XLU Options History — September 2013

In September 2013, XLU traded between $18.36 and $19.30. ATM implied volatility averaged 14.3%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.7% (HV 20d: 13.6%). Max pain ranged from $17.00 to $20.50. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.35.

Notable Days

2013-09-18: Highest Volume — 233,724 contracts
2013-09-16: Largest IV spike — 21.0% change
2013-09-03: Highest IV Rank — 75.5%
2013-09-03: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.72	$18.36	$19.30	$18.43	$18.68
Max Pain	$18.74	$17.00	$20.50	$18.50	$20.00
ATM IV	14.3%	12.5%	15.8%	15.8%	14.9%
Expected Move	4.1%	3.4%	4.5%	4.5%	4.3%
HV 20d	13.6%	10.9%	16.8%	11.3%	16.8%
HV 60d	14.1%	12.4%	14.8%	14.8%	14.0%
IV Rank	63.5%	48.7%	75.5%	75.5%	68.5%
IV Percentile	79.5%	61.1%	92.5%	92.5%	85.7%
Term Structure	-0.2%	-1.2%	0.8%	-0.6%	0.3%
VWIV	15.2%	13.7%	17.2%	15.7%	15.3%
Skew 25d	2.1%	-9.9%	4.3%	4.3%	3.1%
Skew 10d	4.8%	-9.4%	9.8%	9.8%	4.5%
Call IV 25d	14.5%	12.9%	28.2%	14.3%	14.1%
Put IV 25d	16.6%	14.1%	18.6%	18.6%	17.2%
Bid-Ask Spread %	36.69	6.93	110.05	39.48	52.93
Gamma HHI	0.22	0.17	0.27	0.22	0.18
Net GEX	-9.0M	-36.1M	48.4M	-31.1M	-941.0K
Net DEX	237.5M	-294.3M	516.8M	507.8M	145.4M
Net VEX	-3.3M	-3.8M	-2.9M	-2.9M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.10	6.82	1.14	1.27
Total Volume	74,914.7	10,624	233,724	35,052	14,152
Total OI	1,364,853.3	1,151,536	1,663,890	1,290,686	1,151,536

Daily Data (20 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
2013-09-03	$18.43	$18.50	15.8%	4.5%	11.3%	75.5%	15.7%	4.3%	-0.6%	-31.1M	507.8M	-2.9M	1.14	39.48	16,342	18,710	629,062	661,624
2013-09-04	$18.43	$19.00	15.3%	4.4%	11.3%	71.9%	16.6%	4.2%	-0.0%	-29.9M	483.3M	-3.0M	1.40	36.29	24,860	34,744	633,404	666,424
2013-09-05	$18.36	$19.00	15.1%	4.3%	10.9%	69.7%	16.4%	4.2%	-0.1%	-31.1M	516.8M	-2.9M	6.82	29.34	8,604	58,646	647,790	665,656
2013-09-06	$18.52	$19.00	14.1%	4.1%	11.5%	62.1%	15.5%	3.0%	-0.5%	-32.3M	500.8M	-3.0M	3.30	97.19	13,414	44,276	650,730	695,418
2013-09-09	$18.55	$19.00	15.2%	4.4%	11.5%	70.6%	15.2%	3.3%	-0.8%	-35.3M	449.9M	-3.1M	1.51	10.91	7,678	11,576	650,838	708,928
2013-09-10	$18.70	$18.50	14.6%	4.2%	12.0%	66.2%	15.0%	3.0%	-1.2%	-32.9M	372.9M	-3.1M	1.37	11.88	45,550	62,556	654,770	699,708
2013-09-11	$18.50	$18.50	14.3%	4.1%	12.4%	63.7%	17.2%	3.6%	-0.6%	-36.1M	486.0M	-3.2M	0.20	14.56	45,386	9,240	695,130	749,004
2013-09-12	$18.52	$0.00	14.1%	4.1%	12.3%	61.4%	14.1%	3.6%	-0.4%	-22.5M	493.6M	-3.1M	0.10	6.93	40,352	4,182	725,324	753,370
2013-09-13	$18.61	$17.00	12.5%	3.4%	11.9%	48.7%	14.7%	-9.9%	-1.0%	-31.4M	421.6M	-3.1M	0.37	110.05	8,040	2,938	732,478	755,556
2013-09-16	$18.66	$18.50	15.2%	4.3%	11.2%	70.3%	14.5%	2.2%	0.8%	-25.5M	351.6M	-3.2M	0.39	13.30	149,354	58,902	722,396	749,400
2013-09-17	$18.77	$18.50	15.0%	4.3%	11.0%	69.5%	15.1%	1.9%	0.1%	2.0M	232.3M	-3.5M	0.14	12.79	68,516	9,814	841,598	739,196
2013-09-18	$19.30	$18.50	13.6%	3.9%	14.5%	57.2%	14.1%	1.4%	0.7%	39.0M	-294.3M	-3.8M	0.56	18.54	150,136	83,588	896,052	741,894
2013-09-19	$19.25	$18.50	12.7%	3.6%	13.7%	50.3%	13.7%	0.9%	0.3%	48.4M	-270.3M	-3.7M	0.70	19.98	136,662	96,016	902,426	761,464
2013-09-20	$18.77	$19.00	13.9%	4.0%	16.6%	59.8%	14.2%	1.6%	0.1%	6.7M	228.0M	-3.5M	0.99	81.99	42,608	42,314	781,340	754,516
2013-09-23	$18.99	$20.50	14.2%	4.1%	16.8%	62.8%	16.4%	2.2%	-0.3%	16.1M	-72.0M	-3.6M	0.26	20.69	54,556	14,130	660,702	510,964
2013-09-24	$18.98	$18.50	14.1%	4.1%	16.6%	61.7%	14.2%	2.1%	-0.1%	8.1M	-35.3M	-3.5M	0.88	21.36	5,652	4,972	644,266	525,012
2013-09-25	$18.85	$18.50	13.8%	3.9%	16.8%	58.8%	14.4%	2.1%	-0.0%	4.2M	46.9M	-3.4M	0.18	32.32	33,938	5,988	646,384	526,840
2013-09-26	$18.85	$18.50	13.6%	3.9%	16.7%	57.8%	13.9%	1.9%	0.1%	7.4M	37.1M	-3.4M	0.60	12.65	26,170	15,728	664,234	529,240
2013-09-27	$18.70	$18.50	14.3%	4.1%	16.8%	63.1%	16.8%	2.6%	-0.1%	-2.0M	148.1M	-3.3M	4.84	90.57	4,798	23,206	640,058	532,334
2013-09-30	$18.68	$20.00	14.9%	4.3%	16.8%	68.5%	15.3%	3.1%	0.3%	-941.0K	145.4M	-3.2M	1.27	52.93	6,234	7,918	628,792	522,744