XLU Options History — November 2011

In November 2011, XLU traded between $16.61 and $17.70. ATM implied volatility averaged 19.2%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.0% (HV 20d: 18.2%). Max pain ranged from $16.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.34.

Notable Days

2011-11-02: Highest Volume — 41,882 contracts
2011-11-09: Largest IV spike — 19.2% change
2011-11-23: Highest IV Rank — 48.2%
2011-11-23: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.29	$16.61	$17.70	$17.13	$17.61
Max Pain	$16.64	$16.50	$17.50	$17.50	$16.50
ATM IV	19.2%	16.5%	23.1%	20.0%	18.1%
Expected Move	5.6%	5.0%	6.6%	5.7%	5.2%
HV 20d	18.2%	16.0%	20.4%	17.1%	20.4%
HV 60d	18.7%	17.5%	22.9%	22.9%	18.7%
IV Rank	36.2%	27.7%	48.2%	38.6%	32.6%
IV Percentile	80.7%	71.0%	91.3%	84.5%	73.0%
Term Structure	-0.9%	-7.4%	0.7%	0.1%	-1.4%
VWIV	20.6%	17.3%	23.6%	19.3%	20.7%
Skew 25d	5.7%	-6.2%	8.8%	5.9%	4.5%
Skew 10d	11.9%	-0.2%	18.0%	12.4%	10.8%
Call IV 25d	17.2%	15.2%	20.7%	16.8%	15.9%
Put IV 25d	22.9%	14.5%	26.2%	22.7%	20.4%
Bid-Ask Spread %	47.34	30.86	102.76	40.36	45.24
Gamma HHI	0.35	0.21	0.50	0.32	0.38
Net GEX	11.7M	2.6M	19.8M	8.9M	15.7M
Net DEX	-121.1M	-234.6M	27.6M	-84.5M	-203.1M
Net VEX	-1.2M	-1.4M	-1.1M	-1.4M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.34	0.18	6.14	0.47	1.08
Total Volume	17,308.286	3,906	41,882	12,672	15,912
Total OI	715,916.476	677,022	753,410	683,978	731,710

Daily Data (21 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
2011-11-01	$17.13	$17.50	20.0%	5.7%	17.1%	38.6%	19.3%	5.9%	0.1%	8.9M	-84.5M	-1.4M	0.47	40.36	8,632	4,040	309,360	374,618
2011-11-02	$17.36	$17.50	18.3%	5.2%	17.5%	33.2%	17.3%	5.2%	0.7%	11.0M	-141.3M	-1.3M	1.46	39.86	17,000	24,882	311,170	375,314
2011-11-03	$17.57	$17.50	18.2%	5.2%	17.4%	33.1%	18.6%	5.2%	0.6%	12.8M	-196.0M	-1.3M	1.07	40.38	15,020	16,040	319,298	378,208
2011-11-04	$17.49	$16.50	17.4%	5.3%	17.5%	30.4%	20.1%	7.8%	-0.4%	12.2M	-167.4M	-1.4M	0.49	54.76	4,936	2,440	323,662	390,130
2011-11-07	$17.59	$16.50	17.6%	5.5%	16.4%	31.2%	19.5%	6.0%	-0.9%	13.3M	-188.2M	-1.3M	2.12	63.58	1,492	3,160	324,326	391,824
2011-11-08	$17.70	$16.50	16.5%	5.2%	16.0%	27.7%	21.5%	5.9%	-0.3%	15.4M	-234.6M	-1.2M	3.11	38.77	4,220	13,126	325,382	395,686
2011-11-09	$17.32	$16.50	19.7%	5.7%	18.1%	37.6%	23.6%	8.8%	-0.7%	10.6M	-129.3M	-1.3M	1.41	49.69	8,558	12,106	326,348	389,152
2011-11-10	$17.43	$16.50	18.9%	5.4%	18.1%	35.2%	22.7%	8.1%	0.2%	14.1M	-159.3M	-1.3M	0.35	41.62	6,586	2,324	330,300	395,668
2011-11-11	$17.66	$16.50	19.3%	5.5%	18.4%	36.4%	20.9%	7.4%	-1.0%	16.0M	-216.2M	-1.3M	1.37	53.35	8,590	11,802	331,110	395,810
2011-11-14	$17.47	$16.50	19.2%	5.5%	18.7%	36.1%	22.3%	5.7%	-0.6%	17.2M	-162.5M	-1.3M	6.14	49.70	2,064	12,664	341,080	405,994
2011-11-15	$17.50	$16.50	19.2%	5.5%	18.7%	36.1%	21.0%	6.1%	-1.0%	19.8M	-188.0M	-1.2M	0.51	30.86	7,236	3,724	341,398	409,936
2011-11-16	$17.29	$16.50	18.7%	5.4%	19.0%	34.5%	22.2%	6.7%	0.3%	13.6M	-94.3M	-1.3M	0.93	47.35	12,008	11,200	339,940	410,798
2011-11-17	$17.20	$16.50	21.5%	6.2%	19.1%	43.3%	21.8%	7.4%	-0.1%	10.2M	-85.1M	-1.3M	0.81	35.44	7,720	6,234	341,956	411,134
2011-11-18	$17.32	$16.50	17.4%	5.0%	18.3%	30.5%	17.9%	6.4%	0.5%	17.4M	-110.3M	-1.2M	0.18	42.40	18,536	3,412	342,524	410,886
2011-11-21	$17.11	$16.50	20.7%	5.9%	18.8%	40.8%	21.0%	5.7%	-1.2%	8.2M	-73.8M	-1.2M	1.41	47.54	3,574	5,048	308,970	368,052
2011-11-22	$16.89	$16.50	19.6%	5.6%	18.7%	37.4%	20.3%	5.9%	-0.7%	6.1M	-16.2M	-1.1M	1.58	47.14	3,726	5,878	310,478	370,822
2011-11-23	$16.61	$16.50	23.1%	6.6%	19.1%	48.2%	21.5%	6.0%	-2.1%	2.6M	27.6M	-1.1M	0.89	35.72	10,670	9,500	310,832	374,638
2011-11-25	$16.71	$16.50	20.4%	5.9%	17.6%	40.0%	21.7%	-6.2%	-7.4%	4.0M	4.7M	-1.1M	0.81	102.76	2,156	1,750	315,916	379,814
2011-11-28	$16.93	$16.50	19.7%	5.6%	18.3%	37.6%	20.1%	5.9%	-0.9%	7.2M	-36.6M	-1.1M	0.93	35.94	15,836	14,756	316,422	380,700
2011-11-29	$17.12	$16.50	20.1%	5.8%	18.8%	38.9%	19.4%	5.0%	-1.8%	10.4M	-88.0M	-1.2M	0.93	51.64	12,900	12,016	330,184	392,696
2011-11-30	$17.61	$16.50	18.1%	5.2%	20.4%	32.6%	20.7%	4.5%	-1.4%	15.7M	-203.1M	-1.2M	1.08	45.24	7,658	8,254	335,228	396,482