XLU Options History — August 2011

In August 2011, XLU traded between $15.05 and $16.95. ATM implied volatility averaged 23.8%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 7.8% (HV 20d: 31.6%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.29.

Notable Days

2011-08-24: Highest Volume — 138,782 contracts
2011-08-08: Largest IV spike — 119.4% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.24	$15.05	$16.95	$16.64	$16.95
Max Pain	$16.09	$16.00	$16.50	$16.50	$16.00
ATM IV	23.8%	14.7%	39.6%	16.5%	21.6%
Expected Move	6.7%	4.2%	9.9%	4.7%	6.2%
HV 20d	31.6%	10.2%	40.0%	10.2%	39.7%
HV 60d	20.0%	10.2%	24.2%	10.2%	24.2%
IV Rank	59.0%	39.2%	100.0%	66.5%	43.5%
IV Percentile	94.7%	71.4%	100.0%	86.9%	94.4%
Term Structure	-3.2%	-29.9%	2.8%	0.7%	-2.0%
VWIV	25.0%	14.9%	36.9%	16.3%	23.1%
Skew 25d	7.1%	-5.2%	22.9%	2.8%	7.1%
Skew 10d	16.2%	6.4%	26.6%	6.8%	16.5%
Call IV 25d	20.6%	15.0%	31.8%	15.0%	19.1%
Put IV 25d	27.7%	17.5%	46.1%	17.8%	26.2%
Bid-Ask Spread %	61.86	12.38	115.15	69.93	82.91
Gamma HHI	0.18	0.14	0.25	0.22	0.25
Net GEX	8.6M	-2.5M	18.0M	13.9M	14.7M
Net DEX	-36.1M	-171.0M	169.4M	-97.3M	-171.0M
Net VEX	-1.7M	-2.0M	-1.2M	-1.5M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.16	4.95	1.21	0.20
Total Volume	35,120.174	4,580	138,782	4,580	62,850
Total OI	766,803.304	638,798	937,816	638,798	937,816

Daily Data (23 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
2011-08-01	$16.64	$16.50	16.5%	4.7%	10.2%	66.5%	16.3%	2.8%	0.7%	13.9M	-97.3M	-1.5M	1.21	69.93	2,068	2,512	362,504	276,294
2011-08-02	$16.35	$16.50	14.7%	4.2%	11.6%	53.2%	14.9%	3.2%	1.8%	10.5M	-37.0M	-1.4M	0.70	52.29	4,120	2,898	363,168	276,360
2011-08-03	$16.35	$16.50	15.5%	4.4%	11.6%	59.0%	16.2%	2.5%	0.9%	9.9M	-31.1M	-1.4M	1.02	74.10	9,816	10,032	364,904	278,344
2011-08-04	$15.78	$16.50	17.6%	5.0%	16.6%	74.7%	21.8%	7.3%	-0.7%	2.1M	48.7M	-1.4M	1.96	62.47	7,964	15,572	362,982	281,912
2011-08-05	$15.94	$16.00	17.6%	8.1%	17.3%	75.0%	36.9%	22.9%	-3.8%	3.1M	27.8M	-1.7M	1.92	115.15	4,268	8,210	367,090	290,454
2011-08-08	$15.05	$16.00	38.6%	8.6%	25.8%	100.0%	30.1%	9.6%	-5.7%	-2.5M	169.4M	-1.2M	1.01	58.80	16,842	16,974	366,512	293,456
2011-08-09	$15.60	$16.00	39.6%	7.8%	29.4%	100.0%	23.1%	-4.3%	2.8%	299.8K	97.1M	-1.5M	0.16	109.48	58,584	9,616	374,604	303,052
2011-08-10	$15.21	$16.00	35.0%	9.9%	30.3%	85.5%	29.1%	-5.2%	-29.9%	2.5M	82.2M	-1.6M	0.62	82.58	34,860	21,546	417,770	305,626
2011-08-11	$15.98	$16.00	25.1%	7.2%	35.8%	54.6%	26.1%	8.8%	-2.8%	5.5M	24.4M	-1.6M	0.45	71.59	13,000	5,808	446,758	319,052
2011-08-12	$15.85	$16.00	23.6%	6.8%	35.9%	49.9%	25.3%	8.2%	-3.2%	5.4M	37.0M	-1.6M	0.97	61.89	3,184	3,104	449,004	320,914
2011-08-15	$16.39	$16.00	22.1%	6.3%	38.0%	45.0%	23.5%	7.1%	-2.4%	14.7M	-91.0M	-1.7M	0.74	46.44	25,822	19,066	441,402	322,770
2011-08-16	$16.45	$16.00	21.1%	6.1%	37.9%	42.1%	23.3%	7.0%	-2.3%	15.3M	-84.8M	-1.7M	1.63	44.29	4,234	6,898	450,822	331,674
2011-08-17	$16.50	$16.00	20.2%	5.8%	37.9%	39.2%	24.3%	5.8%	-0.9%	18.0M	-135.3M	-1.7M	2.00	58.10	26,994	54,094	451,352	330,716
2011-08-18	$16.32	$16.00	24.4%	7.0%	37.6%	52.3%	28.0%	6.9%	-3.5%	9.3M	-51.9M	-1.9M	1.17	43.00	22,006	25,696	470,818	376,184
2011-08-19	$16.16	$16.00	27.2%	7.8%	37.7%	61.2%	25.8%	10.2%	-5.7%	6.8M	-9.6M	-1.8M	0.89	60.00	5,686	5,042	460,320	386,760
2011-08-22	$16.15	$16.00	27.4%	7.9%	37.7%	61.9%	27.9%	8.8%	-3.3%	5.6M	-17.1M	-1.7M	1.03	35.73	9,454	9,730	404,774	331,178
2011-08-23	$16.45	$16.00	23.4%	6.7%	38.4%	49.3%	26.6%	8.2%	-1.8%	9.4M	-71.3M	-1.7M	1.38	37.28	12,682	17,448	409,358	335,432
2011-08-24	$16.80	$16.00	21.7%	6.2%	39.2%	44.1%	23.0%	7.5%	-1.9%	14.6M	-165.0M	-1.8M	3.40	12.38	31,548	107,234	413,606	346,168
2011-08-25	$16.52	$16.00	26.4%	7.6%	39.6%	58.7%	27.8%	9.8%	-3.2%	7.7M	-68.9M	-2.0M	0.64	68.26	11,078	7,118	423,656	448,548
2011-08-26	$16.50	$16.00	25.2%	7.2%	39.4%	54.9%	30.2%	8.2%	-3.6%	6.9M	-54.1M	-2.0M	4.95	55.84	10,292	50,936	430,110	452,348
2011-08-29	$16.83	$16.00	20.8%	6.0%	40.0%	41.3%	26.8%	7.8%	-3.3%	12.6M	-132.0M	-1.9M	0.89	48.55	7,872	6,976	435,424	489,452
2011-08-30	$16.75	$16.00	21.8%	6.3%	39.5%	44.3%	25.7%	12.9%	-0.7%	11.6M	-100.4M	-2.0M	0.65	71.65	9,740	6,290	440,086	494,942
2011-08-31	$16.95	$16.00	21.6%	6.2%	39.7%	43.5%	23.1%	7.1%	-2.0%	14.7M	-171.0M	-2.0M	0.20	82.91	52,370	10,480	439,478	498,338