USO Options History — November 2012

In November 2012, USO traded between $31.21 and $32.67. ATM implied volatility averaged 28.6%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.3% (HV 20d: 26.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2012-11-16: Highest Volume — 120,235 contracts
2012-11-05: Largest IV spike — 16.8% change
2012-11-06: Highest IV Rank — 83.1%
2012-11-07: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.89	$31.21	$32.67	$32.06	$32.56
Max Pain	$33.38	$33.00	$34.00	$33.50	$33.00
ATM IV	28.6%	24.8%	38.5%	29.3%	24.8%
Expected Move	8.1%	7.1%	9.1%	8.2%	7.1%
HV 20d	26.3%	21.5%	29.1%	29.1%	26.6%
HV 60d	25.6%	23.1%	26.6%	23.1%	26.4%
IV Rank	38.1%	23.6%	83.1%	28.6%	23.6%
IV Percentile	36.1%	11.9%	91.7%	40.5%	11.9%
Term Structure	1.1%	-0.1%	2.0%	1.0%	1.0%
VWIV	28.7%	25.3%	31.6%	28.8%	25.3%
Skew 25d	2.3%	1.0%	3.8%	2.5%	2.2%
Skew 10d	3.2%	-0.1%	5.9%	3.8%	2.9%
Call IV 25d	27.6%	24.3%	30.1%	27.6%	24.3%
Put IV 25d	29.9%	26.4%	33.5%	30.1%	26.4%
Bid-Ask Spread %	3.34	2.82	4.48	3.78	4.48
Gamma HHI	0.09	0.06	0.18	0.07	0.10
Net GEX	-14.8M	-27.5M	5.8M	-11.9M	5.8M
Net DEX	372.0M	77.8M	624.0M	406.0M	99.4M
Net VEX	-3.8M	-4.1M	-3.6M	-4.0M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.55	1.57	1.25	1.10
Total Volume	79,753.81	36,249	120,235	76,202	57,855
Total OI	1,338,065	1,137,214	1,513,334	1,310,063	1,283,868

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
2012-11-01	$32.06	$33.50	29.3%	8.2%	29.1%	28.6%	28.8%	2.5%	1.0%	-11.9M	406.0M	-4.0M	1.25	3.78	33,809	42,393	718,073	591,990
2012-11-02	$31.35	$33.50	29.8%	8.6%	26.3%	30.2%	31.6%	3.5%	-0.1%	-19.8M	588.0M	-3.8M	1.57	3.03	33,393	52,436	731,230	606,419
2012-11-05	$31.61	$34.00	34.8%	8.6%	21.5%	56.5%	31.4%	3.8%	0.7%	-21.1M	525.4M	-3.8M	0.84	2.82	35,498	29,890	729,931	615,202
2012-11-06	$32.56	$34.00	38.5%	8.5%	23.9%	83.1%	29.7%	2.9%	0.5%	-7.7M	259.4M	-4.1M	0.59	3.38	62,383	37,077	748,647	628,172
2012-11-07	$31.21	$34.00	33.2%	9.1%	28.0%	60.1%	31.6%	3.4%	0.4%	-23.2M	624.0M	-3.8M	1.15	3.11	52,028	59,723	761,210	638,883
2012-11-08	$31.30	$34.00	30.9%	8.9%	25.5%	49.9%	31.0%	3.0%	1.1%	-26.1M	608.5M	-3.9M	0.55	3.21	49,108	27,084	778,872	664,678
2012-11-09	$31.73	$34.00	27.7%	8.5%	26.2%	36.2%	29.1%	3.1%	1.1%	-22.7M	487.5M	-3.9M	0.86	3.38	43,185	37,262	795,092	674,994
2012-11-12	$31.59	$34.00	27.4%	8.3%	25.5%	34.7%	29.2%	2.8%	1.2%	-26.2M	541.1M	-3.7M	0.67	3.53	37,345	24,965	772,237	658,319
2012-11-13	$31.41	$34.00	25.9%	8.6%	25.4%	28.4%	30.3%	3.0%	1.7%	-27.5M	584.4M	-3.7M	1.35	3.08	28,454	38,423	785,908	667,769
2012-11-14	$31.77	$33.00	27.6%	8.4%	26.0%	35.6%	30.0%	2.0%	1.3%	-23.3M	475.7M	-3.8M	0.67	3.44	62,610	41,920	798,074	689,014
2012-11-15	$31.49	$33.00	28.9%	8.3%	25.9%	41.3%	29.4%	1.8%	2.0%	-25.3M	537.5M	-3.8M	1.08	3.62	41,594	45,109	813,267	695,572
2012-11-16	$31.93	$33.00	28.7%	8.2%	26.6%	40.7%	29.3%	1.2%	1.7%	-24.4M	408.4M	-3.8M	0.67	2.86	71,939	48,296	825,754	687,580
2012-11-19	$32.67	$33.00	27.9%	8.0%	28.2%	37.2%	28.3%	1.0%	0.9%	-371.4K	77.8M	-3.9M	0.66	3.88	63,297	41,917	607,077	530,137
2012-11-20	$31.95	$33.00	27.4%	7.9%	28.3%	35.0%	27.9%	1.6%	1.3%	-8.0M	247.5M	-3.7M	0.76	3.27	66,084	50,322	631,168	541,344
2012-11-21	$32.12	$33.00	27.2%	7.8%	28.1%	33.8%	27.3%	1.3%	1.0%	-2.1M	188.3M	-3.8M	1.07	3.12	42,533	45,685	651,500	558,830
2012-11-23	$32.32	$33.00	26.4%	7.6%	26.2%	30.4%	26.8%	1.5%	1.4%	-5.4M	141.3M	-3.8M	1.38	3.02	16,733	23,077	668,570	579,963
2012-11-26	$32.19	$33.00	26.9%	7.7%	25.9%	32.7%	27.0%	1.8%	0.8%	-8.1M	207.3M	-3.7M	1.47	3.33	14,649	21,600	647,019	570,358
2012-11-27	$31.98	$33.00	26.0%	7.5%	26.0%	28.9%	26.4%	1.5%	1.2%	-12.2M	268.4M	-3.6M	0.95	3.13	24,028	22,733	651,621	582,789
2012-11-28	$31.79	$33.00	25.7%	7.4%	26.1%	27.3%	26.7%	1.9%	1.5%	-13.9M	320.8M	-3.6M	1.29	3.12	39,379	50,922	659,465	588,894
2012-11-29	$32.17	$33.00	25.4%	7.3%	26.5%	26.2%	25.6%	2.3%	1.4%	-8.1M	216.1M	-3.6M	0.96	3.49	29,568	28,524	668,364	601,511
2012-11-30	$32.56	$33.00	24.8%	7.1%	26.6%	23.6%	25.3%	2.2%	1.0%	5.8M	99.4M	-3.6M	1.10	4.48	27,554	30,301	676,337	607,531