XLU Options History — January 2013

In January 2013, XLU traded between $17.60 and $18.29. ATM implied volatility averaged 9.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 4.5% (HV 20d: 13.9%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.72.

Notable Days

2013-01-09: Highest Volume — 108,528 contracts
2013-01-31: Largest IV drop — 24.1% change
2013-01-02: Highest IV Rank — 23.1%
2013-01-02: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.87	$17.60	$18.29	$17.78	$18.29
Max Pain	$17.67	$17.50	$18.00	$18.00	$18.00
ATM IV	9.4%	7.2%	11.1%	11.1%	7.2%
Expected Move	2.7%	2.1%	3.2%	3.2%	2.1%
HV 20d	13.9%	7.4%	15.7%	15.7%	7.4%
HV 60d	13.1%	12.5%	13.3%	13.1%	12.5%
IV Rank	14.0%	2.2%	23.1%	23.1%	2.2%
IV Percentile	21.6%	1.2%	46.0%	46.0%	1.2%
Term Structure	1.3%	0.2%	3.6%	0.3%	1.1%
VWIV	9.5%	7.7%	12.0%	12.0%	8.8%
Skew 25d	2.3%	1.6%	4.1%	2.2%	1.8%
Skew 10d	5.1%	3.2%	7.7%	4.9%	3.4%
Call IV 25d	8.5%	5.9%	11.2%	11.2%	7.7%
Put IV 25d	10.8%	8.7%	13.5%	13.5%	9.6%
Bid-Ask Spread %	58.39	27.14	108.75	29.83	61.61
Gamma HHI	0.28	0.22	0.38	0.22	0.23
Net GEX	4.7M	-9.9M	17.6M	761.9K	11.9M
Net DEX	6.2M	-124.3M	122.1M	65.5M	-124.3M
Net VEX	-1.2M	-1.5M	-727.1K	-801.4K	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.02	8.27	0.29	0.27
Total Volume	24,706.857	3,750	108,528	27,490	7,584
Total OI	622,089.048	405,906	798,318	635,320	495,282

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
2013-01-02	$17.78	$18.00	11.1%	3.2%	15.7%	23.1%	12.0%	2.2%	0.3%	761.9K	65.5M	-801.4K	0.29	29.83	21,366	6,124	298,068	337,252
2013-01-03	$17.79	$18.00	9.7%	2.8%	15.5%	15.7%	11.4%	1.7%	0.8%	1.6M	57.5M	-794.7K	1.62	27.14	14,516	23,556	310,158	338,154
2013-01-04	$17.86	$17.50	9.1%	2.5%	14.6%	12.6%	10.6%	2.7%	1.7%	6.2M	33.5M	-805.7K	2.82	95.83	7,758	21,844	306,728	348,952
2013-01-07	$17.68	$17.50	10.2%	3.1%	15.1%	18.4%	10.3%	2.7%	1.6%	-5.8M	103.4M	-744.9K	1.90	51.87	5,412	10,286	309,948	359,120
2013-01-08	$17.64	$17.50	9.8%	3.0%	15.1%	16.1%	9.6%	2.5%	2.3%	-9.1M	122.1M	-727.1K	0.34	40.53	11,978	4,018	312,764	365,046
2013-01-09	$17.60	$17.50	9.7%	3.0%	15.1%	15.8%	9.2%	2.5%	1.0%	-9.9M	119.0M	-730.9K	0.02	38.33	106,158	2,370	320,722	364,492
2013-01-10	$17.68	$17.50	10.4%	3.0%	15.2%	19.3%	9.6%	2.3%	1.2%	-933.6K	62.7M	-1.4M	2.79	36.91	3,946	11,024	425,458	365,100
2013-01-11	$17.69	$17.50	10.3%	2.9%	15.1%	18.8%	10.1%	2.0%	0.9%	760.4K	55.3M	-1.4M	4.92	99.17	1,158	5,698	427,856	361,986
2013-01-14	$17.63	$17.50	10.3%	3.0%	15.1%	19.0%	9.3%	2.4%	0.3%	-3.4M	71.0M	-1.4M	1.96	44.93	1,426	2,796	427,442	366,848
2013-01-15	$17.73	$17.50	10.2%	2.9%	15.2%	18.4%	9.4%	2.1%	1.7%	1.9M	56.6M	-1.4M	0.52	53.05	14,076	7,372	427,112	367,060
2013-01-16	$17.64	$17.50	10.3%	3.0%	14.3%	19.1%	10.2%	2.3%	1.2%	-6.7M	76.2M	-1.3M	2.35	50.22	1,118	2,632	432,546	365,772
2013-01-17	$17.70	$17.50	10.2%	2.9%	14.2%	18.0%	9.8%	2.3%	1.5%	-1.4M	58.3M	-1.3M	0.32	50.43	2,950	958	431,062	364,418
2013-01-18	$17.86	$17.50	8.5%	2.4%	14.5%	9.4%	8.1%	3.3%	1.8%	17.6M	10.4M	-1.4M	0.09	108.75	24,544	2,160	431,880	364,782
2013-01-22	$17.98	$17.50	8.5%	2.4%	14.7%	9.4%	8.8%	1.8%	1.0%	14.4M	-81.4M	-1.4M	1.69	46.02	8,656	14,622	254,342	151,564
2013-01-23	$17.95	$17.50	7.8%	2.3%	13.8%	5.7%	7.8%	1.6%	1.4%	14.4M	-70.2M	-1.4M	0.20	54.48	11,414	2,230	258,594	155,768
2013-01-24	$18.02	$17.50	8.1%	2.3%	13.7%	7.2%	8.8%	1.9%	1.0%	13.8M	-86.4M	-1.4M	1.17	61.26	11,614	13,616	252,550	157,146
2013-01-25	$18.11	$18.00	7.7%	2.2%	13.2%	4.8%	7.7%	1.7%	1.4%	15.7M	-96.8M	-1.4M	0.88	51.15	12,188	10,724	261,964	167,492
2013-01-28	$18.13	$18.00	8.4%	2.4%	13.1%	8.8%	8.4%	4.1%	3.6%	10.8M	-70.5M	-1.3M	0.96	61.08	20,654	19,746	256,310	175,638
2013-01-29	$18.23	$18.00	10.0%	2.9%	11.3%	17.2%	9.8%	3.1%	0.2%	12.3M	-111.2M	-1.4M	2.84	57.34	9,720	27,574	274,758	190,916
2013-01-30	$18.25	$18.00	9.5%	2.7%	9.6%	14.5%	9.4%	1.8%	1.5%	13.1M	-121.1M	-1.5M	8.27	106.21	3,372	27,886	276,754	204,066
2013-01-31	$18.29	$18.00	7.2%	2.1%	7.4%	2.2%	8.8%	1.8%	1.1%	11.9M	-124.3M	-1.5M	0.27	61.61	5,984	1,600	277,440	217,842