XLU Options History — February 2007

Name: XLU Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, XLU traded between $18.45 and $19.80. ATM implied volatility averaged 10.3%. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.9% (HV 20d: 8.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 2.31.

Notable Days

2007-02-27: Highest Volume — 31,122 contracts
2007-02-27: Largest IV spike — 87.7% change
2007-02-27: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.04	$18.45	$19.80	$18.45	$19.23
Max Pain	$18.26	$18.00	$19.00	$18.00	$19.00
ATM IV	10.3%	5.5%	16.3%	7.9%	15.2%
Expected Move	3.1%	2.3%	4.7%	2.3%	4.4%
HV 20d	8.4%	5.5%	18.2%	8.7%	18.2%
Term Structure	0.3%	-2.3%	2.5%	2.5%	-2.3%
VWIV	11.4%	7.9%	15.1%	7.9%	15.1%
Skew 25d	2.4%	0.2%	4.3%	0.9%	4.0%
Skew 10d	3.2%	0.2%	8.6%	1.3%	5.3%
Call IV 25d	9.3%	6.5%	12.9%	6.5%	11.8%
Put IV 25d	11.7%	7.4%	17.2%	7.4%	15.8%
Bid-Ask Spread %	25.90	14.00	60.54	14.62	28.07
Gamma HHI	0.37	0.23	0.52	0.52	0.44
Net GEX	-1.3M	-4.9M	1.2M	-4.9M	-4.5M
Net DEX	-50.3M	-69.7M	-25.8M	-25.8M	-34.1M
Net VEX	-254.2K	-315.2K	-189.0K	-315.2K	-294.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.03	15.30	0.34	8.95
Total Volume	4,994.632	554	31,122	1,888	6,884
Total OI	140,362.316	112,594	168,908	143,118	148,116

Daily Data (19 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
2007-02-01	$18.45	$18.00	7.9%	2.3%	8.7%	0.0%	7.9%	0.9%	2.5%	-4.9M	-25.8M	-315.2K	0.34	14.62	1,414	474	44,748	98,370
2007-02-02	$18.55	$18.00	8.6%	3.1%	8.9%	0.0%	13.9%	2.7%	0.3%	-3.9M	-30.9M	-310.8K	0.28	24.84	734	206	45,282	98,438
2007-02-05	$18.75	$18.00	6.6%	3.1%	6.4%	0.0%	10.0%	2.1%	2.0%	-1.5M	-45.9M	-266.3K	1.77	37.95	1,494	2,648	45,416	98,340
2007-02-06	$18.85	$18.00	5.5%	2.7%	6.5%	0.0%	10.9%	2.6%	1.4%	458.5K	-56.0M	-243.3K	0.08	19.70	1,224	94	46,014	100,564
2007-02-07	$18.92	$18.00	8.6%	3.0%	6.5%	0.0%	12.7%	1.4%	0.8%	-204.2K	-54.0M	-245.5K	0.04	16.86	982	38	45,846	100,648
2007-02-08	$18.95	$18.00	10.6%	3.0%	6.4%	0.0%	10.9%	3.0%	0.1%	476.6K	-59.9M	-231.5K	0.76	14.24	620	474	46,234	100,676
2007-02-09	$19.02	$18.00	10.8%	3.1%	6.4%	0.0%	10.8%	2.9%	0.9%	357.3K	-58.4M	-235.6K	0.64	15.79	3,580	2,296	46,212	101,150
2007-02-12	$18.95	$18.00	10.7%	3.1%	5.5%	0.0%	10.8%	2.6%	0.3%	424.3K	-58.0M	-242.2K	7.93	26.25	818	6,484	47,334	102,748
2007-02-13	$19.11	$18.00	10.6%	3.0%	5.9%	0.0%	10.0%	2.5%	1.1%	1.2M	-62.8M	-245.4K	0.90	29.39	292	262	49,008	109,214
2007-02-14	$19.25	$18.00	11.0%	3.2%	6.1%	0.0%	10.7%	2.6%	-0.1%	-435.7K	-62.2M	-241.6K	15.30	25.61	678	10,374	48,948	109,450
2007-02-15	$19.09	$18.50	10.9%	3.1%	7.3%	0.0%	11.4%	2.4%	0.7%	-1.2M	-53.4M	-261.0K	1.36	14.00	702	954	48,916	119,810
2007-02-16	$19.12	$18.50	11.3%	3.2%	7.2%	0.0%	12.9%	2.5%	0.4%	-1.5M	-52.6M	-266.9K	0.08	30.86	1,038	78	49,100	119,808
2007-02-20	$19.17	$18.50	10.7%	3.1%	7.1%	0.0%	10.6%	0.6%	0.4%	-2.2M	-47.5M	-241.5K	0.17	27.38	810	140	42,434	71,206
2007-02-21	$19.09	$18.50	10.9%	3.1%	7.5%	0.0%	11.8%	2.6%	-0.3%	-2.2M	-43.0M	-247.3K	0.03	31.32	1,076	28	42,138	70,456
2007-02-22	$19.11	$18.50	10.9%	3.1%	7.5%	0.0%	10.0%	0.2%	-0.4%	-2.2M	-45.4M	-245.2K	0.78	27.52	2,556	2,006	42,652	70,468
2007-02-23	$19.34	$18.50	9.8%	2.8%	8.0%	0.0%	12.3%	3.5%	0.2%	-1.3M	-55.3M	-224.9K	0.12	23.42	1,378	166	44,698	72,460
2007-02-26	$19.80	$18.50	8.7%	2.5%	10.5%	0.0%	10.7%	2.0%	-0.4%	-382.8K	-69.7M	-189.0K	0.51	23.75	7,142	3,632	45,166	72,496
2007-02-27	$19.07	$18.50	16.3%	4.7%	18.1%	0.0%	13.8%	4.3%	-2.3%	-1.5M	-40.8M	-281.9K	3.88	60.54	6,372	24,750	48,528	73,792
2007-02-28	$19.23	$19.00	15.2%	4.4%	18.2%	0.0%	15.1%	4.0%	-2.3%	-4.5M	-34.1M	-294.6K	8.95	28.07	692	6,192	53,854	94,262