XLU Options History — February 2011

In February 2011, XLU traded between $15.79 and $16.05. ATM implied volatility averaged 10.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.4% (HV 20d: 9.4%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.95.

Notable Days

2011-02-17: Highest Volume — 133,816 contracts
2011-02-09: Largest IV spike — 40.8% change
2011-02-16: Highest IV Rank — 18.8%
2011-02-07: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.94	$15.79	$16.05	$16.02	$16.05
Max Pain	$15.58	$15.50	$16.00	$16.00	$15.50
ATM IV	10.7%	8.2%	12.7%	11.9%	9.2%
Expected Move	3.2%	2.5%	3.7%	3.4%	2.6%
HV 20d	9.4%	8.6%	9.9%	8.7%	8.6%
HV 60d	8.4%	7.8%	8.9%	8.5%	7.8%
IV Rank	10.6%	0.1%	18.8%	15.7%	4.0%
IV Percentile	11.8%	0.4%	30.6%	19.0%	2.0%
Term Structure	1.3%	0.1%	4.1%	1.7%	1.0%
VWIV	12.2%	8.8%	14.7%	12.0%	8.8%
Skew 25d	4.6%	2.6%	6.9%	5.6%	4.5%
Skew 10d	7.9%	3.7%	13.2%	7.6%	7.1%
Call IV 25d	9.5%	7.4%	11.9%	7.9%	7.8%
Put IV 25d	14.1%	10.0%	16.4%	13.5%	12.3%
Bid-Ask Spread %	62.17	19.21	143.19	87.27	52.21
Gamma HHI	0.37	0.28	0.55	0.28	0.47
Net GEX	14.7M	5.2M	31.2M	5.5M	27.5M
Net DEX	-66.2M	-128.1M	-41.2M	-57.9M	-128.1M
Net VEX	-978.6K	-1.4M	-657.3K	-710.7K	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.01	4.85	0.57	0.18
Total Volume	25,665.053	1,984	133,816	14,258	51,254
Total OI	358,562.316	262,496	483,150	271,950	483,150

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
2011-02-01	$16.02	$16.00	11.9%	3.4%	8.7%	15.7%	12.0%	5.6%	1.7%	5.5M	-57.9M	-710.7K	0.57	87.27	9,066	5,192	144,060	127,890
2011-02-02	$15.87	$16.00	8.8%	2.5%	9.3%	2.3%	9.9%	2.9%	1.6%	5.2M	-48.3M	-657.3K	0.01	83.26	13,798	110	131,714	130,782
2011-02-03	$16.00	$16.00	11.0%	3.2%	9.4%	11.9%	12.3%	5.5%	1.6%	5.8M	-54.3M	-683.5K	1.52	66.02	786	1,198	142,716	130,770
2011-02-04	$15.90	$15.50	10.4%	3.7%	9.7%	9.1%	12.4%	4.2%	0.7%	5.2M	-41.2M	-684.7K	0.81	74.42	33,766	27,362	142,976	131,844
2011-02-07	$16.00	$15.50	10.2%	3.7%	9.9%	8.5%	10.1%	4.0%	0.2%	7.3M	-62.6M	-713.1K	0.03	64.31	26,882	804	151,546	132,290
2011-02-08	$16.00	$15.50	8.2%	3.4%	9.7%	0.1%	11.8%	3.6%	1.5%	10.2M	-42.3M	-719.7K	0.36	54.01	21,734	7,758	156,642	110,424
2011-02-09	$16.00	$15.50	11.6%	2.5%	9.7%	14.2%	10.0%	2.6%	4.1%	13.8M	-46.0M	-786.0K	0.96	143.19	3,080	2,964	176,910	117,064
2011-02-10	$16.03	$15.50	12.0%	3.5%	9.5%	16.1%	13.4%	3.3%	1.5%	13.5M	-57.5M	-810.9K	0.26	55.61	44,586	11,592	175,454	119,668
2011-02-11	$16.00	$15.50	11.0%	3.1%	9.6%	11.6%	11.9%	2.6%	2.2%	14.8M	-62.9M	-949.7K	0.07	90.62	10,584	712	219,484	125,918
2011-02-14	$15.92	$15.50	12.6%	3.6%	9.6%	18.4%	12.9%	5.3%	1.7%	13.8M	-56.0M	-996.9K	0.90	81.19	2,368	2,122	229,314	121,324
2011-02-15	$15.94	$15.50	12.1%	3.5%	9.6%	16.2%	13.7%	3.8%	1.1%	17.2M	-58.6M	-978.3K	1.40	38.54	954	1,334	230,072	121,470
2011-02-16	$15.90	$15.50	12.7%	3.6%	9.6%	18.8%	14.4%	3.6%	1.3%	15.9M	-51.0M	-971.0K	4.85	19.21	1,510	7,322	230,066	121,826
2011-02-17	$15.93	$15.50	12.1%	3.5%	9.2%	16.4%	12.2%	5.2%	1.2%	16.0M	-49.3M	-976.1K	0.17	47.01	114,012	19,804	230,802	125,710
2011-02-18	$15.95	$15.50	9.5%	2.7%	9.2%	5.4%	12.1%	6.5%	2.1%	31.2M	-113.1M	-1.4M	0.85	32.00	6,748	5,746	340,254	142,034
2011-02-22	$15.86	$15.50	9.8%	2.8%	9.1%	6.9%	13.1%	6.9%	0.4%	19.0M	-86.2M	-1.3M	0.86	35.21	9,284	7,942	321,948	125,774
2011-02-23	$15.84	$15.50	10.4%	3.0%	9.1%	9.4%	13.3%	5.1%	0.7%	18.7M	-83.9M	-1.3M	1.33	62.48	12,026	16,018	325,042	131,984
2011-02-24	$15.79	$15.50	10.4%	3.0%	9.1%	9.2%	14.7%	6.8%	0.3%	18.1M	-70.1M	-1.4M	1.40	56.23	1,252	1,748	338,314	144,368
2011-02-25	$15.90	$15.50	10.0%	2.9%	9.4%	7.5%	12.7%	4.8%	0.1%	21.2M	-88.9M	-1.4M	1.47	38.43	1,708	2,510	338,868	142,212
2011-02-28	$16.05	$15.50	9.2%	2.6%	8.6%	4.0%	8.8%	4.5%	1.0%	27.5M	-128.1M	-1.4M	0.18	52.21	43,514	7,740	339,620	143,530