XLU Options History — June 2008

In June 2008, XLU traded between $19.86 and $20.82. ATM implied volatility averaged 18.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.1% (HV 20d: 16.6%). Max pain ranged from $20.50 to $20.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.40.

Notable Days

2008-06-19: Highest Volume — 320,138 contracts
2008-06-06: Largest IV spike — 14.1% change
2008-06-11: Highest IV Rank — 41.8%
2008-06-09: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.49	$19.86	$20.82	$20.50	$20.35
Max Pain	$20.50	$20.50	$20.50	$20.50	$20.50
ATM IV	18.7%	16.8%	20.5%	18.1%	17.5%
Expected Move	5.4%	4.8%	5.7%	5.2%	5.0%
HV 20d	16.6%	12.4%	22.2%	13.3%	22.2%
HV 60d	15.2%	14.5%	16.6%	14.5%	16.6%
IV Rank	33.0%	23.4%	41.8%	29.9%	27.0%
IV Percentile	26.6%	5.2%	49.2%	14.3%	9.9%
Term Structure	1.5%	-0.8%	3.1%	1.3%	3.1%
VWIV	18.4%	14.9%	21.4%	19.4%	18.4%
Skew 25d	3.6%	2.3%	4.9%	4.6%	3.8%
Skew 10d	4.4%	-2.5%	8.8%	5.1%	3.7%
Call IV 25d	17.2%	15.1%	18.8%	15.6%	17.5%
Put IV 25d	20.8%	18.6%	23.1%	20.1%	21.2%
Bid-Ask Spread %	32.83	15.92	63.67	18.03	28.80
Gamma HHI	0.30	0.20	0.66	0.27	0.27
Net GEX	250.7K	-8.0M	1.7M	-794.1K	1.6M
Net DEX	-22.4M	-61.5M	32.9M	-16.7M	-8.2M
Net VEX	-420.8K	-442.8K	-392.6K	-410.6K	-424.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.03	5.14	2.68	3.74
Total Volume	20,163.429	324	320,138	324	5,366
Total OI	175,619.238	128,162	225,462	171,684	133,550

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
2008-06-02	$20.50	$20.50	18.1%	5.2%	13.3%	29.9%	19.4%	4.6%	1.3%	-794.1K	-16.7M	-410.6K	2.68	18.03	88	236	78,654	93,030
2008-06-03	$20.32	$20.50	17.8%	5.1%	12.6%	28.3%	15.0%	3.8%	-0.0%	-1.1M	-8.9M	-402.6K	2.61	17.95	132	344	78,660	93,222
2008-06-04	$20.57	$20.50	18.1%	5.2%	13.3%	30.1%	18.2%	2.3%	-0.8%	-242.7K	-25.4M	-395.7K	0.60	19.89	5,990	3,602	78,720	93,414
2008-06-05	$20.82	$20.50	16.8%	4.8%	12.4%	23.4%	17.5%	3.9%	1.2%	819.9K	-50.5M	-417.8K	0.76	15.92	448	342	84,198	96,340
2008-06-06	$20.27	$20.50	19.2%	5.6%	16.0%	35.3%	21.4%	4.3%	1.6%	-647.1K	-17.6M	-410.8K	2.90	51.58	670	1,946	84,510	96,382
2008-06-09	$20.59	$20.50	20.3%	5.7%	16.8%	40.7%	19.8%	4.0%	0.8%	-223.6K	-29.1M	-419.2K	2.33	31.94	514	1,198	84,974	98,058
2008-06-10	$20.57	$20.50	19.3%	5.5%	16.6%	35.8%	17.7%	4.6%	1.5%	-299.6K	-27.5M	-417.8K	0.31	37.57	280	88	85,140	99,072
2008-06-11	$20.55	$20.50	20.5%	5.5%	16.6%	41.8%	19.1%	3.5%	1.9%	-250.1K	-20.0M	-412.8K	0.14	27.29	2,356	332	85,342	99,114
2008-06-12	$20.46	$20.50	19.1%	5.5%	16.6%	34.7%	18.9%	4.9%	1.8%	84.7K	-17.6M	-408.6K	0.98	63.67	2,120	2,070	87,378	99,228
2008-06-13	$20.64	$20.50	18.1%	5.2%	16.9%	29.7%	18.1%	3.7%	1.7%	1.7M	-49.7M	-392.6K	1.00	42.70	10,548	10,588	89,392	101,166
2008-06-16	$20.66	$20.50	18.6%	5.3%	16.7%	32.3%	18.3%	4.6%	1.6%	967.5K	-37.3M	-433.5K	1.43	29.40	464	664	99,216	111,476
2008-06-17	$20.78	$20.50	17.8%	5.1%	16.4%	28.5%	18.6%	3.2%	2.1%	1.6M	-55.0M	-417.5K	0.24	34.21	708	172	99,322	111,970
2008-06-18	$20.70	$20.50	18.8%	5.4%	16.2%	33.3%	18.3%	3.1%	1.6%	1.6M	-49.7M	-414.6K	0.86	21.72	8,190	7,024	99,524	112,104
2008-06-19	$20.73	$20.50	18.4%	5.3%	16.1%	31.5%	16.6%	3.9%	1.6%	1.7M	-61.5M	-428.7K	0.03	32.89	310,254	9,884	106,604	118,858
2008-06-20	$20.34	$20.50	18.3%	5.2%	17.3%	30.7%	14.9%	3.0%	2.7%	-8.0M	32.9M	-441.6K	5.14	42.95	2,078	10,674	86,572	126,694
2008-06-23	$20.58	$20.50	19.7%	5.6%	17.1%	37.8%	19.2%	2.9%	1.5%	1.1M	-19.2M	-440.2K	0.77	29.72	2,522	1,932	67,882	60,280
2008-06-24	$20.41	$20.50	19.1%	5.5%	17.2%	35.1%	18.6%	2.8%	2.4%	1.4M	-16.3M	-442.8K	0.26	39.33	736	190	69,744	60,944
2008-06-25	$20.65	$20.50	18.8%	5.4%	17.7%	33.4%	18.8%	2.8%	1.3%	1.6M	-23.3M	-442.0K	1.00	38.66	6,504	6,480	70,390	61,028
2008-06-26	$20.04	$20.50	19.8%	5.7%	20.3%	38.5%	20.1%	2.6%	1.0%	1.3M	10.5M	-439.4K	0.79	31.94	1,668	1,316	76,110	66,816
2008-06-27	$19.86	$20.50	19.3%	5.5%	20.4%	35.9%	19.3%	3.3%	1.5%	1.2M	18.9M	-423.3K	0.88	33.23	1,442	1,272	76,110	66,816
2008-06-30	$20.35	$20.50	17.5%	5.0%	22.2%	27.0%	18.4%	3.8%	3.1%	1.6M	-8.2M	-424.9K	3.74	28.80	1,132	4,234	70,968	62,582