XLU Options History — September 2007

In September 2007, XLU traded between $19.50 and $20.55. ATM implied volatility averaged 22.5%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.6% (HV 20d: 17.9%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.84.

Notable Days

2007-09-20: Highest Volume — 336,326 contracts
2007-09-18: Largest IV drop — 20.5% change
2007-09-10: Highest IV Rank — 88.0%
2007-09-10: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.96	$19.50	$20.55	$19.68	$19.90
Max Pain	$19.84	$19.50	$20.00	$20.00	$20.00
ATM IV	22.5%	16.9%	28.8%	25.9%	16.9%
Expected Move	6.3%	4.8%	7.6%	7.4%	4.8%
HV 20d	17.9%	13.7%	22.1%	22.1%	15.1%
HV 60d	22.4%	21.9%	23.4%	23.4%	22.2%
IV Rank	64.2%	42.9%	88.0%	76.9%	42.9%
IV Percentile	77.7%	53.2%	97.1%	91.7%	53.2%
Term Structure	-0.1%	-3.2%	2.5%	-3.2%	2.5%
VWIV	22.3%	17.7%	28.1%	23.4%	19.9%
Skew 25d	5.8%	4.4%	7.7%	7.7%	5.4%
Skew 10d	12.4%	3.4%	18.5%	18.5%	12.6%
Call IV 25d	19.4%	14.6%	23.6%	20.2%	15.3%
Put IV 25d	25.2%	19.9%	30.4%	27.9%	20.7%
Bid-Ask Spread %	33.34	22.99	52.91	28.66	52.91
Gamma HHI	0.20	0.14	0.62	0.15	0.16
Net GEX	-11.8M	-38.9M	-2.3M	-11.2M	-2.3M
Net DEX	123.3M	-67.3M	276.5M	192.0M	9.4M
Net VEX	-1.7M	-2.0M	-1.3M	-2.0M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.84	0.07	19.03	3.02	1.05
Total Volume	28,077.474	612	336,326	6,644	8,252
Total OI	747,977.158	395,854	911,190	835,518	395,854

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
2007-09-04	$19.68	$20.00	25.9%	7.4%	22.1%	76.9%	23.4%	7.7%	-3.2%	-11.2M	192.0M	-2.0M	3.02	28.66	1,654	4,990	326,164	509,354
2007-09-05	$19.63	$20.00	26.3%	7.5%	21.1%	78.5%	26.7%	7.3%	-0.6%	-12.7M	275.0M	-2.0M	0.86	34.53	5,520	4,754	326,616	511,978
2007-09-06	$19.65	$20.00	25.7%	7.4%	20.3%	76.4%	22.1%	6.6%	-2.1%	-11.6M	203.7M	-1.9M	1.08	25.96	12,954	14,014	328,376	512,478
2007-09-07	$19.50	$20.00	28.2%	7.4%	19.5%	85.6%	25.0%	6.4%	-1.8%	-12.4M	274.7M	-2.0M	1.14	33.97	532	608	340,104	524,516
2007-09-10	$19.52	$20.00	28.8%	7.6%	18.5%	88.0%	28.1%	6.8%	-1.8%	-12.9M	276.5M	-2.0M	3.69	29.52	236	870	340,228	524,730
2007-09-11	$19.65	$20.00	27.8%	7.1%	18.5%	84.2%	28.0%	5.6%	-0.8%	-12.3M	225.4M	-1.9M	3.52	22.99	264	928	340,254	524,942
2007-09-12	$19.82	$20.00	24.9%	6.8%	17.6%	73.4%	24.6%	5.5%	-1.0%	-12.6M	201.7M	-1.9M	0.61	24.10	12,834	7,826	340,126	525,224
2007-09-13	$19.86	$19.50	24.2%	6.9%	16.7%	70.4%	24.9%	5.7%	-1.1%	-12.0M	183.5M	-1.9M	18.83	33.19	668	12,580	352,702	532,858
2007-09-14	$19.85	$19.50	23.7%	6.8%	16.6%	68.7%	24.0%	6.0%	-0.9%	-12.1M	155.6M	-1.8M	0.59	23.46	384	228	353,186	533,140
2007-09-17	$19.86	$19.50	24.5%	7.0%	16.4%	71.8%	25.7%	5.9%	-1.2%	-13.4M	215.8M	-1.8M	0.54	26.56	2,294	1,240	353,198	531,708
2007-09-18	$20.32	$19.50	19.5%	5.6%	18.0%	52.8%	20.6%	4.8%	1.4%	-12.1M	36.3M	-1.6M	1.20	32.16	1,068	1,282	352,696	532,864
2007-09-19	$20.55	$19.50	19.7%	5.6%	18.3%	53.5%	20.4%	5.1%	1.6%	-9.2M	-67.3M	-1.6M	1.36	37.53	11,760	16,034	352,882	533,490
2007-09-20	$20.27	$19.50	18.7%	5.4%	18.9%	49.9%	18.1%	5.0%	1.3%	-21.1M	-27.4M	-1.6M	0.07	37.08	315,594	20,732	362,808	548,382
2007-09-21	$20.16	$20.00	19.4%	5.6%	19.0%	52.4%	18.4%	4.8%	1.5%	-38.9M	173.0M	-1.5M	0.43	45.25	1,960	844	256,684	535,324
2007-09-24	$20.23	$20.00	20.4%	5.8%	19.0%	56.1%	19.2%	6.0%	0.7%	-4.8M	6.3M	-1.4M	0.28	37.33	4,060	1,154	136,104	288,148
2007-09-25	$20.26	$20.00	18.3%	5.3%	16.1%	48.4%	19.6%	5.1%	0.9%	-4.4M	4.9M	-1.4M	19.03	32.29	1,490	28,348	138,430	288,514
2007-09-26	$20.36	$20.00	17.1%	4.9%	14.6%	43.9%	17.7%	5.2%	1.0%	-5.3M	9.1M	-1.5M	15.55	40.82	2,022	31,440	138,910	306,824
2007-09-27	$20.21	$20.00	17.6%	5.0%	13.7%	45.6%	17.9%	4.4%	1.5%	-2.9M	-5.2M	-1.3M	0.10	35.06	1,868	186	139,836	271,934
2007-09-28	$19.90	$20.00	16.9%	4.8%	15.1%	42.9%	19.9%	5.4%	2.5%	-2.3M	9.4M	-1.3M	1.05	52.91	4,032	4,220	141,134	254,720