USO Options History — July 2013

In July 2013, USO traded between $34.67 and $38.45. ATM implied volatility averaged 22.9%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 19.3%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.35.

Notable Days

2013-07-10: Highest Volume — 202,804 contracts
2013-07-31: Largest IV spike — 15.5% change
2013-07-31: Highest IV Rank — 47.0%
2013-07-05: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.12	$34.67	$38.45	$34.67	$37.36
Max Pain	$36.75	$34.00	$38.00	$34.00	$38.00
ATM IV	22.9%	19.9%	28.0%	20.9%	28.0%
Expected Move	6.2%	5.7%	6.9%	5.7%	6.0%
HV 20d	19.3%	15.9%	21.4%	18.4%	19.3%
HV 60d	20.6%	18.2%	23.0%	22.2%	18.5%
IV Rank	28.4%	17.4%	47.0%	21.2%	47.0%
IV Percentile	38.8%	19.0%	72.2%	26.2%	72.2%
Term Structure	0.1%	-0.7%	1.0%	0.9%	0.9%
VWIV	22.4%	20.1%	24.8%	20.6%	21.5%
Skew 25d	1.9%	-0.2%	3.0%	2.9%	2.2%
Skew 10d	3.2%	-0.2%	5.7%	4.3%	3.2%
Call IV 25d	21.2%	18.5%	24.4%	18.5%	20.1%
Put IV 25d	23.1%	21.4%	25.1%	21.4%	22.4%
Bid-Ask Spread %	3.47	2.51	7.39	2.72	2.82
Gamma HHI	0.11	0.06	0.31	0.08	0.13
Net GEX	-14.9M	-60.0M	32.9M	-3.9M	-53.7M
Net DEX	-383.0M	-842.1M	254.6M	-96.1M	-35.7M
Net VEX	-6.3M	-6.8M	-5.9M	-6.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	0.75	7.19	1.26	3.79
Total Volume	88,628.636	31,562	202,804	31,562	74,275
Total OI	1,368,618.955	1,161,531	1,589,456	1,161,531	1,363,789

Daily Data (22 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
2013-07-01	$34.67	$34.00	20.9%	5.7%	18.4%	21.2%	20.6%	2.9%	0.9%	-3.9M	-96.1M	-6.0M	1.26	2.72	13,944	17,618	531,429	630,102
2013-07-02	$35.21	$34.00	23.9%	5.9%	19.0%	32.1%	20.7%	1.8%	0.1%	4.2M	-272.5M	-5.9M	1.70	2.93	41,459	70,432	536,768	638,320
2013-07-03	$35.84	$34.50	26.5%	6.8%	19.7%	41.6%	24.2%	0.8%	-0.7%	8.1M	-443.0M	-6.1M	1.02	3.07	81,060	82,758	554,060	676,083
2013-07-05	$36.56	$34.50	24.8%	6.9%	20.4%	35.4%	24.8%	0.7%	-0.7%	25.5M	-673.9M	-6.0M	1.08	4.01	79,498	85,837	574,418	709,857
2013-07-08	$36.41	$35.00	25.5%	6.4%	20.1%	37.9%	23.2%	1.4%	0.3%	11.3M	-568.1M	-6.1M	1.32	7.39	30,634	40,340	575,778	719,868
2013-07-09	$36.77	$35.50	27.3%	6.5%	20.0%	44.7%	23.2%	0.5%	-0.6%	15.2M	-663.3M	-6.0M	0.75	3.79	28,316	21,231	583,583	739,151
2013-07-10	$37.43	$35.50	24.9%	6.7%	20.2%	35.6%	24.0%	-0.2%	-0.5%	21.7M	-842.1M	-6.0M	2.25	3.97	62,483	140,321	593,717	747,886
2013-07-11	$37.01	$36.00	22.4%	6.4%	21.0%	26.5%	23.3%	1.9%	-0.3%	4.6M	-619.8M	-6.3M	3.90	3.97	28,262	110,291	597,125	807,845
2013-07-12	$37.56	$36.50	21.9%	6.3%	21.3%	24.6%	22.4%	2.0%	-0.6%	15.5M	-760.6M	-6.3M	4.20	3.70	38,970	163,728	603,075	867,783
2013-07-15	$37.67	$37.50	21.3%	6.1%	21.1%	22.4%	21.9%	1.7%	-0.3%	-15.5M	-576.6M	-6.6M	1.66	3.62	18,893	31,444	594,544	970,211
2013-07-16	$37.48	$37.50	21.8%	6.2%	21.3%	24.2%	23.9%	2.4%	0.0%	-20.3M	-470.5M	-6.7M	2.24	3.18	16,620	37,154	595,067	981,744
2013-07-17	$37.80	$38.00	20.1%	5.7%	21.4%	17.9%	22.5%	2.8%	0.7%	-16.7M	-589.8M	-6.4M	2.42	3.55	14,472	35,043	596,645	980,820
2013-07-18	$38.34	$38.00	19.9%	5.7%	21.4%	17.4%	20.7%	2.0%	1.0%	-6.2M	-740.5M	-6.2M	1.00	3.01	37,921	38,052	580,728	981,282
2013-07-19	$38.45	$38.00	21.2%	6.1%	15.9%	22.0%	22.4%	1.5%	0.5%	32.9M	-758.3M	-6.3M	1.10	3.31	45,821	50,552	593,445	996,011
2013-07-22	$37.92	$38.00	21.4%	6.1%	16.2%	22.8%	22.8%	1.4%	0.4%	-37.6M	-253.5M	-6.4M	1.82	4.18	22,171	40,397	451,720	785,243
2013-07-23	$38.09	$38.00	21.3%	6.1%	16.1%	22.4%	21.7%	2.1%	0.1%	-38.7M	-295.1M	-6.3M	1.48	2.73	16,998	25,114	462,302	806,958
2013-07-24	$37.40	$38.00	21.3%	6.1%	18.3%	22.5%	21.8%	2.6%	0.8%	-49.4M	-47.3M	-6.6M	3.08	3.11	22,722	70,024	469,406	819,136
2013-07-25	$37.58	$38.00	21.2%	6.1%	18.3%	22.0%	23.4%	2.9%	0.0%	-54.9M	-88.8M	-6.7M	7.19	3.08	9,419	67,732	477,947	855,334
2013-07-26	$37.21	$38.00	21.2%	6.0%	18.6%	22.1%	21.7%	3.0%	0.7%	-53.8M	57.9M	-6.8M	5.06	2.87	8,074	40,820	482,255	871,288
2013-07-29	$37.13	$38.00	23.3%	5.9%	18.5%	29.9%	20.1%	2.8%	0.5%	-56.5M	56.4M	-6.6M	1.31	2.85	13,822	18,043	478,233	868,704
2013-07-30	$36.67	$38.00	24.2%	6.2%	19.0%	33.2%	21.3%	2.9%	-0.3%	-60.0M	254.6M	-6.6M	2.14	2.51	18,164	38,901	483,384	876,573
2013-07-31	$37.36	$38.00	28.0%	6.0%	19.3%	47.0%	21.5%	2.2%	0.9%	-53.7M	-35.7M	-6.5M	3.79	2.82	15,498	58,777	488,390	875,399