XLU Options History — December 2010

In December 2010, XLU traded between $15.44 and $15.74. ATM implied volatility averaged 13.4%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.3% (HV 20d: 9.1%). Max pain ranged from $15.50 to $15.50. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2010-12-15: Highest Volume — 61,282 contracts
2010-12-15: Largest IV drop — 37.0% change
2010-12-13: Highest IV Rank — 41.2%
2010-12-01: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.61	$15.44	$15.74	$15.56	$15.67
Max Pain	$15.50	$15.50	$15.50	$15.50	$15.50
ATM IV	13.4%	10.2%	18.9%	15.3%	11.4%
Expected Move	3.5%	2.9%	4.4%	4.4%	3.3%
HV 20d	9.1%	7.1%	10.3%	10.2%	7.1%
HV 60d	9.4%	8.4%	10.2%	10.2%	8.4%
IV Rank	16.4%	2.1%	41.2%	24.8%	7.3%
IV Percentile	26.9%	0.4%	83.7%	45.6%	5.6%
Term Structure	1.9%	-1.8%	4.0%	-1.2%	2.2%
VWIV	12.1%	9.7%	15.3%	15.3%	10.4%
Skew 25d	1.1%	-0.4%	3.0%	3.0%	1.7%
Skew 10d	9.5%	-1.5%	70.7%	5.8%	5.2%
Call IV 25d	12.0%	10.4%	14.4%	13.3%	10.5%
Put IV 25d	13.1%	11.4%	16.3%	16.3%	12.2%
Bid-Ask Spread %	78.77	12.40	90.31	74.46	12.40
Gamma HHI	0.33	0.30	0.38	0.31	0.36
Net GEX	-151.2K	-8.5M	6.0M	-3.7M	3.3M
Net DEX	-17.3M	-48.2M	21.0M	-15.4M	-8.9M
Net VEX	-712.4K	-805.4K	-638.8K	-725.3K	-640.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.18	3.84	1.37	1.24
Total Volume	12,827.182	1,832	61,282	6,778	16,398
Total OI	643,848.182	549,374	773,812	668,740	558,190

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
2010-12-01	$15.56	$15.50	15.3%	4.4%	10.2%	24.8%	15.3%	3.0%	-1.2%	-3.7M	-15.4M	-725.3K	1.37	74.46	2,856	3,922	361,040	307,700
2010-12-02	$15.61	$15.50	15.2%	4.4%	10.3%	24.6%	14.6%	1.5%	-1.8%	-84.7K	-23.3M	-800.3K	0.18	85.18	14,434	2,644	362,152	301,550
2010-12-03	$15.63	$15.50	15.0%	4.3%	9.4%	23.5%	15.3%	2.2%	-1.7%	2.0M	-47.4M	-805.4K	0.62	43.48	14,022	8,662	370,156	312,416
2010-12-06	$15.60	$15.50	15.7%	3.9%	9.4%	26.6%	13.0%	1.9%	1.9%	-737.9K	-35.2M	-751.0K	0.36	83.01	4,760	1,710	379,972	318,402
2010-12-07	$15.49	$15.50	15.3%	3.8%	9.5%	24.9%	13.4%	1.5%	2.3%	-4.3M	-4.7M	-748.4K	1.54	85.05	3,358	5,186	382,806	319,168
2010-12-08	$15.44	$15.50	15.4%	3.7%	9.5%	25.3%	13.4%	1.7%	2.7%	-4.6M	7.5M	-789.6K	0.83	81.02	4,342	3,610	384,978	322,294
2010-12-09	$15.50	$15.50	15.5%	3.5%	9.6%	25.8%	12.0%	1.5%	2.3%	-5.8M	-6.4M	-725.3K	3.84	87.39	1,992	7,650	386,194	321,800
2010-12-10	$15.56	$15.50	16.0%	3.6%	9.8%	27.9%	12.7%	1.6%	2.9%	-4.1M	-21.7M	-748.2K	1.79	90.31	5,422	9,688	387,360	328,514
2010-12-13	$15.63	$15.50	18.9%	3.5%	9.5%	41.2%	11.9%	1.7%	2.7%	-2.2M	-44.5M	-703.2K	1.15	85.53	2,024	2,324	386,308	334,372
2010-12-14	$15.68	$15.50	18.6%	3.4%	9.5%	39.6%	12.0%	1.0%	2.8%	2.0M	-46.4M	-698.5K	1.15	82.93	4,050	4,648	385,442	331,470
2010-12-15	$15.54	$15.50	11.7%	3.4%	9.0%	8.8%	12.5%	-0.1%	3.1%	-7.2M	-12.7M	-668.5K	1.67	86.78	22,944	38,338	385,536	334,846
2010-12-16	$15.68	$15.50	10.8%	3.1%	9.6%	4.7%	9.7%	-0.0%	4.0%	-8.5M	-48.2M	-640.2K	0.18	85.85	48,080	8,834	403,064	370,748
2010-12-17	$15.57	$15.50	11.3%	3.3%	9.7%	7.1%	11.3%	0.8%	3.0%	-2.0M	21.0M	-726.0K	1.40	68.79	3,438	4,830	347,160	349,388
2010-12-20	$15.60	$15.50	11.2%	3.2%	9.6%	6.4%	11.0%	0.9%	1.8%	720.0K	8.5M	-723.2K	0.87	84.83	3,780	3,288	265,486	283,888
2010-12-21	$15.60	$15.50	10.8%	3.1%	9.5%	4.8%	10.8%	0.8%	1.0%	616.4K	10.1M	-723.9K	0.46	80.00	1,730	804	267,290	285,482
2010-12-22	$15.67	$15.50	10.2%	2.9%	8.7%	2.1%	10.3%	1.0%	3.3%	5.6M	-16.1M	-699.5K	0.65	87.02	1,344	878	267,790	286,016
2010-12-23	$15.68	$15.50	11.2%	3.2%	8.5%	6.3%	11.2%	1.0%	1.7%	5.1M	-17.2M	-728.3K	0.50	86.26	4,860	2,432	268,338	286,190
2010-12-27	$15.69	$15.50	11.3%	3.2%	8.1%	6.9%	10.9%	0.9%	1.9%	5.4M	-17.7M	-667.3K	1.30	85.72	2,176	2,834	267,504	286,162
2010-12-28	$15.74	$15.50	11.5%	3.3%	8.0%	7.9%	11.4%	0.3%	1.7%	5.8M	-27.9M	-657.3K	0.70	82.99	1,268	886	268,200	287,316
2010-12-29	$15.69	$15.50	11.7%	3.3%	8.2%	8.5%	11.4%	0.6%	1.9%	6.0M	-23.0M	-664.1K	0.32	87.43	2,962	958	268,656	286,446
2010-12-30	$15.66	$15.50	11.1%	3.2%	7.2%	5.8%	11.5%	-0.4%	2.5%	3.4M	-10.3M	-638.8K	0.38	86.53	1,328	504	270,342	286,528
2010-12-31	$15.67	$15.50	11.4%	3.3%	7.1%	7.3%	10.4%	1.7%	2.2%	3.3M	-8.9M	-640.0K	1.24	12.40	7,322	9,076	271,256	286,934