XLU Options History — February 2014

In February 2014, XLU traded between $19.20 and $20.29. ATM implied volatility averaged 14.0%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.8% (HV 20d: 11.2%). Max pain ranged from $18.50 to $18.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.92.

Notable Days

2014-02-04: Highest Volume — 110,936 contracts
2014-02-28: Largest IV spike — 163.2% change
2014-02-28: Highest IV Rank — 100.0%
2014-02-05: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.87	$19.20	$20.29	$19.39	$20.20
Max Pain	$18.50	$18.50	$18.50	$18.50	$18.50
ATM IV	14.0%	10.7%	33.7%	15.1%	33.7%
Expected Move	4.4%	4.2%	4.7%	4.6%	4.5%
HV 20d	11.2%	9.6%	12.4%	12.1%	9.6%
HV 60d	11.4%	11.2%	11.8%	11.8%	11.2%
IV Rank	36.0%	18.7%	100.0%	49.4%	100.0%
IV Percentile	53.8%	19.0%	100.0%	84.5%	100.0%
Term Structure	-1.8%	-36.3%	1.7%	0.5%	-36.3%
VWIV	16.5%	14.9%	19.5%	16.4%	17.2%
Skew 25d	2.0%	-4.3%	2.9%	2.9%	-4.3%
Skew 10d	4.7%	2.7%	6.9%	6.9%	2.7%
Call IV 25d	12.2%	9.7%	15.4%	14.3%	15.4%
Put IV 25d	14.2%	11.2%	17.5%	17.2%	11.2%
Bid-Ask Spread %	18.43	7.56	115.99	16.77	115.99
Gamma HHI	0.20	0.16	0.25	0.20	0.20
Net GEX	18.0M	8.3M	23.3M	15.4M	17.4M
Net DEX	-281.4M	-409.6M	-114.4M	-193.2M	-268.5M
Net VEX	-1.9M	-2.1M	-1.8M	-1.9M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.11	3.51	0.70	1.20
Total Volume	29,501.368	8,850	110,936	76,932	8,926
Total OI	636,975.684	580,542	677,802	625,438	616,986

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
2014-02-03	$19.39	$18.50	15.1%	4.6%	12.1%	49.4%	16.4%	2.9%	0.5%	15.4M	-193.2M	-1.9M	0.70	16.77	45,276	31,656	389,416	236,022
2014-02-04	$19.27	$18.50	15.6%	4.5%	12.4%	49.8%	19.5%	2.7%	-0.0%	12.9M	-157.3M	-2.0M	1.22	15.77	50,032	60,904	411,932	255,474
2014-02-05	$19.20	$18.50	15.7%	4.7%	12.2%	50.2%	18.8%	2.7%	1.3%	8.3M	-114.4M	-2.0M	0.73	13.35	7,648	5,580	393,136	247,224
2014-02-06	$19.34	$18.50	14.7%	4.4%	12.2%	44.0%	0.0%	2.3%	-0.8%	9.9M	-149.8M	-2.0M	1.26	22.00	3,914	4,936	391,896	248,840
2014-02-07	$19.44	$18.50	13.1%	4.6%	12.2%	34.0%	17.4%	1.9%	0.5%	12.9M	-193.0M	-1.9M	0.74	8.34	6,048	4,506	393,324	249,296
2014-02-10	$19.59	$18.50	13.0%	4.5%	11.4%	33.3%	15.8%	2.2%	0.8%	17.5M	-238.1M	-1.9M	0.35	15.59	16,284	5,758	388,112	239,164
2014-02-11	$19.77	$18.50	11.6%	4.3%	10.9%	24.5%	15.3%	2.1%	0.2%	20.5M	-286.0M	-1.9M	0.48	7.56	17,574	8,492	392,164	241,542
2014-02-12	$19.80	$18.50	11.3%	4.3%	10.9%	22.5%	14.9%	1.9%	0.0%	21.6M	-294.5M	-1.9M	0.63	10.54	8,816	5,582	398,478	241,666
2014-02-13	$19.96	$18.50	10.9%	4.4%	11.1%	20.0%	15.7%	1.8%	1.1%	21.7M	-356.0M	-1.8M	0.31	10.96	35,420	11,038	401,818	244,856
2014-02-14	$20.14	$18.50	10.7%	4.2%	11.1%	18.7%	15.7%	2.3%	1.7%	19.9M	-407.9M	-1.8M	0.36	16.99	22,694	8,202	417,822	253,222
2014-02-18	$20.21	$18.50	11.9%	4.3%	11.0%	26.4%	15.4%	1.7%	-0.9%	23.3M	-409.6M	-1.9M	0.98	11.44	13,198	12,990	421,654	242,508
2014-02-19	$20.05	$18.50	12.5%	4.3%	11.2%	28.9%	15.8%	2.2%	0.0%	20.5M	-379.0M	-1.9M	0.95	16.21	7,960	7,554	421,944	253,494
2014-02-20	$20.25	$18.50	13.4%	4.4%	11.5%	34.8%	16.5%	2.4%	-1.1%	18.4M	-403.1M	-1.8M	3.51	11.09	6,186	21,688	413,342	251,088
2014-02-21	$20.29	$18.50	12.3%	4.2%	11.4%	27.6%	15.5%	2.3%	0.4%	15.8M	-399.7M	-1.9M	0.11	14.51	46,232	5,242	412,918	264,884
2014-02-24	$20.23	$18.50	13.0%	4.3%	10.3%	32.0%	16.1%	2.7%	-0.4%	22.0M	-287.9M	-1.9M	1.27	11.30	7,582	9,634	375,156	205,386
2014-02-25	$20.20	$18.50	12.6%	4.3%	10.5%	29.4%	17.9%	2.8%	-0.3%	21.2M	-281.2M	-1.9M	0.60	7.93	5,886	3,526	378,632	211,016
2014-02-26	$20.14	$18.50	12.3%	4.3%	10.7%	27.7%	17.1%	2.9%	-0.2%	21.9M	-268.4M	-1.9M	1.25	11.59	7,142	8,908	382,150	213,218
2014-02-27	$20.11	$18.50	12.8%	4.3%	10.7%	30.9%	16.5%	2.7%	-0.4%	20.7M	-258.2M	-1.8M	0.80	12.18	15,288	12,224	383,518	219,240
2014-02-28	$20.20	$18.50	33.7%	4.5%	9.6%	100.0%	17.2%	-4.3%	-36.3%	17.4M	-268.5M	-2.1M	1.20	115.99	4,056	4,870	388,770	228,216