XLU Options History — October 2008

In October 2008, XLU traded between $12.88 and $16.55. ATM implied volatility averaged 60.9%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 2.6% (HV 20d: 63.5%). Max pain ranged from $16.00 to $18.50. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 3.13.

Notable Days

2008-10-13: Highest Volume — 66,780 contracts
2008-10-15: Largest IV spike — 244.3% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-15: Largest Expected Move — 20.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.38	$12.88	$16.55	$16.55	$14.46
Max Pain	$16.72	$16.00	$18.50	$18.50	$16.00
ATM IV	60.9%	34.8%	184.5%	34.8%	53.3%
Expected Move	14.9%	10.0%	20.9%	10.0%	15.3%
HV 20d	63.5%	40.7%	86.8%	40.9%	86.8%
HV 60d	41.7%	27.2%	55.2%	27.3%	55.2%
IV Rank	57.7%	18.0%	100.0%	83.4%	23.9%
IV Percentile	98.4%	94.8%	100.0%	99.2%	94.8%
Term Structure	-10.8%	-56.3%	-1.2%	-5.5%	-3.5%
VWIV	49.5%	31.3%	76.6%	31.3%	56.0%
Skew 25d	9.8%	-20.3%	52.0%	8.5%	13.9%
Skew 10d	24.7%	2.8%	43.2%	7.3%	39.0%
Call IV 25d	42.6%	28.7%	63.3%	28.7%	46.1%
Put IV 25d	52.4%	31.9%	88.7%	37.2%	60.1%
Bid-Ask Spread %	79.88	45.79	143.92	66.14	46.04
Gamma HHI	0.25	0.12	0.83	0.18	0.14
Net GEX	-45.6K	-1.8M	5.6M	-1.8M	-426.3K
Net DEX	61.2M	35.5M	93.4M	67.4M	51.7M
Net VEX	-171.0K	-228.3K	-104.3K	-228.3K	-210.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.13	0.04	20.61	0.54	12.15
Total Volume	6,439.565	624	66,780	1,298	894
Total OI	128,499.913	106,784	187,778	114,010	125,628

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
2008-10-01	$16.55	$18.50	34.8%	10.0%	40.9%	83.4%	31.3%	8.5%	-5.5%	-1.8M	67.4M	-228.3K	0.54	66.14	842	456	40,896	73,114
2008-10-02	$16.30	$18.50	39.7%	11.4%	40.9%	100.0%	39.5%	5.0%	-7.0%	-1.5M	74.6M	-204.8K	8.96	65.51	956	8,562	41,410	73,396
2008-10-03	$16.06	$18.50	38.6%	11.1%	40.7%	96.1%	37.5%	0.9%	-5.9%	-1.8M	78.1M	-198.2K	3.89	50.26	864	3,362	42,242	76,936
2008-10-06	$15.28	$17.50	43.5%	10.4%	42.1%	100.0%	34.4%	3.7%	-2.1%	-1.1M	93.4M	-159.6K	3.31	46.78	1,104	3,656	42,184	79,252
2008-10-07	$14.65	$17.50	44.3%	10.8%	42.9%	100.0%	32.7%	8.4%	-6.0%	-872.9K	87.5M	-143.2K	0.39	83.78	1,146	452	42,802	77,648
2008-10-08	$14.39	$17.00	47.8%	14.0%	42.4%	100.0%	35.5%	-13.0%	-4.9%	-524.7K	80.7M	-139.6K	0.15	143.92	6,832	1,020	42,962	70,830
2008-10-09	$13.43	$17.00	70.4%	13.7%	46.6%	100.0%	44.9%	23.8%	-2.4%	-217.5K	79.3M	-104.3K	1.11	125.72	446	496	49,480	71,088
2008-10-10	$12.88	$17.00	67.8%	20.8%	45.9%	95.5%	55.6%	19.6%	-56.3%	-266.3K	73.5M	-113.7K	0.30	129.56	4,392	1,328	49,810	70,726
2008-10-13	$14.44	$16.50	102.0%	14.8%	64.8%	100.0%	46.4%	21.5%	-15.7%	-377.2K	75.3M	-142.8K	0.04	127.56	64,300	2,480	53,206	70,890
2008-10-14	$14.31	$16.50	53.6%	12.2%	64.8%	46.1%	48.6%	7.1%	-2.4%	5.6M	35.5M	-201.9K	0.87	55.06	1,614	1,398	115,306	72,472
2008-10-15	$13.25	$16.50	184.5%	20.9%	67.7%	100.0%	76.6%	52.0%	-23.2%	1.8M	36.5M	-190.1K	1.91	132.55	434	828	115,800	66,012
2008-10-16	$13.63	$16.50	58.0%	16.6%	67.1%	26.6%	59.9%	9.6%	-6.2%	2.2M	62.1M	-146.1K	0.83	46.18	1,386	1,156	116,016	66,186
2008-10-17	$13.71	$16.50	55.6%	15.9%	66.2%	25.2%	53.1%	14.2%	-5.2%	798.5K	62.9M	-148.6K	5.75	55.42	1,290	7,414	116,934	66,034
2008-10-20	$14.86	$16.50	43.2%	12.4%	73.7%	18.0%	42.5%	13.9%	-1.2%	-314.6K	48.4M	-172.1K	0.19	79.07	1,902	362	50,018	56,766
2008-10-21	$14.39	$16.00	46.4%	13.3%	74.2%	19.9%	45.6%	11.5%	-2.4%	-238.1K	50.5M	-165.3K	0.29	45.79	482	142	50,936	57,016
2008-10-22	$13.78	$16.00	52.7%	15.1%	75.0%	23.5%	51.9%	11.6%	-5.8%	-185.4K	54.9M	-142.1K	1.42	79.39	450	638	51,322	57,096
2008-10-23	$14.11	$16.00	55.8%	16.0%	75.2%	25.3%	54.6%	16.9%	-6.1%	-217.8K	50.9M	-164.3K	0.53	49.62	1,202	638	51,648	57,586
2008-10-24	$13.73	$16.00	66.1%	18.9%	75.3%	31.3%	67.7%	-20.3%	-50.1%	-173.9K	46.2M	-166.3K	1.78	113.45	1,160	2,060	52,350	58,004
2008-10-27	$13.20	$16.00	68.3%	19.6%	74.4%	32.6%	57.1%	-4.5%	-8.0%	-159.7K	51.7M	-148.1K	20.61	95.56	426	8,782	53,222	59,330
2008-10-28	$14.53	$16.00	59.7%	17.1%	83.2%	27.6%	54.5%	-5.4%	-9.3%	-408.1K	43.7M	-226.1K	0.84	98.81	2,378	1,988	53,350	67,754
2008-10-29	$14.06	$16.00	59.8%	17.1%	83.6%	27.6%	56.2%	14.7%	-11.3%	-379.2K	52.8M	-191.1K	6.10	52.04	640	3,902	54,858	68,710
2008-10-30	$14.85	$16.00	54.7%	15.7%	86.5%	24.7%	55.8%	11.7%	-8.8%	-446.1K	49.5M	-225.6K	0.07	48.96	1,726	124	55,136	71,136
2008-10-31	$14.46	$16.00	53.3%	15.3%	86.8%	23.9%	56.0%	13.9%	-3.5%	-426.3K	51.7M	-210.2K	12.15	46.04	68	826	54,510	71,118