XLU Options History — March 2014

In March 2014, XLU traded between $19.86 and $20.73. ATM implied volatility averaged 11.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.1% (HV 20d: 10.5%). Max pain ranged from $18.50 to $18.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

2014-03-20: Highest Volume — 137,562 contracts
2014-03-20: Largest IV drop — 20.0% change
2014-03-03: Highest IV Rank — 21.3%
2014-03-17: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.27	$19.86	$20.73	$20.02	$20.73
Max Pain	$18.50	$18.50	$18.50	$18.50	$18.50
ATM IV	11.7%	9.5%	13.4%	13.4%	11.2%
Expected Move	4.3%	4.2%	4.4%	4.3%	4.3%
HV 20d	10.5%	9.5%	11.6%	10.1%	11.3%
HV 60d	11.1%	10.5%	11.5%	11.4%	10.8%
IV Rank	14.1%	5.7%	21.3%	21.3%	11.0%
IV Percentile	28.6%	4.4%	60.3%	60.3%	18.3%
Term Structure	-0.0%	-1.5%	0.9%	-0.3%	0.3%
VWIV	15.9%	13.9%	17.8%	14.2%	14.8%
Skew 25d	2.6%	1.6%	3.4%	3.3%	2.2%
Skew 10d	5.8%	3.5%	10.0%	9.1%	4.2%
Call IV 25d	10.8%	9.8%	11.9%	11.9%	10.6%
Put IV 25d	13.4%	11.8%	15.2%	15.2%	12.7%
Bid-Ask Spread %	9.87	5.78	16.20	16.20	6.50
Gamma HHI	0.21	0.14	0.30	0.23	0.16
Net GEX	18.3M	7.1M	22.8M	19.6M	22.8M
Net DEX	-246.6M	-351.3M	-159.0M	-229.6M	-335.0M
Net VEX	-1.9M	-2.0M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.18	8.59	2.27	8.59
Total Volume	34,744.19	6,194	137,562	34,566	76,606
Total OI	621,749.524	545,764	694,108	601,958	556,940

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
2014-03-03	$20.02	$18.50	13.4%	4.3%	10.1%	21.3%	14.2%	3.3%	-0.3%	19.6M	-229.6M	-1.9M	2.27	16.20	10,572	23,994	377,982	223,976
2014-03-04	$20.18	$18.50	12.0%	4.3%	9.8%	15.9%	17.2%	3.3%	0.0%	20.8M	-258.6M	-1.9M	0.71	11.52	3,910	2,772	376,166	232,690
2014-03-05	$20.05	$18.50	12.9%	4.3%	9.8%	19.2%	17.8%	3.0%	-0.0%	19.1M	-223.4M	-1.9M	0.33	10.24	22,574	7,476	377,586	233,462
2014-03-06	$19.96	$18.50	12.7%	4.3%	9.8%	18.4%	15.5%	3.1%	-0.1%	14.8M	-180.5M	-1.8M	0.53	8.83	11,794	6,304	368,554	236,486
2014-03-07	$20.00	$18.50	12.2%	4.3%	9.6%	16.3%	15.0%	3.4%	-0.6%	17.9M	-192.8M	-1.8M	0.86	8.59	35,914	30,990	369,914	238,704
2014-03-10	$19.95	$18.50	12.1%	4.3%	9.6%	16.1%	17.4%	3.3%	-0.6%	19.2M	-193.2M	-1.9M	0.74	8.62	3,558	2,636	389,596	258,682
2014-03-11	$19.86	$18.50	12.4%	4.3%	9.5%	17.0%	13.9%	3.2%	-1.5%	18.3M	-176.1M	-1.9M	1.16	6.41	5,174	5,994	390,936	260,364
2014-03-12	$20.14	$18.50	10.8%	4.2%	10.2%	10.9%	16.2%	2.8%	0.8%	22.4M	-255.3M	-1.9M	0.18	14.79	15,422	2,758	390,826	262,270
2014-03-13	$20.35	$18.50	12.4%	4.3%	10.8%	17.1%	14.5%	2.8%	-1.0%	20.5M	-312.6M	-1.9M	0.98	8.36	35,098	34,498	389,782	259,882
2014-03-14	$20.45	$18.50	12.5%	4.3%	10.5%	17.5%	17.2%	3.0%	-0.3%	15.8M	-312.3M	-2.0M	0.67	8.42	24,084	16,050	391,022	287,310
2014-03-17	$20.57	$18.50	12.0%	4.4%	10.3%	15.7%	14.7%	2.8%	0.2%	19.0M	-343.1M	-1.9M	0.34	12.72	18,590	6,398	396,148	287,830
2014-03-18	$20.55	$18.50	11.7%	4.3%	10.2%	14.2%	15.8%	2.7%	0.1%	20.6M	-351.3M	-2.0M	0.72	7.28	10,146	7,280	399,580	290,922
2014-03-19	$20.21	$18.50	11.8%	4.3%	11.6%	14.9%	17.8%	3.0%	-0.3%	18.7M	-230.1M	-1.9M	2.18	9.98	19,574	42,760	400,236	293,872
2014-03-20	$20.30	$18.50	9.5%	4.2%	11.1%	5.7%	16.6%	1.6%	0.9%	12.3M	-288.2M	-1.7M	0.32	10.80	104,056	33,506	389,976	298,742
2014-03-21	$20.28	$18.50	10.6%	4.2%	11.1%	10.1%	15.3%	2.0%	0.9%	7.1M	-159.0M	-1.9M	0.39	7.51	38,360	15,082	334,958	313,016
2014-03-24	$20.31	$18.50	11.1%	4.2%	11.1%	11.9%	16.6%	2.2%	0.3%	16.5M	-198.8M	-2.0M	1.40	5.78	4,248	5,942	347,210	198,554
2014-03-25	$20.39	$18.50	10.4%	4.3%	11.1%	9.2%	14.7%	2.0%	0.2%	18.9M	-228.0M	-2.0M	0.40	15.55	10,994	4,426	351,126	200,680
2014-03-26	$20.31	$18.50	11.3%	4.3%	11.2%	12.9%	15.4%	2.3%	0.0%	19.1M	-207.7M	-1.9M	2.01	12.52	3,718	7,462	350,786	202,390
2014-03-27	$20.48	$18.50	10.8%	4.3%	11.5%	10.7%	17.3%	1.7%	0.3%	19.0M	-241.2M	-1.9M	0.29	8.26	8,750	2,510	353,160	206,526
2014-03-28	$20.50	$18.50	10.7%	4.3%	11.4%	10.2%	17.1%	2.0%	0.1%	21.1M	-261.0M	-2.0M	2.11	8.39	2,458	5,190	359,966	207,932
2014-03-31	$20.73	$18.50	11.2%	4.3%	11.3%	11.0%	14.8%	2.2%	0.3%	22.8M	-335.0M	-1.9M	8.59	6.50	7,992	68,614	358,184	198,756