XLU Options History — February 2013

In February 2013, XLU traded between $18.21 and $18.71. ATM implied volatility averaged 10.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.3% (HV 20d: 6.9%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.40.

Notable Days

2013-02-05: Highest Volume — 46,356 contracts
2013-02-04: Largest IV spike — 54.8% change
2013-02-25: Highest IV Rank — 34.6%
2013-02-25: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.43	$18.21	$18.71	$18.34	$18.71
Max Pain	$18.00	$18.00	$18.00	$18.00	$18.00
ATM IV	10.2%	6.6%	13.1%	6.6%	12.4%
Expected Move	3.0%	2.1%	3.8%	2.1%	3.6%
HV 20d	6.9%	5.9%	8.4%	7.4%	8.4%
HV 60d	11.2%	10.9%	12.2%	12.1%	11.0%
IV Rank	19.0%	0.0%	34.6%	0.0%	30.8%
IV Percentile	39.0%	0.0%	80.6%	0.0%	72.2%
Term Structure	-0.6%	-6.7%	1.3%	1.3%	-2.3%
VWIV	11.8%	9.0%	14.8%	9.2%	12.7%
Skew 25d	3.1%	-1.9%	4.2%	3.7%	3.3%
Skew 10d	7.1%	5.5%	8.1%	7.5%	6.7%
Call IV 25d	9.7%	8.3%	13.5%	8.3%	9.7%
Put IV 25d	12.8%	11.6%	15.8%	12.0%	12.9%
Bid-Ask Spread %	40.58	26.71	97.64	89.95	35.45
Gamma HHI	0.32	0.23	0.44	0.23	0.44
Net GEX	18.1M	10.6M	27.4M	13.5M	27.4M
Net DEX	-157.2M	-219.2M	-108.3M	-141.9M	-219.2M
Net VEX	-1.5M	-1.6M	-1.5M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.40	0.03	15.25	0.17	1.01
Total Volume	13,924.105	3,586	46,356	13,980	16,774
Total OI	510,779.158	490,342	546,908	490,342	509,100

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
2013-02-01	$18.34	$18.00	6.6%	2.1%	7.4%	0.0%	9.2%	3.7%	1.3%	13.5M	-141.9M	-1.5M	0.17	89.95	11,912	2,068	278,936	211,406
2013-02-04	$18.21	$18.00	10.2%	3.2%	7.9%	19.3%	11.3%	3.5%	-0.3%	13.7M	-122.0M	-1.5M	0.22	33.00	5,262	1,174	288,200	213,018
2013-02-05	$18.27	$18.00	7.6%	2.3%	6.6%	5.2%	13.2%	3.8%	1.1%	13.9M	-131.8M	-1.5M	15.25	32.44	2,852	43,504	288,606	213,796
2013-02-06	$18.32	$18.00	8.3%	2.8%	6.5%	9.1%	11.1%	3.6%	0.8%	10.6M	-131.0M	-1.6M	0.93	29.07	6,162	5,718	290,916	255,992
2013-02-07	$18.34	$18.00	10.1%	2.9%	6.3%	18.5%	11.2%	3.3%	0.4%	15.6M	-149.2M	-1.5M	0.26	32.78	12,000	3,074	294,244	214,134
2013-02-08	$18.34	$18.00	9.8%	2.8%	6.3%	17.1%	10.5%	3.5%	0.9%	16.6M	-155.8M	-1.5M	2.46	32.20	3,468	8,532	300,176	215,176
2013-02-11	$18.39	$18.00	10.1%	2.9%	6.2%	18.4%	10.3%	3.4%	0.5%	16.8M	-157.7M	-1.5M	1.93	30.80	1,224	2,362	293,766	221,644
2013-02-12	$18.47	$18.00	10.2%	2.9%	6.0%	19.1%	10.0%	3.1%	0.0%	16.9M	-186.2M	-1.6M	0.03	32.83	12,178	364	293,444	223,470
2013-02-13	$18.47	$18.00	9.7%	2.8%	5.9%	16.5%	12.0%	3.3%	0.3%	18.9M	-201.3M	-1.5M	0.49	38.22	9,392	4,578	301,558	223,710
2013-02-14	$18.32	$18.00	10.1%	2.9%	6.5%	18.7%	11.1%	3.3%	-0.1%	15.7M	-147.8M	-1.5M	3.28	26.71	1,984	6,498	306,732	225,342
2013-02-15	$18.36	$18.00	7.7%	2.2%	6.4%	5.8%	9.0%	3.7%	1.1%	16.1M	-165.9M	-1.5M	0.08	97.64	34,828	2,652	306,424	230,080
2013-02-19	$18.52	$18.00	9.8%	2.8%	6.4%	17.0%	11.6%	3.1%	-0.5%	24.2M	-169.0M	-1.5M	0.82	35.91	2,896	2,378	288,824	203,382
2013-02-20	$18.48	$18.00	10.2%	2.9%	6.3%	19.4%	12.8%	2.9%	-0.9%	23.1M	-161.2M	-1.6M	2.31	33.70	2,328	5,378	290,334	204,172
2013-02-21	$18.45	$18.00	11.6%	3.3%	6.3%	26.7%	12.6%	3.0%	-1.8%	16.4M	-108.3M	-1.5M	5.47	42.48	970	5,308	290,782	203,476
2013-02-22	$18.62	$18.00	11.8%	3.4%	6.8%	27.7%	13.7%	2.7%	-2.1%	23.7M	-176.6M	-1.5M	4.28	55.58	1,544	6,610	291,400	207,682
2013-02-25	$18.43	$18.00	13.1%	3.8%	8.0%	34.6%	14.1%	4.2%	-2.1%	17.9M	-141.6M	-1.5M	0.97	30.01	6,444	6,252	291,896	210,362
2013-02-26	$18.48	$18.00	11.8%	3.4%	8.0%	27.5%	12.1%	3.4%	-1.1%	21.3M	-152.7M	-1.5M	0.83	29.16	7,624	6,300	295,568	215,362
2013-02-27	$18.65	$18.00	12.3%	3.5%	8.4%	30.3%	14.8%	-1.9%	-6.7%	21.7M	-167.2M	-1.5M	4.80	33.16	2,062	9,904	293,904	217,790
2013-02-28	$18.71	$18.00	12.4%	3.6%	8.4%	30.8%	12.7%	3.3%	-2.3%	27.4M	-219.2M	-1.5M	1.01	35.45	8,350	8,424	294,706	214,394