XLU Options History — September 2012

In September 2012, XLU traded between $18.03 and $18.40. ATM implied volatility averaged 10.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.6% (HV 20d: 8.3%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2012-09-20: Highest Volume — 461,432 contracts
2012-09-20: Largest IV drop — 33.4% change
2012-09-04: Highest IV Rank — 36.5%
2012-09-04: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.21	$18.03	$18.40	$18.21	$18.20
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	10.9%	6.8%	14.5%	14.5%	8.9%
Expected Move	3.0%	1.9%	4.2%	4.2%	2.6%
HV 20d	8.3%	5.9%	9.7%	6.4%	9.7%
HV 60d	9.2%	9.0%	9.5%	9.0%	9.3%
IV Rank	19.5%	0.0%	36.5%	36.5%	10.5%
IV Percentile	31.3%	0.0%	67.1%	66.3%	9.1%
Term Structure	1.1%	-5.8%	6.9%	-5.8%	1.6%
VWIV	10.2%	7.2%	13.5%	9.8%	8.3%
Skew 25d	2.2%	0.1%	3.5%	0.1%	1.6%
Skew 10d	4.8%	2.1%	8.1%	8.1%	4.4%
Call IV 25d	9.5%	8.0%	13.1%	13.1%	8.1%
Put IV 25d	11.7%	9.6%	13.9%	13.1%	9.6%
Bid-Ask Spread %	46.57	18.57	99.21	31.19	99.21
Gamma HHI	0.20	0.15	0.54	0.15	0.19
Net GEX	752.7K	-30.4M	11.2M	-2.1M	7.8M
Net DEX	49.6M	-6.9M	114.5M	70.3M	-3.0M
Net VEX	-1.1M	-1.3M	-985.0K	-1.3M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.02	3.87	1.56	0.75
Total Volume	47,519.474	2,578	461,432	2,578	8,408
Total OI	686,201.263	566,370	767,402	626,830	635,430

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
2012-09-04	$18.21	$18.00	14.5%	4.2%	6.4%	36.5%	9.8%	0.1%	-5.8%	-2.1M	70.3M	-1.3M	1.56	31.19	1,006	1,572	291,560	335,270
2012-09-05	$18.16	$18.00	13.5%	3.9%	5.9%	31.7%	13.5%	2.3%	-2.2%	-5.5M	90.4M	-1.1M	0.46	28.40	9,876	4,574	290,766	335,580
2012-09-06	$18.35	$18.00	10.4%	3.0%	7.1%	16.7%	12.0%	2.7%	-0.9%	-199.8K	30.7M	-1.1M	2.23	30.34	6,478	14,442	296,516	336,586
2012-09-07	$18.32	$18.00	12.2%	3.0%	6.9%	25.4%	9.9%	2.8%	2.2%	-1.0M	45.7M	-1.2M	0.06	85.29	100,192	5,984	298,082	332,690
2012-09-10	$18.29	$18.00	13.2%	3.0%	6.8%	30.1%	10.8%	3.2%	1.8%	6.2M	35.1M	-1.2M	1.85	37.92	1,900	3,514	386,166	334,894
2012-09-11	$18.23	$18.00	14.0%	3.3%	6.8%	34.0%	11.0%	3.0%	0.7%	2.4M	64.1M	-1.1M	3.10	37.08	6,214	19,278	387,148	335,738
2012-09-12	$18.14	$18.00	13.5%	3.2%	6.9%	32.4%	11.6%	2.6%	1.6%	-277.4K	86.3M	-1.1M	1.93	37.45	5,330	10,290	390,380	345,862
2012-09-13	$18.40	$18.00	9.8%	2.8%	8.7%	14.2%	10.6%	2.5%	1.8%	8.6M	23.5M	-1.1M	1.52	35.13	5,636	8,556	392,266	346,934
2012-09-14	$18.27	$18.00	10.3%	3.0%	9.0%	16.7%	10.3%	3.5%	1.5%	6.0M	39.7M	-1.1M	0.39	91.92	7,706	2,976	395,556	348,236
2012-09-17	$18.19	$18.00	11.4%	3.3%	9.1%	22.3%	12.0%	2.5%	1.0%	293.3K	71.1M	-1.0M	3.87	39.28	2,984	11,538	397,022	349,950
2012-09-18	$18.09	$18.00	10.4%	3.0%	9.2%	17.3%	10.3%	2.3%	2.0%	-5.9M	104.0M	-1.0M	0.40	36.37	11,692	4,692	397,860	357,806
2012-09-19	$18.13	$18.00	10.2%	2.9%	9.0%	16.2%	10.4%	2.1%	2.2%	-3.6M	98.7M	-1.0M	2.07	32.67	2,286	4,742	408,506	357,178
2012-09-20	$18.20	$18.00	6.8%	1.9%	9.1%	0.0%	7.2%	1.6%	6.9%	526.4K	34.6M	-985.0K	0.02	37.76	453,558	7,874	408,688	358,714
2012-09-21	$18.03	$18.00	8.8%	2.5%	9.0%	9.8%	8.7%	1.8%	2.9%	-30.4M	114.5M	-1.1M	0.81	94.79	33,362	26,894	371,022	361,512
2012-09-24	$18.21	$18.00	9.9%	2.8%	9.6%	15.3%	9.6%	1.8%	0.8%	3.8M	12.4M	-1.1M	0.12	27.58	68,536	7,954	292,538	273,832
2012-09-25	$18.20	$18.00	9.3%	2.7%	9.5%	12.4%	9.0%	1.2%	1.1%	10.5M	-2.2M	-1.1M	0.26	44.12	15,328	4,014	354,000	274,254
2012-09-26	$18.18	$18.00	10.2%	2.9%	9.5%	16.7%	9.6%	1.7%	0.7%	11.2M	-6.9M	-1.2M	1.02	18.57	4,668	4,766	353,134	275,500
2012-09-27	$18.11	$18.00	9.3%	2.7%	9.5%	12.5%	9.2%	1.7%	0.9%	5.9M	33.0M	-1.1M	2.52	39.81	3,990	10,060	353,068	277,580
2012-09-28	$18.20	$18.00	8.9%	2.6%	9.7%	10.5%	8.3%	1.6%	1.6%	7.8M	-3.0M	-1.1M	0.75	99.21	4,806	3,602	352,110	283,320