XLU Options History — January 2007 In January 2007, XLU traded between $17.93 and $18.41. ATM implied volatility averaged 10.9%. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.2% (HV 20d: 8.6%). Max pain ranged from $18.00 to $18.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 16.74.
Notable Days 2007-01-25 : Highest Volume — 108,582 contracts2007-01-31 : Largest IV drop — 34.6% change2007-01-09 : Largest Expected Move — 3.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.12 $17.93 $18.41 $18.41 $18.30 Max Pain $18.07 $18.00 $18.50 $18.50 $18.00 ATM IV 10.9% 7.2% 12.1% 10.4% 7.2% Expected Move 3.2% 2.1% 3.6% 3.0% 2.1% HV 20d 8.6% 8.3% 9.0% 9.0% 8.3% Term Structure 1.0% 0.3% 2.6% 1.5% 1.9% VWIV 11.1% 8.8% 12.9% 10.4% 10.5% Skew 25d 2.1% -0.1% 3.6% 2.9% 1.8% Skew 10d 3.7% -0.4% 7.7% 4.0% 2.1% Call IV 25d 9.6% 7.9% 11.6% 8.4% 8.2% Put IV 25d 11.7% 9.1% 13.5% 11.3% 10.0% Bid-Ask Spread % 18.76 6.05 25.29 7.39 23.90 Gamma HHI 0.81 0.62 0.94 0.89 0.62 Net GEX -29.4M -102.1M -9.4M -16.5M -9.4M Net DEX 46.6M -6.2M 108.3M 18.7M -6.2M Net VEX -409.2K -485.5K -331.5K -432.0K -349.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 16.74 0.01 292.46 0.42 1.42 Total Volume 10,492.6 312 108,582 2,434 3,576 Total OI 208,158.6 131,430 266,680 241,822 140,450
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 2007-01-03 $18.41 $18.50 10.4% 3.0% 0.0% 0.0% 10.4% 2.9% 1.5% -16.5M 18.7M -432.0K 0.42 7.39 1,712 722 39,656 202,166 2007-01-04 $18.39 $18.50 10.6% 3.0% 0.0% 0.0% 11.1% 2.6% 1.2% -17.7M 25.7M -443.3K 1.60 6.05 2,530 4,050 40,630 202,296 2007-01-05 $18.05 $18.00 10.9% 3.5% 0.0% 0.0% 12.4% 1.4% 1.2% -27.4M 78.6M -485.5K 0.22 14.72 3,054 658 42,926 206,102 2007-01-08 $18.05 $18.00 11.4% 3.6% 0.0% 0.0% 12.6% 2.7% 1.1% -28.9M 83.6M -475.0K 0.63 16.59 1,976 1,246 45,440 206,882 2007-01-09 $18.06 $18.00 10.7% 3.6% 0.0% 0.0% 12.6% 3.3% 0.8% -30.4M 75.4M -471.6K 0.36 19.65 922 336 46,746 206,990 2007-01-10 $18.07 $18.00 10.9% 3.4% 0.0% 0.0% 11.6% 2.7% 0.9% -31.0M 65.5M -462.4K 0.19 20.62 262 50 47,364 206,238 2007-01-11 $18.09 $18.00 11.7% 3.3% 0.0% 0.0% 10.5% 2.7% 0.8% -36.2M 68.8M -451.1K 0.34 20.13 4,292 1,444 47,428 206,072 2007-01-12 $17.93 $18.00 11.8% 3.4% 0.0% 0.0% 11.2% 1.6% 0.4% -36.0M 108.3M -442.0K 5.37 19.69 978 5,256 45,718 207,250 2007-01-16 $17.99 $18.50 12.1% 3.5% 0.0% 0.0% 12.6% 2.8% 0.3% -41.2M 93.0M -423.9K 0.53 16.05 11,152 5,878 45,662 212,132 2007-01-17 $18.03 $18.00 11.9% 3.4% 0.0% 0.0% 12.5% 1.6% 0.8% -54.9M 72.9M -408.2K 5.18 19.60 1,472 7,628 55,092 209,044 2007-01-18 $18.02 $18.00 11.9% 3.4% 0.0% 0.0% 12.9% 1.4% 1.0% -61.5M 78.8M -402.6K 0.49 16.79 1,390 684 55,534 211,146 2007-01-19 $18.02 $18.00 10.7% 3.1% 0.0% 0.0% 10.4% 1.9% 0.9% -102.1M 49.0M -387.1K 0.01 20.33 9,028 108 55,272 208,488 2007-01-22 $18.02 $18.00 10.8% 3.1% 0.0% 0.0% 10.8% 1.8% 0.5% -14.1M 28.5M -363.2K 0.55 24.39 266 146 39,618 91,812 2007-01-23 $18.13 $18.00 11.5% 3.3% 0.0% 0.0% 11.2% 3.4% 0.3% -12.6M 22.1M -355.8K 0.08 25.29 440 34 39,674 91,892 2007-01-24 $18.18 $18.00 10.0% 2.9% 0.0% 0.0% 8.8% 3.6% 2.6% -11.4M 253.1K -331.5K 0.08 17.00 1,040 88 39,974 91,926 2007-01-25 $18.17 $18.00 10.8% 3.1% 9.0% 0.0% 10.7% -0.1% 1.2% -14.0M 18.0M -346.2K 292.46 20.71 370 108,212 40,434 91,974 2007-01-26 $18.13 $18.00 10.3% 3.0% 8.7% 0.0% 10.0% 1.5% 0.4% -15.2M 22.1M -390.8K 0.23 23.44 2,236 524 40,558 110,020 2007-01-29 $18.18 $18.00 10.6% 3.0% 8.6% 0.0% 10.3% 0.5% 0.8% -15.7M 22.5M -395.0K 24.58 19.59 952 23,398 42,504 110,506 2007-01-30 $18.24 $18.00 11.0% 3.1% 8.5% 0.0% 9.2% 1.9% 0.5% -11.4M 6.0M -366.1K 0.06 23.27 1,646 96 43,106 96,450 2007-01-31 $18.30 $18.00 7.2% 2.1% 8.3% 0.0% 10.5% 1.8% 1.9% -9.4M -6.2M -349.9K 1.42 23.90 1,478 2,098 43,948 96,502
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