XLU Options History — October 2007

In October 2007, XLU traded between $19.87 and $21.23. ATM implied volatility averaged 18.6%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.9% (HV 20d: 14.7%). Max pain ranged from $19.50 to $20.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 3.94.

Notable Days

2007-10-18: Highest Volume — 29,396 contracts
2007-10-08: Largest IV spike — 16.0% change
2007-10-19: Highest IV Rank — 58.8%
2007-10-08: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.45	$19.87	$21.23	$20.17	$21.23
Max Pain	$20.17	$19.50	$20.50	$20.00	$20.50
ATM IV	18.6%	14.4%	21.1%	18.6%	19.2%
Expected Move	5.4%	4.4%	6.1%	5.3%	5.5%
HV 20d	14.7%	12.1%	16.7%	15.6%	16.0%
HV 60d	20.8%	17.2%	22.3%	22.3%	17.2%
IV Rank	49.4%	33.6%	58.8%	49.4%	51.6%
IV Percentile	64.2%	44.5%	78.6%	62.6%	67.0%
Term Structure	1.3%	-0.6%	5.8%	1.0%	0.2%
VWIV	19.0%	16.7%	22.4%	17.4%	18.9%
Skew 25d	4.8%	3.2%	8.8%	3.5%	3.4%
Skew 10d	9.1%	-0.7%	15.1%	-0.7%	9.7%
Call IV 25d	16.3%	12.8%	19.7%	16.0%	16.3%
Put IV 25d	21.1%	18.5%	24.2%	19.4%	19.7%
Bid-Ask Spread %	44.61	21.03	71.12	54.84	38.08
Gamma HHI	0.18	0.14	0.30	0.17	0.14
Net GEX	-1.8M	-8.1M	5.0M	-911.0K	-3.6M
Net DEX	-27.3M	-92.7M	83.5M	-25.5M	-88.1M
Net VEX	-1.1M	-1.3M	-976.5K	-1.2M	-976.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.94	0.05	49.19	0.76	0.99
Total Volume	5,768.87	462	29,396	462	8,916
Total OI	406,621.478	383,378	442,070	399,678	398,016

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
2007-10-01	$20.17	$20.00	18.6%	5.3%	15.6%	49.4%	17.4%	3.5%	1.0%	-911.0K	-25.5M	-1.2M	0.76	54.84	262	200	143,810	255,868
2007-10-02	$20.25	$20.00	18.5%	5.3%	14.3%	49.1%	16.7%	6.5%	3.1%	-1.2M	-16.8M	-1.2M	1.02	51.29	4,804	4,916	143,820	255,890
2007-10-03	$20.18	$20.00	18.1%	5.2%	14.3%	47.6%	18.4%	5.6%	2.0%	-681.6K	-16.0M	-1.3M	0.48	54.50	736	352	147,974	258,962
2007-10-04	$20.29	$20.00	15.5%	4.4%	14.4%	37.7%	17.1%	4.0%	2.2%	249.7K	-42.6M	-1.2M	0.44	37.03	1,554	682	148,234	259,228
2007-10-05	$20.45	$19.50	14.4%	4.9%	14.1%	33.6%	16.7%	3.4%	1.6%	1.3M	-61.1M	-1.2M	0.05	44.15	5,622	270	148,458	259,492
2007-10-08	$20.42	$20.00	16.7%	6.1%	14.2%	42.4%	18.9%	7.2%	-0.4%	1.1M	-52.9M	-1.2M	0.12	58.74	2,058	256	151,022	259,572
2007-10-09	$20.64	$20.00	16.2%	4.9%	14.4%	40.1%	17.3%	3.2%	1.7%	1.7M	-92.7M	-1.1M	1.15	68.47	508	586	147,016	259,592
2007-10-10	$20.49	$20.00	16.6%	5.1%	14.7%	41.9%	18.6%	4.3%	1.5%	1.7M	-65.0M	-1.1M	6.29	54.93	1,136	7,144	147,182	259,626
2007-10-11	$20.70	$20.00	19.1%	5.5%	15.0%	51.1%	19.2%	3.6%	5.8%	1.3M	-61.0M	-1.2M	1.23	44.05	1,884	2,320	147,382	266,522
2007-10-12	$20.64	$20.00	17.9%	5.1%	15.1%	46.9%	16.7%	4.7%	0.7%	1.9M	-85.3M	-1.1M	49.19	71.12	298	14,660	146,800	266,780
2007-10-15	$20.50	$20.00	20.1%	5.7%	15.4%	54.9%	19.9%	4.2%	1.1%	-782.5K	-34.9M	-1.2M	5.30	34.51	676	3,586	146,758	278,752
2007-10-16	$20.45	$20.00	19.5%	5.6%	13.2%	52.9%	22.4%	4.4%	1.2%	-644.8K	-22.2M	-1.2M	0.17	31.68	2,406	406	147,780	283,208
2007-10-17	$20.50	$20.00	18.8%	5.4%	12.7%	50.2%	19.1%	3.8%	3.0%	5.0M	-18.4M	-1.1M	2.90	41.67	744	2,158	149,904	279,942
2007-10-18	$20.32	$20.00	19.3%	5.5%	12.1%	52.0%	19.5%	4.2%	0.6%	1.3M	-11.6M	-1.1M	1.06	28.50	14,268	15,128	149,878	281,612
2007-10-19	$19.87	$20.50	21.1%	6.0%	14.4%	58.8%	20.7%	4.5%	2.0%	-8.1M	83.5M	-1.2M	2.33	60.90	3,702	8,628	150,458	291,612
2007-10-22	$20.01	$20.50	20.1%	5.7%	14.6%	54.9%	20.1%	5.4%	1.0%	-7.0M	46.2M	-1.2M	0.48	54.90	3,024	1,442	118,504	264,874
2007-10-23	$20.02	$20.50	20.3%	5.8%	14.6%	55.9%	20.1%	4.9%	0.6%	-7.2M	51.1M	-1.2M	0.78	25.85	666	518	120,704	265,754
2007-10-24	$20.00	$20.50	20.5%	5.9%	14.4%	56.8%	20.8%	5.0%	0.2%	-6.8M	39.7M	-1.2M	14.03	28.75	190	2,666	120,900	265,992
2007-10-25	$20.49	$20.50	19.1%	5.5%	16.7%	51.3%	19.4%	8.8%	0.8%	-6.1M	-53.8K	-1.1M	0.20	43.40	2,956	578	120,910	268,502
2007-10-26	$20.77	$20.50	17.9%	5.1%	16.1%	46.6%	18.4%	4.5%	1.5%	-4.9M	-35.6M	-1.1M	0.61	21.03	480	292	122,506	268,624
2007-10-29	$20.95	$20.50	19.2%	5.5%	15.8%	51.8%	19.5%	4.6%	-0.1%	-4.2M	-61.0M	-1.0M	0.29	32.84	2,066	598	122,452	268,852
2007-10-30	$20.98	$20.50	20.8%	6.0%	15.8%	57.8%	20.8%	5.9%	-0.6%	-4.3M	-57.8M	-1.0M	0.68	44.82	3,772	2,570	123,504	269,066
2007-10-31	$21.23	$20.50	19.2%	5.5%	16.0%	51.6%	18.9%	3.4%	0.2%	-3.6M	-88.1M	-976.5K	0.99	38.08	4,486	4,430	126,490	271,526