USO Options History — September 2012

In September 2012, USO traded between $33.34 and $36.84. ATM implied volatility averaged 30.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 11.8% (HV 20d: 18.7%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2012-09-19: Highest Volume — 251,408 contracts
2012-09-12: Largest IV drop — 18.3% change
2012-09-11: Highest IV Rank — 35.8%
2012-09-19: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.13	$33.34	$36.84	$35.51	$34.12
Max Pain	$34.97	$33.00	$36.00	$33.00	$35.00
ATM IV	30.5%	27.2%	35.1%	30.4%	27.2%
Expected Move	8.5%	8.0%	9.3%	8.3%	8.0%
HV 20d	18.7%	12.7%	25.4%	13.5%	25.4%
HV 60d	29.6%	24.8%	32.3%	32.3%	24.8%
IV Rank	25.3%	17.9%	35.8%	25.3%	17.9%
IV Percentile	46.0%	24.6%	70.6%	43.7%	24.6%
Term Structure	1.6%	0.6%	2.3%	1.1%	1.9%
VWIV	30.5%	28.6%	32.6%	30.4%	28.6%
Skew 25d	1.9%	0.5%	3.3%	2.1%	2.1%
Skew 10d	2.6%	-0.1%	5.0%	3.5%	3.5%
Call IV 25d	29.7%	27.3%	32.1%	29.3%	27.3%
Put IV 25d	31.6%	29.5%	34.9%	31.4%	29.5%
Bid-Ask Spread %	4.12	2.74	10.33	3.41	2.85
Gamma HHI	0.07	0.05	0.26	0.06	0.06
Net GEX	11.9M	-8.7M	46.4M	14.1M	-765.3K
Net DEX	-244.3M	-829.6M	310.6M	-410.2M	89.0M
Net VEX	-5.3M	-5.6M	-5.1M	-5.3M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.58	1.37	0.62	0.74
Total Volume	106,222.684	33,421	251,408	33,421	49,536
Total OI	1,538,224.632	1,378,887	1,775,054	1,378,887	1,524,037

Daily Data (19 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
2012-09-04	$35.51	$33.00	30.4%	8.3%	13.5%	25.3%	30.4%	2.1%	1.1%	14.1M	-410.2M	-5.3M	0.62	3.41	20,591	12,830	785,261	593,626
2012-09-05	$35.57	$33.00	33.4%	8.4%	12.7%	32.0%	29.6%	1.9%	0.6%	14.7M	-424.4M	-5.2M	0.92	2.96	47,001	43,315	794,848	598,697
2012-09-06	$35.23	$33.50	31.7%	8.5%	13.2%	28.1%	30.6%	1.7%	1.1%	8.1M	-326.8M	-5.3M	1.37	5.24	83,024	113,806	813,942	623,520
2012-09-07	$35.88	$35.00	28.4%	8.4%	14.6%	20.5%	30.3%	2.0%	1.9%	20.5M	-501.3M	-5.3M	1.23	2.86	46,146	56,726	830,011	666,749
2012-09-10	$35.85	$35.00	31.9%	8.2%	14.6%	28.6%	29.2%	1.7%	2.0%	13.6M	-463.6M	-5.1M	1.04	3.23	37,469	39,081	815,309	652,254
2012-09-11	$36.11	$35.00	35.1%	8.1%	14.5%	35.8%	29.4%	1.5%	1.8%	18.7M	-545.8M	-5.2M	0.88	3.38	28,345	24,929	834,277	670,673
2012-09-12	$36.04	$35.00	28.6%	8.3%	14.4%	21.1%	30.9%	1.0%	1.9%	17.2M	-521.2M	-5.2M	0.59	3.30	69,152	41,066	847,304	684,392
2012-09-13	$36.51	$35.00	29.3%	8.4%	14.8%	22.6%	29.8%	0.8%	1.5%	28.8M	-712.4M	-5.4M	0.71	4.15	88,257	62,569	887,935	699,847
2012-09-14	$36.84	$36.00	29.6%	8.5%	14.7%	23.3%	30.6%	0.5%	1.5%	28.4M	-829.6M	-5.6M	0.90	4.12	66,113	59,193	915,127	725,889
2012-09-17	$35.75	$36.00	30.3%	8.7%	18.1%	24.8%	31.7%	0.7%	1.7%	12.3M	-415.9M	-5.5M	0.81	10.33	103,195	83,775	899,892	716,778
2012-09-18	$35.57	$36.00	31.0%	8.9%	18.2%	26.4%	32.6%	1.4%	1.8%	10.1M	-358.9M	-5.5M	0.91	3.37	37,042	33,644	927,380	730,960
2012-09-19	$34.12	$36.00	32.3%	9.3%	23.2%	29.4%	32.6%	2.8%	1.5%	-6.2M	126.8M	-5.2M	0.72	3.90	146,540	104,868	935,355	736,771
2012-09-20	$34.51	$36.00	29.3%	8.4%	23.5%	22.7%	30.1%	2.3%	2.3%	6.9M	-34.3M	-5.5M	0.58	4.32	63,412	36,654	987,841	767,447
2012-09-21	$34.49	$35.00	29.7%	8.5%	23.2%	23.5%	29.9%	3.0%	1.6%	46.4M	-33.6M	-5.4M	1.07	2.86	50,001	53,535	1,000,861	774,193
2012-09-24	$34.09	$35.00	30.0%	8.6%	23.5%	24.3%	30.8%	3.0%	2.0%	-829.5K	124.9M	-5.3M	0.68	8.16	43,985	29,931	792,021	597,927
2012-09-25	$33.75	$35.00	30.3%	8.7%	23.6%	24.8%	31.0%	3.3%	1.7%	-2.7M	205.1M	-5.1M	0.96	3.13	34,108	32,701	818,416	612,489
2012-09-26	$33.34	$35.00	31.2%	8.9%	23.7%	26.9%	31.6%	3.0%	1.0%	-8.7M	310.6M	-5.1M	1.23	2.74	48,279	59,594	835,714	628,827
2012-09-27	$34.15	$35.00	29.0%	8.3%	25.4%	21.9%	29.5%	1.8%	1.7%	5.9M	79.7M	-5.2M	0.78	4.06	38,065	29,753	856,017	643,681
2012-09-28	$34.12	$35.00	27.2%	8.0%	25.4%	17.9%	28.6%	2.1%	1.9%	-765.3K	89.0M	-5.1M	0.74	2.85	28,494	21,042	867,917	656,120