XLU Options History — February 2009

In February 2009, XLU traded between $12.68 and $14.95. ATM implied volatility averaged 32.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 10.3% (HV 20d: 22.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 5.17.

Notable Days

2009-02-04: Highest Volume — 34,414 contracts
2009-02-05: Largest IV drop — 16.8% change
2009-02-23: Highest IV Rank — 14.7%
2009-02-23: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.89	$12.68	$14.95	$14.57	$12.68
Max Pain	$14.76	$14.00	$15.00	$15.00	$14.00
ATM IV	32.7%	26.2%	37.5%	33.0%	36.0%
Expected Move	9.5%	8.0%	10.7%	9.4%	10.3%
HV 20d	22.3%	18.8%	26.3%	20.0%	26.0%
HV 60d	35.1%	25.8%	41.8%	41.8%	25.8%
IV Rank	11.9%	8.1%	14.7%	12.0%	13.8%
IV Percentile	71.6%	61.9%	77.0%	73.8%	75.8%
Term Structure	-1.0%	-4.3%	2.0%	0.9%	-3.0%
VWIV	33.2%	29.7%	36.6%	34.2%	34.3%
Skew 25d	10.4%	7.5%	13.1%	9.6%	7.5%
Skew 10d	18.8%	12.2%	24.3%	23.9%	14.6%
Call IV 25d	28.4%	23.9%	33.4%	28.9%	32.0%
Put IV 25d	38.8%	35.7%	43.6%	38.5%	39.5%
Bid-Ask Spread %	18.51	12.20	29.00	19.18	13.02
Gamma HHI	0.25	0.17	0.32	0.27	0.18
Net GEX	-3.4M	-5.4M	-1.7M	-2.7M	-1.8M
Net DEX	72.7M	34.4M	134.4M	35.7M	87.0M
Net VEX	-341.9K	-413.5K	-211.0K	-211.0K	-305.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.17	0.14	48.89	48.89	4.98
Total Volume	10,972.737	1,170	34,414	19,358	22,880
Total OI	177,929.368	119,132	213,374	119,132	179,596

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
2009-02-02	$14.57	$15.00	33.0%	9.4%	20.0%	12.0%	34.2%	9.6%	0.9%	-2.7M	35.7M	-211.0K	48.89	19.18	388	18,970	33,296	85,836
2009-02-03	$14.63	$15.00	31.6%	9.1%	19.3%	11.3%	31.2%	9.1%	-0.1%	-3.2M	38.5M	-260.5K	2.15	22.34	1,526	3,278	33,536	103,590
2009-02-04	$14.74	$15.00	33.7%	9.7%	18.9%	12.5%	30.8%	11.4%	-1.3%	-3.1M	34.9M	-264.0K	2.86	26.80	8,918	25,496	34,936	106,058
2009-02-05	$14.85	$15.00	28.1%	8.0%	18.9%	9.2%	29.7%	12.1%	1.3%	-3.4M	38.4M	-388.4K	4.50	29.00	2,438	10,964	42,810	129,386
2009-02-06	$14.95	$15.00	26.2%	8.5%	18.9%	8.1%	30.4%	10.7%	0.5%	-3.4M	34.4M	-413.5K	0.78	18.98	1,006	784	44,658	136,344
2009-02-09	$14.86	$15.00	28.3%	8.7%	18.8%	9.4%	33.6%	11.3%	0.6%	-3.7M	40.1M	-405.9K	2.68	16.63	1,362	3,648	44,980	136,734
2009-02-10	$14.44	$15.00	31.6%	9.5%	21.5%	11.3%	33.0%	9.8%	-0.4%	-4.4M	61.9M	-401.2K	0.83	20.06	1,956	1,630	45,268	139,960
2009-02-11	$14.39	$15.00	29.2%	9.1%	20.4%	9.9%	33.2%	10.4%	-0.2%	-4.8M	66.9M	-405.0K	9.81	18.60	764	7,494	46,444	140,616
2009-02-12	$14.27	$15.00	30.1%	8.6%	20.2%	10.4%	32.7%	10.6%	2.0%	-5.2M	76.9M	-398.0K	1.85	21.44	4,582	8,490	46,556	142,092
2009-02-13	$14.19	$15.00	31.7%	9.1%	20.2%	11.3%	31.9%	10.2%	1.1%	-5.4M	75.8M	-394.0K	4.99	16.12	698	3,482	48,214	143,862
2009-02-17	$13.57	$15.00	36.4%	10.4%	24.3%	14.0%	36.2%	8.6%	-4.1%	-4.0M	106.5M	-348.8K	5.56	21.10	2,006	11,144	48,284	143,046
2009-02-18	$13.37	$15.00	35.0%	10.0%	24.2%	13.2%	36.6%	12.8%	-2.7%	-4.3M	122.0M	-330.1K	1.27	19.16	1,716	2,172	48,684	150,966
2009-02-19	$13.43	$15.00	34.0%	9.8%	23.8%	12.7%	34.4%	13.1%	-1.6%	-4.6M	121.9M	-323.9K	2.30	13.32	5,438	12,520	49,006	151,690
2009-02-20	$13.12	$15.00	35.4%	10.2%	24.7%	13.5%	33.9%	11.3%	-4.1%	-3.8M	134.4M	-324.6K	0.96	15.94	6,520	6,290	53,696	159,678
2009-02-23	$12.80	$14.50	37.5%	10.7%	25.5%	14.7%	36.3%	9.4%	-4.3%	-2.1M	84.4M	-307.8K	0.14	17.47	13,058	1,858	51,008	117,288
2009-02-24	$13.18	$14.00	34.4%	9.9%	26.3%	12.9%	34.3%	9.1%	-1.6%	-1.8M	69.9M	-343.2K	0.76	12.20	2,884	2,206	61,202	116,912
2009-02-25	$13.09	$14.00	34.5%	9.9%	26.0%	12.9%	30.0%	11.1%	-0.5%	-1.7M	72.6M	-338.4K	0.33	14.57	6,592	2,154	62,402	116,506
2009-02-26	$12.88	$14.00	33.7%	9.7%	25.8%	12.5%	34.1%	9.8%	-1.7%	-1.7M	79.1M	-331.5K	2.50	15.76	334	836	67,494	118,024
2009-02-27	$12.68	$14.00	36.0%	10.3%	26.0%	13.8%	34.3%	7.5%	-3.0%	-1.8M	87.0M	-305.7K	4.98	13.02	3,824	19,056	61,552	118,044