XLU Options History — January 2014

In January 2014, XLU traded between $18.64 and $19.55. ATM implied volatility averaged 12.2%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.6% (HV 20d: 11.6%). Max pain ranged from $18.50 to $19.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.85.

Notable Days

2014-01-06: Highest Volume — 59,618 contracts
2014-01-24: Largest IV spike — 34.3% change
2014-01-24: Highest IV Rank — 49.9%
2014-01-02: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.01	$18.64	$19.55	$18.66	$19.55
Max Pain	$18.52	$18.50	$19.00	$19.00	$18.50
ATM IV	12.2%	9.1%	15.2%	13.8%	12.9%
Expected Move	4.5%	4.3%	4.7%	4.7%	4.5%
HV 20d	11.6%	10.2%	13.2%	12.4%	11.6%
HV 60d	11.5%	11.1%	12.0%	12.0%	11.7%
IV Rank	32.8%	14.5%	49.9%	42.1%	36.7%
IV Percentile	45.3%	8.7%	85.3%	67.9%	56.0%
Term Structure	0.9%	-0.6%	8.9%	0.6%	-0.1%
VWIV	16.9%	14.4%	19.7%	15.8%	17.0%
Skew 25d	1.9%	-9.4%	3.6%	1.6%	2.4%
Skew 10d	4.9%	-10.7%	11.0%	2.4%	6.5%
Call IV 25d	11.8%	9.5%	18.9%	12.4%	12.2%
Put IV 25d	13.7%	9.4%	16.0%	14.0%	14.6%
Bid-Ask Spread %	19.93	13.47	31.45	18.09	19.17
Gamma HHI	0.21	0.16	0.25	0.16	0.21
Net GEX	2.7M	-11.0M	17.9M	-11.0M	17.9M
Net DEX	-34.6M	-234.1M	101.5M	82.5M	-234.1M
Net VEX	-1.8M	-1.9M	-1.7M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.13	1.88	1.19	0.64
Total Volume	27,588.476	6,752	59,618	42,386	42,280
Total OI	669,951.048	525,910	773,962	691,912	609,862

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
2014-01-02	$18.66	$19.00	13.8%	4.7%	12.4%	42.1%	15.8%	1.6%	0.6%	-11.0M	82.5M	-1.7M	1.19	18.09	19,338	23,048	401,592	290,320
2014-01-03	$18.64	$18.50	12.8%	4.6%	12.2%	36.3%	17.2%	2.2%	0.3%	-7.9M	101.5M	-1.7M	1.05	18.95	19,068	20,058	412,708	300,714
2014-01-06	$18.66	$18.50	13.1%	4.6%	11.7%	38.2%	17.4%	2.3%	1.0%	-7.5M	85.9M	-1.8M	0.59	18.74	37,534	22,084	419,682	303,160
2014-01-07	$18.83	$18.50	12.0%	4.5%	10.6%	31.8%	17.2%	2.1%	-0.3%	-2.3M	46.7M	-1.8M	0.40	13.47	29,550	11,676	421,802	323,498
2014-01-08	$18.73	$18.50	12.2%	4.6%	10.6%	32.8%	17.2%	2.2%	0.7%	-6.8M	70.4M	-1.8M	1.87	19.26	6,236	11,638	427,396	326,412
2014-01-09	$18.84	$18.50	11.7%	4.4%	10.2%	29.7%	14.4%	2.2%	-0.6%	-1.9M	33.4M	-1.8M	0.28	14.34	45,066	12,580	430,324	330,266
2014-01-10	$19.11	$18.50	11.3%	4.5%	11.0%	27.3%	18.5%	1.2%	-0.0%	10.8M	-65.1M	-1.9M	0.80	18.02	16,002	12,828	437,306	334,702
2014-01-13	$18.91	$18.50	11.7%	4.4%	11.7%	29.7%	16.8%	2.2%	0.1%	-385.3K	13.8M	-1.8M	1.23	31.45	7,110	8,760	438,672	335,290
2014-01-14	$18.94	$18.50	11.6%	4.5%	11.7%	29.1%	18.2%	2.5%	0.1%	220.6K	3.6M	-1.8M	0.77	19.40	5,972	4,620	436,602	336,136
2014-01-15	$18.91	$18.50	11.3%	4.5%	11.6%	27.6%	0.0%	2.4%	-0.0%	1.6M	22.7M	-1.7M	0.53	27.40	7,348	3,916	437,112	330,646
2014-01-16	$19.05	$18.50	11.5%	4.5%	11.9%	28.5%	16.4%	2.4%	-0.1%	9.9M	-44.5M	-1.8M	0.47	19.78	7,112	3,316	436,248	330,234
2014-01-17	$19.02	$18.50	9.1%	4.5%	11.1%	14.5%	14.4%	-9.4%	2.8%	7.1M	-39.5M	-1.7M	0.23	15.24	24,386	5,656	437,316	332,212
2014-01-21	$19.24	$18.50	11.0%	4.5%	11.6%	25.8%	16.7%	2.6%	2.7%	7.0M	-109.2M	-1.8M	1.05	19.25	6,724	7,064	322,880	203,030
2014-01-22	$19.26	$18.50	9.5%	4.3%	11.5%	16.7%	17.0%	2.7%	1.8%	7.7M	-125.1M	-1.8M	0.13	17.59	17,468	2,288	327,668	204,816
2014-01-23	$19.20	$18.50	11.3%	4.4%	11.5%	27.3%	17.5%	2.8%	-0.2%	6.9M	-116.3M	-1.7M	1.88	19.41	6,080	11,436	330,980	206,006
2014-01-24	$18.99	$18.50	15.2%	4.5%	12.2%	49.9%	16.3%	2.9%	8.9%	3.0M	-67.0M	-1.8M	0.99	20.57	26,178	25,832	333,742	211,462
2014-01-27	$19.02	$18.50	13.8%	4.5%	12.1%	42.0%	15.5%	3.0%	0.9%	3.4M	-61.3M	-1.8M	1.53	25.98	4,442	6,812	346,372	224,520
2014-01-28	$19.11	$18.50	13.7%	4.5%	12.1%	41.2%	19.4%	2.6%	0.6%	4.2M	-84.2M	-1.8M	0.25	22.00	9,814	2,442	347,776	226,100
2014-01-29	$19.09	$18.50	14.4%	4.6%	12.1%	45.6%	19.7%	2.9%	0.4%	4.2M	-81.6M	-1.8M	1.48	23.38	2,724	4,028	353,348	227,560
2014-01-30	$19.39	$18.50	12.7%	4.4%	13.2%	35.5%	16.2%	3.6%	0.2%	9.7M	-159.2M	-1.8M	0.43	17.12	27,254	11,590	353,770	228,730
2014-01-31	$19.55	$18.50	12.9%	4.5%	11.6%	36.7%	17.0%	2.4%	-0.1%	17.9M	-234.1M	-1.9M	0.64	19.17	25,760	16,520	374,398	235,464