33	36,984	48,767	830,726	615,895
2012-07-18	$33.69	$32.00	31.4%	9.0%	44.5%	21.4%	31.9%	1.0%	0.4%	20.9M	-263.9M	-4.2M	0.53	3.00	46,797	24,764	836,977	632,569
2012-07-19	$34.64	$32.00	33.3%	9.5%	42.5%	24.8%	33.9%	1.3%	-0.1%	26.7M	-487.6M	-4.2M	0.68	2.53	120,238	82,216	843,356	636,884
2012-07-20	$34.20	$33.00	32.2%	9.2%	40.4%	22.9%	32.8%	0.6%	0.7%	21.3M	-354.5M	-4.3M	0.43	2.87	55,310	23,542	856,698	674,662
2012-07-23	$33.00	$33.00	34.0%	9.7%	42.8%	26.0%	35.2%	1.7%	-0.2%	3.0M	-18.1M	-4.2M	1.36	2.61	26,647	36,228	597,866	478,047
2012-07-24	$33.15	$33.00	33.1%	9.5%	42.5%	24.5%	34.8%	2.0%	0.3%	2.6M	-37.6M	-4.2M	1.59	3.63	13,607	21,583	607,196	495,000
2012-07-25	$33.21	$33.00	31.7%	9.1%	42.5%	22.0%	32.0%	2.0%	0.8%	2.7M	-42.3M	-4.2M	1.06	2.82	33,757	35,834	611,912	506,421
2012-07-26	$33.41	$33.00	30.7%	8.8%	42.4%	20.3%	31.4%	2.2%	1.2%	4.7M	-86.2M	-4.2M	0.80	2.37	19,812	15,816	623,565	521,209
2012-07-27	$33.67	$33.00	30.6%	8.4%	41.0%	20.1%	29.9%	1.4%	1.9%	5.2M	-143.1M	-4.1M	0.80	3.56	27,343	21,992	621,124	526,584
2012-07-30	$33.45	$33.00	34.2%	8.3%	31.9%	26.5%	29.2%	1.3%	1.6%	4.7M	-88.2M	-4.1M	0.64	2.45	38,045	24,534	609,861	518,193
2012-07-31	$32.68	$33.00	41.4%	8.8%	32.8%	39.3%	31.0%	2.2%	1.1%	719.9K	50.5M	-4.0M	0.62	4.78	55,736	34,490	622,652	519,266