USO Options History — October 2013

In October 2013, USO traded between $34.69 and $37.42. ATM implied volatility averaged 20.0%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.2% (HV 20d: 17.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.78.

Notable Days

2013-10-09: Highest Volume — 91,847 contracts
2013-10-10: Largest IV drop — 9.1% change
2013-10-09: Highest IV Rank — 28.5%
2013-10-23: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.24	$34.69	$37.42	$36.68	$34.69
Max Pain	$39.30	$38.00	$41.00	$38.00	$40.00
ATM IV	20.0%	18.3%	21.8%	21.4%	19.2%
Expected Move	6.6%	6.5%	6.7%	6.5%	6.6%
HV 20d	17.8%	16.4%	19.7%	18.3%	16.6%
HV 60d	18.2%	17.7%	18.7%	18.3%	17.7%
IV Rank	20.7%	13.5%	28.5%	26.7%	17.3%
IV Percentile	25.2%	9.1%	49.6%	40.9%	16.3%
Term Structure	0.0%	-0.6%	0.6%	0.2%	0.2%
VWIV	22.9%	20.8%	25.4%	24.9%	22.8%
Skew 25d	3.1%	2.2%	4.3%	2.5%	3.1%
Skew 10d	6.0%	4.0%	8.8%	4.8%	5.3%
Call IV 25d	18.9%	17.4%	20.4%	20.4%	17.8%
Put IV 25d	22.0%	20.2%	24.4%	22.9%	20.9%
Bid-Ask Spread %	4.83	3.36	12.86	4.18	3.38
Gamma HHI	0.09	0.06	0.28	0.07	0.08
Net GEX	-31.8M	-58.9M	-18.3M	-27.4M	-40.8M
Net DEX	229.5M	-80.0M	606.8M	149.4M	606.8M
Net VEX	-5.5M	-5.7M	-5.2M	-5.5M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.59	3.48	2.29	0.59
Total Volume	50,519.13	21,969	91,847	32,637	49,520
Total OI	1,231,676.913	1,055,509	1,389,779	1,212,987	1,186,355

Daily Data (23 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
2013-10-01	$36.68	$38.00	21.4%	6.5%	18.3%	26.7%	24.9%	2.5%	0.2%	-27.4M	149.4M	-5.5M	2.29	4.18	9,914	22,723	524,462	688,525
2013-10-02	$37.42	$38.00	20.1%	6.5%	19.7%	21.2%	21.7%	2.2%	0.0%	-18.3M	-80.0M	-5.4M	0.67	4.04	28,913	19,342	528,689	694,305
2013-10-03	$37.14	$38.00	20.2%	6.6%	19.5%	21.5%	23.8%	2.2%	0.0%	-23.6M	15.8M	-5.5M	0.99	5.72	14,828	14,640	536,400	701,912
2013-10-04	$37.31	$38.00	19.6%	6.5%	18.3%	18.9%	20.8%	2.8%	0.4%	-20.8M	-55.7M	-5.3M	1.24	4.25	10,217	12,639	542,728	705,104
2013-10-07	$37.14	$38.00	20.5%	6.5%	18.1%	23.0%	25.4%	2.6%	0.1%	-23.7M	-878.7K	-5.2M	2.13	3.92	14,439	30,753	542,381	701,125
2013-10-08	$37.31	$38.00	20.3%	6.6%	17.5%	22.2%	25.2%	3.0%	-0.2%	-23.3M	-40.0M	-5.3M	2.63	4.73	11,337	29,786	547,993	716,370
2013-10-09	$36.55	$38.00	21.8%	6.7%	18.7%	28.5%	22.7%	3.6%	-0.4%	-33.3M	221.3M	-5.4M	2.97	12.86	23,158	68,689	550,703	714,625
2013-10-10	$37.10	$38.00	19.9%	6.7%	19.2%	20.0%	22.9%	3.4%	-0.0%	-30.2M	55.9M	-5.6M	1.46	5.17	21,864	31,960	561,905	744,273
2013-10-11	$36.75	$38.00	20.3%	6.7%	19.3%	21.9%	21.2%	3.9%	-0.2%	-35.1M	169.2M	-5.6M	3.01	5.88	19,907	59,956	573,770	758,052
2013-10-14	$36.87	$38.00	20.4%	6.6%	18.4%	22.3%	23.1%	3.9%	0.3%	-36.0M	138.9M	-5.7M	1.36	5.78	10,660	14,463	578,580	783,869
2013-10-15	$36.47	$38.00	21.5%	6.7%	18.5%	27.3%	21.9%	3.5%	-0.3%	-38.1M	262.8M	-5.6M	3.48	4.51	13,362	46,553	582,819	775,008
2013-10-16	$36.92	$40.00	19.8%	6.6%	16.6%	19.9%	21.6%	3.0%	0.4%	-37.2M	102.0M	-5.6M	1.53	4.29	16,019	24,513	585,485	798,791
2013-10-17	$36.38	$40.00	19.4%	6.6%	16.5%	17.9%	21.5%	2.8%	0.2%	-47.8M	314.7M	-5.6M	2.31	5.73	20,436	47,218	577,632	794,715
2013-10-18	$36.45	$41.00	18.3%	6.6%	16.4%	13.5%	21.9%	2.8%	0.6%	-58.9M	272.2M	-5.5M	1.95	4.87	16,787	32,798	583,659	806,120
2013-10-21	$35.94	$41.00	19.3%	6.6%	16.5%	17.5%	23.4%	3.1%	0.0%	-23.1M	218.9M	-5.4M	1.34	4.46	18,169	24,300	440,107	615,402
2013-10-22	$35.41	$41.00	20.2%	6.6%	17.1%	21.6%	22.3%	3.2%	-0.5%	-27.4M	350.0M	-5.4M	1.99	3.80	26,491	52,752	448,642	618,840
2013-10-23	$34.95	$41.00	21.6%	6.7%	17.4%	27.7%	22.0%	4.3%	-0.6%	-31.2M	508.8M	-5.6M	1.75	4.77	31,973	55,897	461,051	633,630
2013-10-24	$34.99	$41.00	20.2%	6.7%	17.2%	21.5%	23.8%	3.5%	-0.3%	-30.5M	487.9M	-5.5M	1.31	4.03	22,841	29,866	476,009	648,395
2013-10-25	$35.32	$41.00	18.6%	6.7%	17.7%	14.6%	23.1%	3.1%	-0.0%	-28.9M	374.6M	-5.6M	1.74	3.99	18,837	32,868	487,419	656,215
2013-10-28	$35.55	$40.00	19.1%	6.7%	18.0%	16.7%	23.5%	2.7%	0.1%	-28.6M	302.1M	-5.5M	1.70	3.75	8,371	14,260	480,845	660,324
2013-10-29	$35.41	$40.00	18.9%	6.7%	18.0%	15.7%	22.7%	3.1%	0.2%	-30.9M	355.9M	-5.6M	1.14	3.56	10,273	11,696	483,409	670,051
2013-10-30	$34.85	$40.00	19.4%	6.7%	16.7%	18.2%	23.7%	3.3%	-0.0%	-36.6M	548.1M	-5.5M	1.31	3.36	28,537	37,415	489,220	672,655
2013-10-31	$34.69	$40.00	19.2%	6.6%	16.6%	17.3%	22.8%	3.1%	0.2%	-40.8M	606.8M	-5.4M	0.59	3.38	31,217	18,303	500,173	686,182