USO Options History — December 2013

In December 2013, USO traded between $33.68 and $35.84. ATM implied volatility averaged 15.8%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.9% (HV 20d: 14.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2013-12-04: Highest Volume — 143,245 contracts
2013-12-31: Largest IV spike — 7.1% change
2013-12-02: Highest IV Rank — 20.6%
2013-12-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.08	$33.68	$35.84	$33.68	$35.32
Max Pain	$36.62	$36.00	$38.00	$38.00	$36.00
ATM IV	15.8%	13.8%	18.8%	18.8%	15.8%
Expected Move	6.2%	6.0%	6.4%	6.4%	6.2%
HV 20d	14.9%	12.2%	16.9%	14.5%	13.1%
HV 60d	16.3%	15.3%	17.3%	16.5%	15.3%
IV Rank	5.8%	0.0%	20.6%	20.6%	10.3%
IV Percentile	3.2%	0.0%	19.0%	19.0%	3.6%
Term Structure	0.5%	0.0%	1.3%	0.3%	0.0%
VWIV	22.7%	20.3%	25.9%	22.7%	21.4%
Skew 25d	2.0%	1.4%	2.5%	2.5%	2.4%
Skew 10d	4.0%	3.0%	5.3%	4.8%	4.6%
Call IV 25d	15.2%	13.1%	17.7%	17.7%	15.2%
Put IV 25d	17.2%	14.4%	20.3%	20.3%	17.6%
Bid-Ask Spread %	12.20	4.08	23.11	4.08	11.39
Gamma HHI	0.11	0.09	0.18	0.09	0.11
Net GEX	242.5K	-17.5M	17.2M	-17.5M	-3.2M
Net DEX	-6.3M	-260.1M	512.9M	512.9M	-44.0M
Net VEX	-5.4M	-6.1M	-4.6M	-4.6M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.38	3.44	1.18	1.18
Total Volume	63,540.429	18,359	143,245	35,551	59,771
Total OI	1,320,784.143	1,165,758	1,451,192	1,165,758	1,317,809

Daily Data (21 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
2013-12-02	$33.68	$38.00	18.8%	6.4%	14.5%	20.6%	22.7%	2.5%	0.3%	-17.5M	512.9M	-4.6M	1.18	4.08	16,320	19,231	534,280	631,478
2013-12-03	$34.51	$38.00	17.8%	6.3%	16.9%	14.6%	22.2%	2.2%	0.2%	-644.9K	196.5M	-4.8M	0.38	16.21	93,428	35,519	539,997	637,275
2013-12-04	$34.88	$38.00	17.1%	6.3%	16.7%	10.8%	21.9%	1.8%	0.3%	7.2M	20.9M	-4.9M	0.53	20.85	93,405	49,840	568,848	645,650
2013-12-05	$34.93	$38.00	16.8%	6.3%	15.9%	9.2%	21.8%	2.0%	0.4%	8.8M	-28.1M	-5.0M	0.54	10.78	35,515	19,013	600,849	669,484
2013-12-06	$35.05	$37.00	16.1%	6.2%	15.7%	4.9%	0.0%	2.1%	0.4%	17.2M	-56.7M	-5.0M	0.76	10.49	23,983	18,259	590,771	673,147
2013-12-09	$34.91	$37.00	16.3%	6.3%	15.8%	6.0%	22.6%	1.9%	0.3%	3.4M	26.8M	-4.9M	0.94	12.12	32,867	30,908	582,744	666,854
2013-12-10	$35.31	$36.00	15.9%	6.2%	16.1%	4.0%	22.4%	1.9%	0.3%	10.0M	-150.2M	-5.0M	1.04	13.43	48,531	50,438	599,156	684,285
2013-12-11	$34.98	$36.00	16.0%	6.2%	14.9%	4.3%	22.1%	2.0%	0.3%	5.7M	15.3M	-5.4M	0.89	11.90	71,450	63,443	620,997	714,357
2013-12-12	$34.97	$36.00	16.8%	6.3%	14.8%	8.9%	21.8%	2.2%	0.1%	5.1M	11.1M	-6.0M	0.83	10.91	50,787	42,296	657,899	751,951
2013-12-13	$34.64	$36.00	16.8%	6.3%	15.3%	8.9%	22.1%	2.4%	0.1%	-11.6M	220.8M	-6.1M	1.14	10.27	41,116	46,785	669,963	781,229
2013-12-16	$34.94	$36.00	16.1%	6.3%	15.5%	5.3%	25.2%	2.2%	0.9%	-5.0M	91.4M	-5.9M	0.55	10.39	17,252	9,466	654,137	781,581
2013-12-17	$34.87	$36.00	16.1%	6.3%	15.1%	5.0%	25.9%	2.2%	1.2%	-5.5M	139.8M	-5.9M	0.83	11.79	14,346	11,906	656,151	784,226
2013-12-18	$35.03	$36.00	15.9%	6.3%	15.2%	4.2%	24.5%	1.8%	1.0%	2.3M	37.5M	-5.8M	0.73	23.11	13,261	9,621	656,437	788,007
2013-12-19	$35.32	$37.00	14.9%	6.2%	15.2%	0.0%	21.8%	1.7%	0.7%	3.1M	-98.7M	-5.7M	0.90	10.94	32,955	29,704	638,581	779,775
2013-12-20	$35.48	$37.00	14.3%	6.3%	14.4%	0.0%	22.2%	1.7%	0.8%	1.3M	-156.7M	-5.7M	0.95	10.51	23,520	22,362	646,260	794,888
2013-12-23	$35.36	$37.00	13.9%	6.2%	14.4%	0.0%	25.2%	1.8%	1.1%	-10.3M	-57.4M	-5.5M	0.75	9.48	22,518	16,865	562,849	701,966
2013-12-24	$35.49	$36.00	13.8%	6.2%	14.0%	0.0%	23.2%	1.8%	1.3%	-2.8M	-170.7M	-5.4M	3.44	10.82	4,135	14,224	575,705	707,689
2013-12-26	$35.65	$36.00	13.8%	6.0%	13.9%	0.0%	0.0%	1.4%	0.3%	-2.5M	-232.8M	-5.2M	2.19	14.93	10,566	23,118	567,527	710,536
2013-12-27	$35.84	$36.00	13.9%	6.0%	12.2%	0.5%	20.3%	1.9%	0.4%	2.7M	-260.1M	-5.4M	0.59	11.01	43,050	25,236	572,376	718,952
2013-12-30	$35.53	$36.00	14.7%	6.1%	12.8%	4.8%	0.0%	2.0%	0.3%	-2.6M	-149.7M	-5.3M	0.95	10.79	24,295	23,044	579,353	720,448
2013-12-31	$35.32	$36.00	15.8%	6.2%	13.1%	10.3%	21.4%	2.4%	0.0%	-3.2M	-44.0M	-5.3M	1.18	11.39	27,411	32,360	596,318	721,491