XLU Options History — October 2013

In October 2013, XLU traded between $18.50 and $19.60. ATM implied volatility averaged 14.4%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.2% (HV 20d: 14.7%). Max pain ranged from $18.50 to $20.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.14.

Notable Days

2013-10-22: Highest Volume — 239,526 contracts
2013-10-23: Largest IV spike — 32.1% change
2013-10-11: Highest IV Rank — 94.8%
2013-10-11: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.05	$18.50	$19.60	$18.74	$19.37
Max Pain	$19.20	$18.50	$20.00	$20.00	$19.25
ATM IV	14.4%	10.5%	18.1%	14.5%	10.5%
Expected Move	4.2%	2.9%	5.6%	4.1%	2.9%
HV 20d	14.7%	12.0%	17.5%	16.3%	12.3%
HV 60d	13.6%	13.0%	13.9%	13.8%	13.8%
IV Rank	64.5%	32.5%	94.8%	64.7%	32.5%
IV Percentile	73.6%	28.2%	99.2%	79.4%	28.2%
Term Structure	-0.6%	-14.9%	2.5%	0.6%	-14.9%
VWIV	14.5%	11.6%	17.9%	15.1%	11.6%
Skew 25d	3.7%	-0.3%	13.8%	2.9%	10.3%
Skew 10d	6.6%	-11.3%	11.0%	7.8%	5.3%
Call IV 25d	12.9%	6.7%	15.9%	13.7%	6.7%
Put IV 25d	16.6%	13.5%	26.4%	16.6%	17.1%
Bid-Ask Spread %	60.07	5.93	135.66	57.87	91.79
Gamma HHI	0.22	0.15	0.32	0.19	0.32
Net GEX	10.2M	-14.3M	36.8M	-6.0M	35.3M
Net DEX	-88.6M	-464.4M	256.1M	137.6M	-283.7M
Net VEX	-3.3M	-3.6M	-2.9M	-3.2M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.13	7.05	1.18	0.16
Total Volume	50,058.609	6,116	239,526	7,988	103,958
Total OI	1,241,313.739	1,133,036	1,389,446	1,149,290	1,332,048

Daily Data (23 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
2013-10-01	$18.74	$20.00	14.5%	4.1%	16.3%	64.7%	15.1%	2.9%	0.6%	-6.0M	137.6M	-3.2M	1.18	57.87	3,664	4,324	613,602	535,688
2013-10-02	$18.75	$20.00	14.4%	4.1%	16.3%	64.1%	17.5%	2.7%	0.5%	-5.6M	130.4M	-3.1M	0.81	28.73	12,498	10,092	613,300	535,718
2013-10-03	$18.54	$20.00	15.6%	4.5%	16.7%	73.8%	16.2%	3.2%	-0.3%	-11.4M	234.5M	-3.1M	1.12	39.35	6,458	7,246	624,404	543,178
2013-10-04	$18.57	$20.00	15.2%	4.4%	16.4%	70.7%	0.0%	3.1%	-0.1%	-11.5M	225.7M	-3.0M	1.97	85.09	2,060	4,056	627,908	546,606
2013-10-07	$18.50	$20.00	16.1%	4.6%	16.5%	78.2%	17.9%	4.0%	-0.3%	-14.3M	256.1M	-2.9M	1.31	52.84	4,170	5,470	625,380	540,826
2013-10-08	$18.61	$20.00	17.3%	5.0%	16.4%	88.2%	16.6%	3.9%	-0.8%	-10.5M	190.1M	-3.0M	0.59	59.22	48,136	28,446	626,290	544,362
2013-10-09	$18.69	$19.00	17.0%	4.9%	16.0%	85.7%	17.3%	3.8%	-0.1%	-8.9M	159.9M	-3.2M	0.63	39.88	25,334	15,922	649,668	568,628
2013-10-10	$18.95	$0.00	14.7%	4.2%	16.7%	66.7%	15.6%	3.4%	-0.1%	4.9M	-12.7M	-3.4M	0.41	5.93	16,550	6,820	646,100	570,188
2013-10-11	$19.06	$18.75	18.1%	5.6%	16.7%	94.8%	13.2%	13.8%	-10.2%	9.1M	-64.3M	-3.3M	7.05	135.66	5,092	35,878	655,186	573,546
2013-10-14	$18.94	$18.50	14.5%	4.1%	16.9%	64.8%	16.1%	3.9%	0.9%	5.2M	4.3M	-3.3M	0.85	20.53	14,016	11,984	652,612	584,764
2013-10-15	$18.69	$18.50	15.8%	4.5%	17.5%	75.9%	15.2%	4.2%	0.6%	-12.3M	183.1M	-3.1M	1.22	26.69	5,276	6,432	660,914	591,836
2013-10-16	$18.86	$18.50	13.5%	3.8%	14.4%	57.1%	14.7%	3.2%	1.1%	3.6M	71.0M	-3.1M	0.91	73.82	72,812	66,504	662,592	589,902
2013-10-17	$19.16	$18.50	13.6%	3.9%	15.6%	57.2%	16.3%	3.3%	-0.5%	10.2M	-175.9M	-3.3M	1.56	51.13	49,974	77,744	683,728	637,360
2013-10-18	$19.21	$18.50	12.9%	3.7%	12.6%	52.0%	12.5%	2.8%	-0.3%	13.4M	-229.5M	-3.4M	0.60	96.31	9,436	5,634	709,034	680,412
2013-10-21	$19.18	$19.00	12.4%	3.5%	12.0%	47.6%	12.5%	3.2%	2.5%	14.2M	-160.5M	-3.2M	0.71	43.04	15,340	10,888	620,356	512,680
2013-10-22	$19.43	$19.00	12.4%	3.6%	12.7%	47.8%	12.6%	2.3%	1.5%	17.6M	-285.9M	-3.3M	0.34	53.24	178,242	61,284	629,778	518,522
2013-10-23	$19.43	$19.00	16.4%	4.7%	12.4%	80.5%	13.8%	2.3%	0.5%	36.8M	-408.3M	-3.5M	0.89	90.83	20,174	17,980	750,794	567,648
2013-10-24	$19.37	$19.00	12.9%	3.7%	12.5%	52.0%	13.4%	2.2%	-0.1%	25.5M	-292.6M	-3.4M	1.59	59.40	4,562	7,250	699,546	577,968
2013-10-25	$19.60	$19.00	16.7%	5.3%	12.5%	83.1%	12.5%	-0.3%	0.0%	31.1M	-431.2M	-3.3M	0.13	113.14	71,388	9,580	696,268	582,194
2013-10-28	$19.55	$19.50	12.6%	3.6%	12.6%	49.3%	13.4%	2.1%	1.6%	34.3M	-451.0M	-3.5M	0.65	41.86	15,876	10,374	743,154	568,990
2013-10-29	$19.59	$19.25	12.5%	3.6%	12.6%	48.6%	12.9%	2.3%	1.6%	36.5M	-464.4M	-3.5M	1.29	42.36	13,894	17,970	748,632	573,958
2013-10-30	$19.46	$19.25	12.5%	3.6%	13.0%	48.8%	11.9%	2.4%	1.9%	36.8M	-369.4M	-3.6M	0.31	72.89	23,366	7,194	751,522	582,426
2013-10-31	$19.37	$19.25	10.5%	2.9%	12.3%	32.5%	11.6%	10.3%	-14.9%	35.3M	-283.7M	-3.5M	0.16	91.79	89,360	14,598	749,100	582,948