USO Options History — June 2013

In June 2013, USO traded between $33.16 and $34.96. ATM implied volatility averaged 22.1%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.4% (HV 20d: 18.7%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.78.

Notable Days

2013-06-21: Highest Volume — 123,205 contracts
2013-06-20: Largest IV spike — 35.3% change
2013-06-04: Highest IV Rank — 52.4%
2013-06-04: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.97	$33.16	$34.96	$33.16	$34.18
Max Pain	$33.65	$33.00	$34.00	$33.00	$34.00
ATM IV	22.1%	17.5%	29.4%	28.9%	19.3%
Expected Move	6.0%	5.0%	6.8%	6.8%	5.7%
HV 20d	18.7%	17.3%	21.4%	17.4%	18.7%
HV 60d	22.1%	21.5%	22.6%	21.8%	22.1%
IV Rank	25.6%	8.6%	52.4%	50.5%	15.1%
IV Percentile	29.8%	5.2%	65.9%	63.1%	15.1%
Term Structure	0.6%	-0.7%	1.9%	-0.4%	1.1%
VWIV	21.4%	18.4%	24.2%	23.9%	19.8%
Skew 25d	3.6%	2.8%	5.2%	4.0%	3.2%
Skew 10d	6.2%	5.0%	9.0%	6.5%	5.5%
Call IV 25d	19.6%	17.1%	22.5%	21.5%	18.7%
Put IV 25d	23.1%	19.9%	26.6%	25.4%	21.9%
Bid-Ask Spread %	2.85	2.12	4.90	2.15	2.82
Gamma HHI	0.07	0.06	0.13	0.07	0.07
Net GEX	-7.9M	-29.6M	10.9M	-14.8M	-6.7M
Net DEX	5.2M	-312.1M	275.9M	179.5M	667.6K
Net VEX	-5.7M	-6.0M	-5.4M	-5.4M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.95	3.02	2.79	2.35
Total Volume	64,688.3	25,955	123,205	47,844	67,259
Total OI	1,179,266.8	1,061,188	1,293,067	1,061,188	1,162,793

Daily Data (20 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
2013-06-03	$33.16	$33.00	28.9%	6.8%	17.4%	50.5%	23.9%	4.0%	-0.4%	-14.8M	179.5M	-5.4M	2.79	2.15	12,615	35,229	491,449	569,739
2013-06-04	$33.20	$33.00	29.4%	6.8%	17.3%	52.4%	23.0%	3.3%	-0.6%	-15.3M	172.2M	-5.5M	1.42	2.12	12,793	18,138	497,749	595,075
2013-06-05	$33.26	$33.00	29.1%	6.6%	17.3%	51.3%	23.8%	3.2%	-0.7%	-14.2M	152.4M	-5.5M	3.02	2.17	9,531	28,785	504,081	600,563
2013-06-06	$33.62	$33.00	24.5%	6.5%	17.3%	34.2%	23.5%	3.4%	-0.2%	-10.6M	69.4M	-5.5M	2.29	2.14	21,380	49,011	506,875	611,248
2013-06-07	$34.16	$33.50	21.5%	6.0%	18.1%	23.2%	21.5%	3.5%	0.4%	-6.9M	-82.3M	-5.5M	1.76	2.58	35,071	61,762	517,058	631,085
2013-06-10	$34.00	$33.50	21.8%	5.7%	18.2%	24.4%	21.4%	3.8%	0.9%	-11.0M	4.0M	-5.7M	1.42	2.82	29,775	42,297	527,295	649,092
2013-06-11	$33.79	$33.50	23.6%	5.8%	18.1%	30.8%	20.9%	3.4%	0.3%	-14.7M	55.0M	-5.7M	1.38	3.06	29,677	41,067	530,047	651,143
2013-06-12	$34.03	$33.50	21.4%	6.0%	18.0%	23.0%	21.4%	4.1%	0.6%	-6.3M	-22.3M	-5.8M	1.77	2.83	28,342	50,305	546,860	665,008
2013-06-13	$34.33	$33.50	19.6%	5.6%	18.2%	16.1%	20.1%	3.8%	0.7%	-4.5M	-110.9M	-5.8M	2.91	2.98	12,978	37,826	548,613	686,492
2013-06-14	$34.74	$33.50	19.5%	5.6%	18.5%	15.8%	19.1%	3.3%	0.9%	3.3M	-254.3M	-5.8M	0.95	2.57	40,961	39,073	553,085	695,706
2013-06-17	$34.76	$34.00	18.7%	5.4%	18.2%	12.8%	19.2%	3.0%	1.0%	8.7M	-264.6M	-5.8M	1.41	2.75	20,475	28,833	565,642	688,396
2013-06-18	$34.96	$34.00	18.5%	5.3%	18.1%	12.1%	19.0%	2.9%	1.3%	10.2M	-312.1M	-5.8M	1.06	2.97	22,519	23,936	569,323	698,081
2013-06-19	$34.78	$34.00	17.5%	5.0%	17.9%	8.6%	18.4%	2.8%	1.9%	10.9M	-286.4M	-5.9M	1.73	2.99	23,561	40,643	582,375	706,473
2013-06-20	$33.63	$34.00	23.7%	6.8%	20.5%	31.4%	24.2%	5.2%	-0.1%	-22.0M	146.5M	-5.9M	1.86	4.90	36,965	68,791	574,786	696,401
2013-06-21	$33.23	$34.00	21.9%	6.3%	21.0%	24.8%	22.3%	3.8%	1.1%	-29.6M	275.9M	-5.8M	2.09	3.34	39,877	83,328	582,706	710,361
2013-06-24	$33.64	$34.00	22.3%	6.4%	21.4%	26.2%	22.8%	3.9%	0.5%	-13.3M	162.2M	-5.9M	1.34	3.33	27,028	36,214	498,386	593,702
2013-06-25	$33.74	$34.00	21.3%	6.1%	20.9%	22.6%	21.8%	3.9%	0.8%	-10.2M	136.8M	-6.0M	1.35	2.68	11,032	14,923	510,187	605,725
2013-06-26	$33.80	$34.00	20.1%	5.8%	19.5%	18.0%	20.6%	3.8%	0.9%	-8.4M	115.7M	-5.8M	1.49	2.80	20,836	30,962	515,508	604,835
2013-06-27	$34.33	$34.00	20.3%	5.8%	20.1%	18.9%	21.0%	3.1%	1.0%	-2.1M	-34.3M	-6.0M	1.21	2.93	27,104	32,864	523,668	617,725
2013-06-28	$34.18	$34.00	19.3%	5.7%	18.7%	15.1%	19.8%	3.2%	1.1%	-6.7M	667.6K	-6.0M	2.35	2.82	20,089	47,170	536,413	626,380