USO Options History — January 2013

In January 2013, USO traded between $33.74 and $35.49. ATM implied volatility averaged 21.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.5% (HV 20d: 13.5%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.19.

Notable Days

2013-01-11: Highest Volume — 109,126 contracts
2013-01-28: Largest IV spike — 22.0% change
2013-01-02: Highest IV Rank — 34.1%
2013-01-04: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.46	$33.74	$35.49	$33.82	$35.28
Max Pain	$33.26	$32.00	$34.00	$33.00	$34.00
ATM IV	21.0%	17.6%	27.2%	27.2%	18.2%
Expected Move	5.9%	5.1%	6.7%	6.6%	5.1%
HV 20d	13.5%	9.9%	16.5%	16.5%	9.9%
HV 60d	19.8%	18.0%	22.9%	22.9%	18.0%
IV Rank	9.9%	0.0%	34.1%	34.1%	2.5%
IV Percentile	4.3%	0.0%	33.3%	33.3%	0.4%
Term Structure	1.6%	0.9%	2.3%	1.4%	1.7%
VWIV	21.8%	19.3%	24.4%	24.1%	20.3%
Skew 25d	3.3%	1.9%	4.0%	2.3%	3.5%
Skew 10d	5.7%	3.0%	7.3%	4.3%	5.6%
Call IV 25d	19.9%	17.3%	23.0%	23.0%	17.3%
Put IV 25d	23.2%	20.8%	25.8%	25.3%	20.8%
Bid-Ask Spread %	5.08	3.05	11.70	3.15	4.53
Gamma HHI	0.11	0.05	0.29	0.10	0.07
Net GEX	14.5M	937.7K	34.4M	17.8M	13.0M
Net DEX	-251.4M	-404.7M	-143.7M	-233.1M	-289.3M
Net VEX	-2.9M	-3.5M	-2.6M	-2.7M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.46	1.90	1.27	1.27
Total Volume	67,025.095	32,250	109,126	85,512	53,075
Total OI	1,049,542.81	716,001	1,316,515	1,073,904	948,392

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
2013-01-02	$33.82	$33.00	27.2%	6.6%	16.5%	34.1%	24.1%	2.3%	1.4%	17.8M	-233.1M	-2.7M	1.27	3.15	37,704	47,808	556,196	517,708
2013-01-03	$33.74	$33.00	23.7%	6.4%	16.4%	18.7%	24.1%	1.9%	1.7%	15.4M	-198.1M	-2.7M	1.79	3.05	22,173	39,765	572,105	538,317
2013-01-04	$33.88	$32.00	20.0%	6.7%	16.1%	2.8%	24.4%	3.4%	1.3%	14.6M	-231.2M	-2.7M	1.08	4.39	41,938	45,194	578,652	542,790
2013-01-07	$33.92	$32.00	21.7%	6.4%	14.3%	10.1%	22.6%	3.1%	1.4%	11.4M	-199.5M	-2.7M	0.75	4.68	25,844	19,456	573,594	542,611
2013-01-08	$33.96	$32.50	20.8%	6.2%	14.0%	6.1%	22.9%	3.1%	1.5%	12.6M	-228.7M	-2.6M	0.87	3.97	17,237	15,013	577,637	549,609
2013-01-09	$33.88	$32.50	18.9%	6.2%	13.9%	0.0%	22.9%	2.8%	1.5%	10.5M	-206.8M	-2.6M	0.87	4.35	34,267	29,702	585,433	553,685
2013-01-10	$34.17	$32.50	21.8%	6.3%	14.0%	12.3%	22.7%	2.8%	1.4%	21.4M	-288.1M	-2.7M	1.36	4.21	16,429	22,328	604,915	567,790
2013-01-11	$34.06	$32.50	21.9%	6.3%	14.0%	12.7%	23.8%	3.1%	1.6%	16.9M	-275.9M	-2.7M	0.53	4.64	71,338	37,788	609,668	574,990
2013-01-14	$34.28	$33.00	22.5%	6.5%	13.6%	15.3%	23.3%	3.1%	1.5%	20.0M	-301.0M	-2.7M	1.12	4.19	31,247	35,047	618,737	572,356
2013-01-15	$33.99	$33.00	23.1%	6.6%	14.2%	17.7%	23.4%	3.3%	1.2%	15.5M	-226.6M	-2.7M	1.11	4.58	20,695	22,898	632,093	587,820
2013-01-16	$34.28	$33.00	21.2%	6.1%	14.3%	9.5%	22.6%	3.5%	2.1%	21.0M	-290.8M	-2.8M	1.31	11.67	30,925	40,436	638,998	600,269
2013-01-17	$34.67	$33.50	21.2%	6.1%	14.6%	9.7%	21.9%	3.5%	2.0%	34.4M	-404.7M	-2.9M	1.26	4.69	44,583	56,349	645,564	622,892
2013-01-18	$34.77	$34.00	18.5%	5.3%	13.9%	0.0%	19.4%	3.4%	2.3%	30.5M	-401.2M	-2.8M	0.73	5.02	31,161	22,712	668,477	648,038
2013-01-22	$35.01	$34.00	18.3%	5.2%	14.0%	0.0%	19.3%	3.4%	1.8%	6.8M	-221.0M	-2.7M	1.02	4.18	50,663	51,533	339,395	376,606
2013-01-23	$34.61	$34.00	19.5%	5.6%	14.0%	4.8%	20.3%	3.8%	1.7%	2.4M	-143.7M	-3.0M	1.86	4.51	26,665	49,690	380,381	400,370
2013-01-24	$34.76	$34.00	18.7%	5.4%	13.8%	1.6%	20.0%	4.0%	1.5%	6.4M	-156.2M	-3.1M	1.52	4.63	23,563	35,700	396,007	429,606
2013-01-25	$34.78	$34.00	17.6%	5.3%	10.4%	0.0%	19.7%	3.6%	1.6%	937.7K	-151.2M	-3.2M	1.50	11.70	22,173	33,362	406,001	445,181
2013-01-28	$34.94	$34.00	21.4%	5.5%	10.4%	15.6%	20.4%	4.0%	0.9%	2.5M	-180.6M	-3.2M	0.46	4.26	43,309	20,104	389,993	447,194
2013-01-29	$35.29	$34.00	21.8%	5.3%	10.4%	17.1%	20.1%	3.7%	1.7%	12.9M	-312.6M	-3.3M	1.90	4.71	25,859	49,086	424,943	456,298
2013-01-30	$35.49	$34.00	21.9%	5.2%	10.1%	17.4%	20.2%	3.2%	1.8%	16.4M	-339.9M	-3.4M	1.47	5.48	25,385	37,323	435,661	483,427
2013-01-31	$35.28	$34.00	18.2%	5.1%	9.9%	2.5%	20.3%	3.5%	1.7%	13.0M	-289.3M	-3.5M	1.27	4.53	23,332	29,743	450,876	497,516