USO Options History — August 2012

In August 2012, USO traded between $32.60 and $36.22. ATM implied volatility averaged 28.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.3% (HV 20d: 24.8%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.97.

Notable Days

2012-08-17: Highest Volume — 138,069 contracts
2012-08-16: Largest IV spike — 37.0% change
2012-08-01: Highest IV Rank — 41.1%
2012-08-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.11	$32.60	$36.22	$33.17	$35.89
Max Pain	$32.46	$32.00	$33.00	$33.00	$33.00
ATM IV	28.1%	20.8%	42.4%	42.4%	23.0%
Expected Move	8.1%	7.6%	8.6%	8.6%	7.6%
HV 20d	24.8%	13.0%	30.6%	28.7%	13.0%
HV 60d	33.7%	32.1%	34.8%	33.2%	32.2%
IV Rank	18.3%	3.3%	41.1%	41.1%	8.2%
IV Percentile	27.5%	0.8%	86.5%	86.5%	3.6%
Term Structure	1.6%	0.6%	2.5%	1.5%	2.5%
VWIV	29.2%	27.9%	30.6%	30.3%	27.9%
Skew 25d	0.8%	-0.6%	2.4%	1.8%	1.6%
Skew 10d	1.0%	-2.5%	3.6%	3.6%	2.0%
Call IV 25d	28.9%	27.0%	30.1%	30.0%	27.0%
Put IV 25d	29.7%	28.6%	31.9%	31.9%	28.6%
Bid-Ask Spread %	3.37	2.89	5.51	3.15	3.39
Gamma HHI	0.08	0.05	0.23	0.07	0.07
Net GEX	16.7M	-3.8M	32.4M	4.9M	22.1M
Net DEX	-439.3M	-790.8M	81.6M	-73.3M	-500.0M
Net VEX	-4.5M	-5.5M	-3.8M	-4.3M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.41	2.16	0.86	1.49
Total Volume	74,177.957	32,669	138,069	55,280	84,553
Total OI	1,277,452.13	1,109,046	1,404,753	1,221,474	1,404,753

Daily Data (23 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
2012-08-01	$33.17	$33.00	42.4%	8.6%	28.7%	41.1%	30.3%	1.8%	1.5%	4.9M	-73.3M	-4.3M	0.86	3.15	29,750	25,530	670,408	551,066
2012-08-02	$32.60	$33.00	30.7%	8.3%	29.2%	20.2%	29.7%	2.4%	2.3%	-3.8M	81.6M	-4.2M	0.67	4.47	19,609	13,060	681,472	562,043
2012-08-03	$34.07	$33.00	30.0%	8.3%	30.6%	18.9%	29.8%	0.1%	1.8%	25.6M	-340.5M	-4.3M	0.56	2.92	58,596	32,581	689,066	566,199
2012-08-06	$34.42	$32.00	31.4%	8.4%	30.2%	21.5%	29.9%	1.2%	1.2%	16.0M	-380.5M	-4.1M	1.04	3.33	31,235	32,333	675,431	544,934
2012-08-07	$34.91	$32.00	32.0%	8.4%	29.1%	22.5%	30.4%	0.5%	0.6%	21.0M	-513.9M	-4.0M	1.37	3.26	27,876	38,099	685,369	555,366
2012-08-08	$34.87	$32.00	27.4%	8.2%	28.1%	14.3%	29.7%	1.0%	0.8%	18.1M	-475.2M	-4.0M	0.75	3.31	38,757	28,892	682,365	564,505
2012-08-09	$34.93	$32.00	25.8%	8.1%	28.0%	14.7%	28.8%	1.0%	0.9%	20.3M	-493.6M	-4.0M	1.08	3.46	16,155	17,514	696,020	573,699
2012-08-10	$34.85	$32.00	24.8%	8.0%	27.8%	12.3%	29.3%	1.1%	1.0%	16.8M	-461.3M	-3.9M	0.87	3.18	29,321	25,479	701,799	578,171
2012-08-13	$34.66	$32.00	25.1%	7.9%	27.7%	12.9%	28.1%	1.0%	1.2%	14.9M	-409.3M	-3.8M	0.91	3.10	23,102	21,136	689,601	571,879
2012-08-14	$34.92	$32.00	24.0%	7.9%	27.7%	10.5%	28.3%	1.5%	1.0%	19.0M	-488.6M	-3.8M	1.61	3.32	16,310	26,324	696,484	578,958
2012-08-15	$35.19	$32.00	20.8%	8.0%	27.6%	3.3%	29.0%	-0.6%	1.1%	21.5M	-581.4M	-3.9M	0.45	3.73	77,893	34,817	698,678	591,142
2012-08-16	$35.56	$32.00	28.6%	8.2%	26.1%	20.9%	29.9%	-0.4%	1.2%	24.7M	-685.9M	-4.0M	0.79	3.19	48,315	38,120	733,712	597,852
2012-08-17	$35.95	$32.00	28.6%	8.2%	25.8%	21.0%	29.4%	0.3%	1.8%	32.4M	-790.8M	-4.1M	0.57	5.51	88,134	49,935	752,353	614,604
2012-08-20	$35.83	$32.00	27.5%	7.9%	21.6%	18.5%	29.0%	1.0%	2.1%	17.0M	-458.1M	-4.3M	1.11	3.27	42,544	47,384	635,512	473,534
2012-08-21	$35.98	$32.50	27.7%	8.0%	21.6%	19.1%	28.5%	0.6%	1.8%	17.9M	-477.5M	-4.4M	0.41	3.18	63,658	26,249	656,579	500,552
2012-08-22	$36.22	$32.50	27.8%	8.0%	21.6%	19.3%	28.4%	0.5%	1.8%	21.4M	-561.8M	-4.6M	0.65	3.30	56,182	36,241	694,795	515,038
2012-08-23	$35.76	$32.50	28.3%	8.1%	22.5%	20.3%	29.3%	0.4%	1.8%	14.5M	-467.9M	-4.9M	1.27	3.21	60,366	76,594	728,962	533,169
2012-08-24	$35.68	$33.00	28.5%	8.2%	22.5%	20.9%	29.0%	-0.2%	1.9%	12.4M	-421.8M	-5.3M	0.79	2.90	37,487	29,488	758,582	579,626
2012-08-27	$35.61	$33.00	29.0%	8.3%	22.3%	21.9%	30.6%	0.2%	1.6%	13.8M	-420.4M	-5.2M	1.42	3.24	22,849	32,449	745,417	561,249
2012-08-28	$35.79	$33.00	28.6%	8.2%	20.0%	21.0%	29.3%	0.7%	1.6%	15.0M	-465.5M	-5.2M	0.66	2.89	38,362	25,187	758,649	577,129
2012-08-29	$35.38	$33.00	27.9%	8.0%	20.4%	19.5%	28.9%	1.1%	2.4%	10.0M	-384.2M	-5.3M	2.16	2.94	24,789	53,504	785,351	584,144
2012-08-30	$35.26	$33.00	27.3%	7.8%	19.1%	18.1%	28.7%	1.4%	2.4%	7.9M	-334.7M	-5.3M	0.90	3.29	31,150	28,184	790,385	594,797
2012-08-31	$35.89	$33.00	23.0%	7.6%	13.0%	8.2%	27.9%	1.6%	2.5%	22.1M	-500.0M	-5.5M	1.49	3.39	33,930	50,623	802,407	602,346