XLU Options History — July 2012

In July 2012, XLU traded between $18.36 and $19.12. ATM implied volatility averaged 9.9%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 8.9%). Max pain ranged from $18.50 to $18.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.70.

Notable Days

2012-07-20: Highest Volume — 78,418 contracts
2012-07-12: Largest IV spike — 38.2% change
2012-07-23: Highest IV Rank — 15.4%
2012-07-23: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.67	$18.36	$19.12	$18.61	$18.96
Max Pain	$18.50	$18.50	$18.50	$18.50	$18.50
ATM IV	9.9%	7.9%	12.0%	10.1%	11.3%
Expected Move	2.9%	2.5%	3.4%	2.9%	3.3%
HV 20d	8.9%	6.7%	10.1%	9.8%	10.1%
HV 60d	8.2%	7.7%	9.0%	8.7%	9.0%
IV Rank	8.9%	3.0%	15.4%	9.7%	13.4%
IV Percentile	15.3%	0.8%	36.5%	13.9%	32.1%
Term Structure	1.6%	-0.2%	3.0%	-0.2%	1.4%
VWIV	10.8%	8.9%	12.9%	10.6%	11.6%
Skew 25d	3.8%	2.0%	6.2%	2.6%	2.6%
Skew 10d	6.1%	2.2%	9.2%	5.0%	6.2%
Call IV 25d	8.6%	5.7%	10.6%	9.5%	10.6%
Put IV 25d	12.4%	10.8%	13.5%	12.2%	13.2%
Bid-Ask Spread %	60.21	40.51	108.96	50.74	43.52
Gamma HHI	0.36	0.16	0.54	0.29	0.44
Net GEX	12.3M	4.0M	35.3M	4.7M	28.7M
Net DEX	-95.8M	-248.4M	-12.6M	-59.8M	-190.0M
Net VEX	-1.1M	-1.6M	-828.1K	-1.1M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.08	6.85	3.71	3.92
Total Volume	21,912	3,004	78,418	8,608	11,138
Total OI	471,925.048	400,908	623,742	400,908	610,388

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
2012-07-02	$18.61	$18.50	10.1%	2.9%	9.8%	9.7%	10.6%	2.6%	-0.2%	4.7M	-59.8M	-1.1M	3.71	50.74	1,828	6,780	144,064	256,844
2012-07-03	$18.57	$18.50	10.1%	2.9%	9.9%	9.7%	10.7%	2.7%	1.6%	4.0M	-43.8M	-1.1M	0.55	68.22	1,934	1,070	144,116	261,218
2012-07-05	$18.47	$18.50	9.4%	2.7%	9.1%	7.4%	10.5%	5.1%	1.0%	4.3M	-35.0M	-1.1M	0.37	81.81	2,234	820	144,150	261,412
2012-07-06	$18.41	$18.50	9.0%	2.9%	8.9%	6.3%	10.9%	2.0%	1.3%	4.5M	-27.2M	-1.0M	4.68	59.20	708	3,310	144,940	261,664
2012-07-09	$18.36	$18.50	7.9%	3.1%	8.9%	3.0%	12.9%	4.8%	1.8%	4.0M	-12.6M	-1.0M	6.85	59.36	1,282	8,786	145,002	259,812
2012-07-10	$18.39	$18.50	9.3%	2.9%	8.9%	7.3%	12.8%	5.7%	2.0%	4.2M	-16.1M	-1.1M	4.79	62.51	1,332	6,376	144,950	265,110
2012-07-11	$18.48	$18.50	8.0%	3.0%	9.1%	3.1%	10.4%	6.1%	1.6%	10.0M	-44.2M	-958.7K	3.86	82.92	2,676	10,320	145,864	265,746
2012-07-12	$18.50	$18.50	11.0%	3.2%	9.1%	12.5%	9.6%	6.2%	1.4%	9.5M	-50.2M	-973.3K	0.84	80.42	1,816	1,522	145,916	278,448
2012-07-13	$18.67	$18.50	10.0%	2.9%	9.3%	9.3%	9.4%	4.4%	1.6%	6.0M	-90.9M	-828.1K	0.89	108.96	4,114	3,670	146,060	270,956
2012-07-16	$18.67	$18.50	10.7%	3.1%	9.2%	11.4%	10.3%	3.5%	1.8%	17.8M	-86.2M	-898.9K	0.93	46.41	2,128	1,970	147,108	272,836
2012-07-17	$18.70	$18.50	8.7%	2.5%	9.0%	5.2%	12.6%	2.9%	0.4%	6.2M	-96.1M	-830.9K	0.31	63.17	3,584	1,116	147,654	274,506
2012-07-18	$18.78	$18.50	8.6%	2.5%	8.9%	5.1%	10.8%	4.0%	1.3%	4.2M	-95.9M	-841.3K	0.25	43.96	42,222	10,382	147,298	275,044
2012-07-19	$18.80	$18.50	9.6%	2.7%	7.9%	8.0%	10.8%	4.4%	2.0%	4.8M	-122.9M	-972.0K	0.09	43.51	63,942	5,908	185,076	277,104
2012-07-20	$18.84	$18.50	9.3%	2.7%	6.7%	7.1%	9.5%	2.8%	2.2%	12.6M	-172.3M	-1.0M	0.08	106.34	72,356	6,062	237,842	278,346
2012-07-23	$18.71	$18.50	12.0%	3.4%	7.4%	15.4%	11.3%	3.8%	1.5%	17.1M	-102.1M	-1.2M	1.57	41.29	19,060	29,952	244,840	243,704
2012-07-24	$18.55	$18.50	11.5%	3.3%	8.2%	13.8%	11.8%	3.2%	1.9%	11.7M	-58.8M	-1.3M	0.51	42.87	21,804	11,166	254,112	268,470
2012-07-25	$18.54	$18.50	11.5%	3.3%	8.2%	14.0%	11.6%	3.0%	1.9%	13.4M	-67.7M	-1.4M	0.59	43.81	25,602	15,078	278,498	271,690
2012-07-26	$18.84	$18.50	8.6%	2.5%	9.1%	5.1%	8.9%	4.0%	3.0%	25.4M	-162.3M	-1.5M	0.18	44.30	13,118	2,310	303,478	284,406
2012-07-27	$19.05	$18.50	9.8%	2.8%	9.7%	8.7%	9.0%	2.7%	1.8%	30.2M	-229.8M	-1.6M	0.17	50.64	26,880	4,512	313,748	284,264
2012-07-30	$19.12	$18.50	10.8%	3.1%	9.6%	11.9%	10.9%	3.5%	2.0%	35.3M	-248.4M	-1.5M	0.64	40.51	5,654	3,630	336,766	286,976
2012-07-31	$18.96	$18.50	11.3%	3.3%	10.1%	13.4%	11.6%	2.6%	1.4%	28.7M	-190.0M	-1.5M	3.92	43.52	2,264	8,874	323,134	287,254