XLU Options History — January 2010

In January 2010, XLU traded between $14.77 and $15.63. ATM implied volatility averaged 15.0%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.3% (HV 20d: 12.7%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.94.

Notable Days

2010-01-20: Highest Volume — 121,020 contracts
2010-01-21: Largest IV spike — 17.9% change
2010-01-22: Highest IV Rank — 15.1%
2010-01-22: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.30	$14.77	$15.63	$15.54	$14.77
Max Pain	$15.58	$15.50	$16.00	$16.00	$15.50
ATM IV	15.0%	12.4%	17.4%	14.4%	16.9%
Expected Move	4.5%	4.1%	5.0%	4.6%	4.8%
HV 20d	12.7%	10.0%	15.0%	11.9%	14.9%
HV 60d	15.1%	14.8%	15.5%	14.8%	15.0%
IV Rank	7.1%	0.0%	15.1%	2.9%	13.5%
IV Percentile	7.6%	0.0%	17.5%	3.6%	15.1%
Term Structure	1.9%	1.6%	2.2%	1.8%	2.0%
VWIV	16.0%	14.0%	18.1%	15.9%	17.8%
Skew 25d	3.2%	2.0%	4.0%	4.0%	2.0%
Skew 10d	6.3%	4.5%	7.8%	7.8%	4.5%
Call IV 25d	14.5%	12.6%	16.7%	14.2%	16.7%
Put IV 25d	17.7%	15.7%	20.1%	18.2%	18.8%
Bid-Ask Spread %	8.60	3.74	53.22	3.84	53.22
Gamma HHI	0.39	0.24	0.83	0.40	0.24
Net GEX	12.4M	-2.5M	55.6M	23.0M	-2.5M
Net DEX	-33.4M	-121.9M	58.1M	-109.6M	58.1M
Net VEX	-907.0K	-1.1M	-771.9K	-837.1K	-947.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.18	5.47	1.81	0.55
Total Volume	20,522.211	4,704	121,020	13,072	4,704
Total OI	450,731.579	280,016	550,048	474,122	420,394

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
2010-01-04	$15.54	$16.00	14.4%	4.6%	11.9%	2.9%	15.9%	4.0%	1.8%	23.0M	-109.6M	-837.1K	1.81	3.84	4,658	8,414	307,442	166,680
2010-01-05	$15.36	$16.00	13.8%	4.4%	12.5%	1.0%	15.8%	3.9%	1.9%	14.8M	-57.4M	-780.4K	1.61	4.67	7,250	11,678	307,940	166,090
2010-01-06	$15.45	$16.00	13.5%	4.4%	12.2%	0.1%	15.1%	3.6%	1.9%	18.3M	-74.6M	-771.9K	1.76	6.72	12,568	22,176	306,688	167,436
2010-01-07	$15.38	$15.50	13.4%	4.3%	12.3%	0.0%	16.5%	3.7%	1.9%	14.7M	-47.5M	-872.4K	5.47	3.74	3,064	16,758	317,624	186,928
2010-01-08	$15.36	$15.50	12.4%	4.2%	12.2%	0.0%	15.0%	3.3%	1.9%	12.3M	-30.2M	-868.5K	0.18	4.10	22,936	4,162	318,664	199,168
2010-01-11	$15.52	$15.50	13.6%	4.3%	11.9%	3.5%	15.4%	3.1%	1.9%	21.7M	-87.4M	-894.4K	0.73	5.44	11,168	8,132	329,576	201,000
2010-01-12	$15.46	$15.50	14.0%	4.4%	10.0%	5.0%	16.0%	3.3%	1.8%	19.7M	-65.3M	-896.7K	2.20	5.62	2,860	6,302	332,106	204,928
2010-01-13	$15.63	$15.50	13.0%	4.2%	10.7%	1.9%	14.6%	3.2%	2.1%	26.4M	-121.9M	-884.5K	1.21	7.70	2,312	2,808	332,528	207,936
2010-01-14	$15.55	$15.50	14.9%	4.3%	10.6%	7.6%	15.4%	3.3%	1.7%	29.8M	-102.1M	-867.3K	3.24	9.89	3,804	12,324	333,922	208,468
2010-01-15	$15.46	$15.50	14.6%	4.2%	10.7%	6.8%	15.3%	3.3%	2.0%	55.6M	-19.4M	-867.8K	1.12	6.31	8,412	9,458	334,602	215,446
2010-01-19	$15.63	$15.50	14.2%	4.1%	11.5%	5.5%	15.1%	3.1%	2.2%	2.5M	-58.6M	-859.4K	1.33	6.71	3,150	4,194	161,490	118,526
2010-01-20	$15.47	$15.50	14.1%	4.1%	12.0%	5.3%	15.3%	2.8%	2.2%	2.1M	-42.8M	-859.3K	0.92	6.09	62,902	58,118	163,496	120,402
2010-01-21	$15.24	$15.50	16.7%	4.8%	12.9%	12.9%	16.6%	3.4%	1.7%	2.2M	-15.5M	-1.1M	2.62	5.23	2,306	6,042	220,892	171,972
2010-01-22	$14.91	$15.50	17.4%	5.0%	14.7%	15.1%	18.1%	3.7%	1.8%	-531.9K	30.0M	-994.9K	1.63	8.05	4,548	7,402	221,002	174,516
2010-01-25	$15.01	$15.50	17.0%	4.9%	15.0%	13.8%	16.8%	3.4%	1.6%	-467.2K	18.5M	-983.4K	1.24	5.75	4,888	6,072	223,202	178,580
2010-01-26	$15.07	$15.50	17.0%	4.9%	14.7%	13.8%	17.0%	2.9%	1.7%	-248.2K	13.2M	-1.0M	2.86	6.26	4,198	12,006	223,904	181,644
2010-01-27	$14.97	$15.50	16.8%	4.8%	14.8%	13.2%	17.6%	2.6%	1.6%	-1.5M	27.2M	-997.2K	0.97	7.85	8,096	7,822	226,544	188,216
2010-01-28	$14.86	$15.50	16.8%	4.8%	14.9%	13.2%	14.0%	2.7%	1.9%	-2.2M	50.0M	-987.7K	5.34	6.20	1,930	10,300	231,488	192,460
2010-01-29	$14.77	$15.50	16.9%	4.8%	14.9%	13.5%	17.8%	2.0%	2.0%	-2.5M	58.1M	-947.3K	0.55	53.22	3,042	1,662	231,198	189,196