USO Options History — February 2013

In February 2013, USO traded between $33.06 and $35.35. ATM implied volatility averaged 21.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 7.3% (HV 20d: 13.7%). Max pain ranged from $34.00 to $34.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.28.

Notable Days

2013-02-20: Highest Volume — 149,488 contracts
2013-02-25: Largest IV spike — 50.1% change
2013-02-25: Highest IV Rank — 62.9%
2013-02-25: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.44	$33.06	$35.35	$35.35	$33.06
Max Pain	$34.29	$34.00	$34.50	$34.00	$34.50
ATM IV	21.0%	16.0%	32.6%	17.0%	21.7%
Expected Move	5.8%	4.6%	6.9%	5.5%	6.0%
HV 20d	13.7%	9.7%	16.9%	9.7%	16.2%
HV 60d	15.0%	13.3%	17.9%	17.9%	14.8%
IV Rank	17.4%	0.0%	62.9%	0.0%	21.7%
IV Percentile	12.9%	0.0%	86.5%	0.0%	10.7%
Term Structure	0.9%	-0.1%	1.9%	1.0%	1.0%
VWIV	20.8%	16.3%	24.2%	20.5%	20.8%
Skew 25d	4.4%	3.5%	6.2%	4.0%	3.5%
Skew 10d	7.9%	5.5%	11.5%	7.2%	5.5%
Call IV 25d	18.7%	15.5%	21.6%	18.5%	19.4%
Put IV 25d	23.2%	19.1%	27.9%	22.5%	22.9%
Bid-Ask Spread %	3.03	2.35	7.72	2.90	2.60
Gamma HHI	0.06	0.05	0.08	0.05	0.08
Net GEX	-5.9M	-32.7M	12.6M	10.3M	-32.7M
Net DEX	-14.0M	-316.5M	422.2M	-299.5M	422.2M
Net VEX	-4.0M	-4.3M	-3.6M	-3.6M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.52	2.37	1.70	1.08
Total Volume	68,029.263	25,356	149,488	45,140	45,010
Total OI	1,051,031.421	924,073	1,154,357	979,193	1,128,229

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
2013-02-01	$35.35	$34.00	17.0%	5.5%	9.7%	0.0%	20.5%	4.0%	1.0%	10.3M	-299.5M	-3.6M	1.70	2.90	16,689	28,451	464,091	515,102
2013-02-04	$34.78	$34.00	22.0%	5.9%	11.7%	19.5%	22.1%	4.3%	0.7%	-1.4M	-135.0M	-3.7M	0.71	3.10	32,064	22,870	457,501	507,748
2013-02-05	$35.03	$34.00	20.8%	5.8%	11.9%	14.9%	21.4%	3.9%	0.7%	2.3M	-207.5M	-3.7M	1.71	2.64	9,357	15,999	478,597	520,958
2013-02-06	$35.04	$34.00	19.2%	5.8%	11.9%	8.5%	22.0%	4.4%	1.2%	3.2M	-206.5M	-3.8M	0.82	2.89	31,328	25,741	482,069	524,104
2013-02-07	$34.68	$34.00	20.1%	5.8%	12.6%	12.2%	21.0%	4.7%	0.9%	-5.7M	-109.0M	-3.8M	0.77	2.86	33,683	25,782	499,517	534,872
2013-02-08	$34.70	$34.00	19.9%	5.7%	12.3%	11.2%	20.8%	4.5%	0.9%	-4.0M	-124.8M	-3.9M	1.81	2.94	19,636	35,482	517,596	547,875
2013-02-11	$35.12	$34.00	18.4%	5.3%	12.8%	5.5%	19.0%	3.8%	1.2%	4.7M	-246.0M	-3.8M	0.65	2.94	39,774	25,792	508,695	547,553
2013-02-12	$35.28	$34.00	16.7%	4.8%	12.7%	0.0%	17.3%	3.9%	1.6%	12.6M	-316.5M	-3.8M	1.09	2.50	33,790	36,691	535,111	555,101
2013-02-13	$35.19	$34.50	17.3%	4.9%	12.3%	2.2%	18.5%	4.5%	1.2%	6.9M	-278.5M	-3.9M	2.37	2.84	14,038	33,241	552,230	568,924
2013-02-14	$35.27	$34.50	16.0%	4.6%	12.0%	0.0%	16.3%	3.7%	1.9%	11.4M	-310.7M	-3.9M	1.35	2.35	16,278	21,922	556,336	582,085
2013-02-15	$34.72	$34.50	19.3%	5.5%	12.8%	12.5%	19.4%	4.1%	0.8%	-9.2M	-96.6M	-4.0M	1.03	3.22	62,925	64,755	562,909	591,448
2013-02-19	$34.96	$34.50	18.7%	5.4%	13.0%	10.4%	20.0%	4.4%	0.8%	6.6M	-97.7M	-4.0M	2.02	2.70	23,201	46,860	472,586	451,487
2013-02-20	$34.17	$34.50	22.2%	6.4%	15.1%	23.7%	22.2%	5.0%	-0.1%	-8.4M	116.4M	-4.1M	0.75	2.94	85,391	64,097	483,844	480,645
2013-02-21	$33.43	$34.50	24.0%	6.9%	16.5%	30.4%	24.2%	6.2%	0.4%	-20.6M	329.1M	-4.2M	1.64	2.51	54,905	90,115	487,878	510,263
2013-02-22	$33.60	$34.50	21.7%	6.2%	16.5%	21.7%	21.5%	4.5%	1.0%	-22.4M	288.9M	-4.3M	0.52	2.87	64,660	33,813	507,947	548,370
2013-02-25	$33.21	$34.50	32.6%	6.9%	16.9%	62.9%	24.1%	5.3%	-0.0%	-20.0M	352.5M	-4.3M	1.43	7.72	28,307	40,534	530,263	543,110
2013-02-26	$33.33	$34.50	27.8%	6.4%	16.8%	44.7%	22.4%	5.1%	1.0%	-22.9M	339.5M	-4.3M	1.45	2.61	15,351	22,240	539,172	562,234
2013-02-27	$33.40	$34.50	23.7%	6.1%	16.3%	29.2%	21.2%	4.3%	1.3%	-23.3M	314.6M	-4.2M	1.46	2.47	12,940	18,844	547,102	566,045
2013-02-28	$33.06	$34.50	21.7%	6.0%	16.2%	21.7%	20.8%	3.5%	1.0%	-32.7M	422.2M	-4.1M	1.08	2.60	21,665	23,345	554,177	574,052