USO Options History — August 2013

In August 2013, USO traded between $36.84 and $39.08. ATM implied volatility averaged 21.9%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.2% (HV 20d: 18.8%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.70.

Notable Days

2013-08-01: Highest Volume — 207,673 contracts
2013-08-15: Largest IV spike — 20.7% change
2013-08-28: Highest IV Rank — 53.9%
2013-08-28: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.94	$36.84	$39.08	$38.27	$38.48
Max Pain	$36.66	$36.00	$38.00	$38.00	$37.00
ATM IV	21.9%	18.8%	27.8%	20.7%	26.4%
Expected Move	6.3%	5.5%	8.0%	5.5%	7.2%
HV 20d	18.8%	16.9%	20.0%	20.0%	16.9%
HV 60d	19.0%	18.3%	19.6%	19.1%	18.8%
IV Rank	28.3%	15.7%	53.9%	20.2%	48.2%
IV Percentile	37.1%	12.7%	75.0%	23.4%	68.3%
Term Structure	0.6%	-1.2%	2.0%	2.0%	-0.1%
VWIV	22.7%	19.7%	29.2%	20.2%	26.7%
Skew 25d	0.8%	-3.8%	2.5%	0.7%	-1.8%
Skew 10d	1.2%	-6.8%	4.2%	1.2%	-3.5%
Call IV 25d	22.2%	19.6%	30.7%	19.6%	27.4%
Put IV 25d	23.0%	20.3%	26.9%	20.3%	25.6%
Bid-Ask Spread %	2.04	1.57	2.87	2.85	2.50
Gamma HHI	0.11	0.06	0.44	0.13	0.44
Net GEX	-26.8M	-80.7M	6.1M	-39.0M	-80.7M
Net DEX	-350.4M	-635.3M	49.0M	-419.7M	-422.4M
Net VEX	-5.9M	-6.3M	-5.5M	-6.2M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.51	8.11	8.11	1.18
Total Volume	82,070.091	27,314	207,673	207,673	98,318
Total OI	1,283,078.045	1,076,573	1,393,797	1,381,744	1,344,613

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
2013-08-01	$38.27	$38.00	20.7%	5.5%	20.0%	20.2%	20.2%	0.7%	2.0%	-39.0M	-419.7M	-6.2M	8.11	2.85	22,784	184,889	492,733	889,011
2013-08-02	$37.94	$37.50	20.2%	5.6%	19.4%	18.4%	19.7%	0.7%	1.7%	-31.5M	-367.0M	-6.2M	1.27	2.87	26,760	34,084	496,569	832,161
2013-08-05	$37.83	$36.00	22.3%	6.0%	19.4%	26.2%	22.1%	2.5%	0.5%	-31.9M	-347.8M	-6.0M	1.67	2.51	10,235	17,115	500,050	826,385
2013-08-06	$37.46	$36.00	23.0%	6.2%	19.6%	33.4%	21.6%	2.2%	0.1%	-42.0M	-208.0M	-6.1M	1.61	1.86	16,455	26,435	503,863	834,461
2013-08-07	$37.01	$36.00	19.2%	6.0%	19.0%	17.3%	20.8%	2.1%	0.6%	-48.6M	-35.8M	-6.1M	1.41	1.91	24,885	35,111	511,815	837,879
2013-08-08	$36.84	$36.00	19.3%	5.9%	18.7%	17.8%	21.0%	1.7%	0.7%	-53.3M	49.0M	-6.2M	1.59	1.69	41,614	66,244	517,877	848,864
2013-08-09	$37.59	$36.00	19.8%	6.0%	19.4%	19.6%	21.5%	1.2%	0.7%	-31.5M	-294.3M	-6.0M	1.30	1.70	26,472	34,287	529,012	858,132
2013-08-12	$37.76	$36.00	21.2%	6.1%	19.4%	25.7%	21.8%	1.8%	0.3%	-36.7M	-336.5M	-5.9M	1.60	1.57	12,865	20,598	521,226	856,103
2013-08-13	$37.90	$36.00	19.9%	6.2%	19.3%	20.2%	21.9%	1.6%	0.5%	-34.6M	-401.3M	-5.8M	1.28	1.74	16,652	21,339	525,145	862,679
2013-08-14	$38.09	$36.00	18.8%	6.2%	19.2%	15.7%	22.3%	1.0%	0.6%	-30.8M	-476.6M	-5.8M	1.04	1.89	25,401	26,300	524,947	868,850
2013-08-15	$38.24	$36.00	22.7%	6.5%	18.5%	32.4%	23.2%	1.4%	0.7%	-18.4M	-558.9M	-5.7M	1.26	1.88	26,908	33,841	521,077	846,136
2013-08-16	$38.40	$37.00	22.2%	6.4%	18.6%	29.9%	22.7%	1.2%	0.9%	-8.8M	-604.6M	-5.7M	1.36	1.57	49,782	67,625	527,764	858,463
2013-08-19	$38.17	$37.00	21.7%	6.2%	18.0%	28.0%	22.4%	0.8%	1.0%	-7.9M	-387.1M	-5.6M	1.35	2.03	28,018	37,917	428,364	648,209
2013-08-20	$37.52	$37.00	21.8%	6.3%	18.9%	28.4%	22.9%	1.8%	1.1%	-16.8M	-211.1M	-6.0M	2.05	2.12	20,189	41,372	449,770	672,256
2013-08-21	$37.17	$37.00	22.5%	6.4%	18.1%	31.3%	22.5%	2.2%	0.6%	-21.5M	-100.0M	-6.1M	1.95	1.60	19,108	37,262	451,556	684,428
2013-08-22	$37.54	$37.00	21.0%	6.0%	18.4%	24.8%	21.9%	2.2%	1.5%	-19.5M	-225.8M	-5.9M	2.03	1.83	9,000	18,314	457,808	689,176
2013-08-23	$37.95	$37.00	20.6%	5.9%	18.4%	23.1%	21.0%	1.2%	1.5%	-20.5M	-351.8M	-5.8M	1.38	2.08	30,230	41,633	460,060	696,502
2013-08-26	$37.96	$37.00	21.1%	6.1%	18.3%	25.4%	21.6%	0.8%	1.1%	-10.8M	-337.6M	-5.7M	1.76	1.92	21,241	37,412	450,341	689,749
2013-08-27	$38.87	$37.00	24.6%	7.0%	19.3%	40.3%	25.6%	-2.8%	-0.3%	41.4K	-577.1M	-5.5M	0.51	2.01	133,373	68,171	458,294	685,759
2013-08-28	$39.08	$37.00	27.8%	8.0%	18.4%	53.9%	29.2%	-3.8%	-1.2%	6.1M	-635.3M	-5.9M	0.76	2.23	115,179	87,502	526,192	714,343
2013-08-29	$38.58	$37.00	25.2%	7.2%	17.2%	43.1%	25.6%	-1.4%	-0.3%	-11.2M	-458.9M	-6.3M	0.83	2.60	50,621	42,001	571,027	758,068
2013-08-30	$38.48	$37.00	26.4%	7.2%	16.9%	48.2%	26.7%	-1.8%	-0.1%	-80.7M	-422.4M	-6.3M	1.18	2.50	45,166	53,152	580,324	764,289