XLU Options History — December 2009

In December 2009, XLU traded between $15.16 and $15.98. ATM implied volatility averaged 16.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.3% (HV 20d: 15.2%). Max pain ranged from $14.00 to $15.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.46.

Notable Days

2009-12-17: Highest Volume — 1,053,144 contracts
2009-12-10: Largest IV drop — 9.8% change
2009-12-08: Highest IV Rank — 20.2%
2009-12-03: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.62	$15.16	$15.98	$15.16	$15.51
Max Pain	$14.89	$14.00	$15.50	$14.00	$15.50
ATM IV	16.5%	13.5%	20.9%	20.3%	14.0%
Expected Move	4.6%	3.9%	6.0%	5.8%	4.0%
HV 20d	15.2%	11.4%	17.1%	16.8%	11.9%
HV 60d	15.1%	14.5%	15.3%	15.0%	14.8%
IV Rank	8.1%	0.0%	20.2%	16.1%	1.7%
IV Percentile	12.2%	0.0%	42.1%	35.7%	2.0%
Term Structure	2.0%	-1.5%	3.7%	-1.5%	2.1%
VWIV	17.0%	12.3%	26.2%	19.8%	14.1%
Skew 25d	2.9%	1.9%	4.4%	2.1%	2.7%
Skew 10d	5.9%	2.5%	8.2%	3.6%	7.0%
Call IV 25d	15.0%	12.3%	19.6%	18.5%	13.2%
Put IV 25d	17.9%	14.3%	21.5%	20.6%	15.9%
Bid-Ask Spread %	3.86	2.06	6.01	6.01	2.06
Gamma HHI	0.40	0.27	0.56	0.27	0.40
Net GEX	40.6M	21.2M	65.9M	33.0M	21.2M
Net DEX	-354.0M	-620.6M	-106.6M	-326.7M	-106.6M
Net VEX	-1.1M	-1.4M	-897.3K	-1.2M	-897.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.01	2.03	1.00	0.37
Total Volume	86,899	1,866	1,053,144	87,420	3,494
Total OI	701,028.727	471,842	920,452	795,734	474,120

Daily Data (22 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
2009-12-01	$15.16	$14.00	20.3%	5.8%	16.8%	16.1%	19.8%	2.1%	-1.5%	33.0M	-326.7M	-1.2M	1.00	6.01	43,762	43,658	582,340	213,394
2009-12-02	$15.37	$14.00	20.5%	5.9%	17.1%	17.5%	20.4%	1.9%	-1.5%	40.4M	-404.6M	-1.3M	0.58	5.24	14,300	8,310	617,256	246,994
2009-12-03	$15.41	$14.00	20.9%	6.0%	17.0%	18.5%	20.9%	1.9%	-1.1%	42.1M	-428.5M	-1.3M	0.49	4.05	15,856	7,832	625,276	207,848
2009-12-04	$15.32	$14.50	19.5%	5.2%	16.7%	14.9%	18.1%	3.7%	1.8%	42.3M	-389.0M	-1.3M	0.04	4.45	47,242	1,942	625,562	211,582
2009-12-07	$15.46	$14.50	19.9%	5.2%	16.8%	16.1%	18.2%	3.8%	1.8%	45.4M	-443.1M	-1.2M	0.43	4.02	11,198	4,818	628,428	212,544
2009-12-08	$15.39	$14.50	20.6%	5.3%	16.1%	20.2%	19.8%	3.8%	1.6%	45.2M	-422.9M	-1.2M	0.42	4.05	22,720	9,610	631,020	214,752
2009-12-09	$15.45	$14.50	18.9%	5.0%	16.0%	16.0%	18.7%	4.4%	2.5%	48.2M	-437.1M	-1.2M	0.32	3.62	57,610	18,330	626,684	208,318
2009-12-10	$15.64	$14.50	17.1%	4.9%	16.3%	10.8%	19.6%	3.6%	2.5%	51.9M	-503.8M	-1.2M	0.10	3.76	54,916	5,360	631,862	209,594
2009-12-11	$15.91	$14.50	16.0%	4.6%	15.8%	7.3%	16.3%	3.4%	3.1%	50.1M	-602.0M	-1.1M	0.48	5.10	19,974	9,630	609,880	210,492
2009-12-14	$15.98	$15.00	15.7%	4.5%	15.7%	6.5%	23.8%	3.6%	3.4%	49.9M	-620.6M	-1.1M	0.04	5.10	74,882	2,944	606,678	205,932
2009-12-15	$15.88	$14.50	15.4%	4.4%	15.7%	5.8%	15.2%	3.5%	3.6%	52.4M	-602.5M	-1.1M	0.28	3.20	44,278	12,284	618,926	207,322
2009-12-16	$15.81	$14.50	14.8%	4.2%	15.6%	3.6%	15.6%	3.3%	3.4%	62.2M	-548.2M	-1.1M	0.06	2.54	136,460	7,634	632,396	210,940
2009-12-17	$15.72	$15.00	15.9%	4.6%	15.7%	7.2%	26.2%	3.3%	3.7%	65.9M	-560.5M	-1.4M	0.01	3.62	1,041,892	11,252	705,072	215,380
2009-12-18	$15.68	$15.50	15.6%	4.5%	14.8%	6.1%	15.6%	2.3%	3.3%	34.1M	-210.5M	-1.1M	0.29	3.32	80,906	23,712	391,856	219,820
2009-12-21	$15.72	$15.50	14.5%	4.2%	14.8%	2.9%	13.7%	2.5%	2.1%	29.0M	-181.0M	-1.1M	0.82	4.23	5,856	4,830	335,978	159,192
2009-12-22	$15.59	$15.50	14.2%	4.1%	15.0%	1.8%	12.9%	2.8%	1.9%	27.0M	-144.4M	-1.0M	0.12	4.02	25,128	2,918	339,296	161,684
2009-12-23	$15.63	$15.50	13.7%	3.9%	15.0%	0.1%	13.3%	2.5%	2.2%	28.3M	-151.1M	-1.0M	0.63	3.73	2,074	1,302	338,742	162,038
2009-12-24	$15.74	$15.50	13.5%	3.9%	14.8%	0.0%	13.8%	2.3%	2.4%	31.0M	-170.3M	-1.0M	0.74	2.82	1,074	792	319,586	163,254
2009-12-28	$15.75	$15.50	14.2%	4.1%	12.9%	2.2%	13.6%	2.8%	2.0%	30.4M	-184.3M	-971.7K	0.77	3.27	2,042	1,574	320,258	163,158
2009-12-29	$15.74	$15.50	13.8%	4.0%	12.8%	1.0%	12.3%	2.0%	2.1%	34.9M	-174.7M	-939.1K	0.04	3.90	21,556	862	321,594	163,742
2009-12-30	$15.73	$15.50	13.8%	4.0%	11.4%	1.1%	13.1%	1.9%	2.2%	29.2M	-176.5M	-922.7K	2.03	2.82	1,636	3,328	307,556	164,286
2009-12-31	$15.51	$15.50	14.0%	4.0%	11.9%	1.7%	14.1%	2.7%	2.1%	21.2M	-106.6M	-897.3K	0.37	2.06	2,554	940	307,576	166,544