XLU Options History — April 2014

In April 2014, XLU traded between $20.54 and $21.66. ATM implied volatility averaged 12.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.9% (HV 20d: 10.8%). Max pain ranged from $18.50 to $19.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.01.

Notable Days

2014-04-17: Highest Volume — 152,328 contracts
2014-04-16: Largest IV drop — 10.1% change
2014-04-11: Highest IV Rank — 24.5%
2014-04-23: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.08	$20.54	$21.66	$20.59	$21.63
Max Pain	$18.86	$18.50	$19.00	$18.50	$19.00
ATM IV	12.7%	11.6%	14.6%	11.6%	12.4%
Expected Move	4.2%	3.8%	4.4%	4.3%	4.2%
HV 20d	10.8%	9.0%	11.5%	11.5%	10.6%
HV 60d	10.8%	10.4%	11.2%	11.0%	10.5%
IV Rank	17.1%	12.5%	24.5%	12.5%	15.7%
IV Percentile	44.9%	23.8%	78.6%	23.8%	31.7%
Term Structure	-0.2%	-1.2%	0.4%	0.1%	0.0%
VWIV	15.9%	13.7%	17.5%	14.9%	17.0%
Skew 25d	2.6%	1.8%	3.4%	2.2%	2.4%
Skew 10d	5.7%	1.7%	7.1%	5.7%	6.0%
Call IV 25d	11.8%	10.8%	13.3%	10.8%	11.8%
Put IV 25d	14.4%	13.0%	16.4%	13.0%	14.2%
Bid-Ask Spread %	17.52	9.49	84.64	10.94	13.53
Gamma HHI	0.18	0.14	0.25	0.17	0.17
Net GEX	-4.9M	-33.9M	18.0M	10.7M	-8.4M
Net DEX	-266.1M	-400.7M	-103.3M	-245.6M	-297.1M
Net VEX	-2.2M	-2.5M	-2.0M	-2.0M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.01	0.68	10.60	3.41	8.41
Total Volume	45,652.571	11,782	152,328	22,388	40,290
Total OI	729,109.524	617,442	814,500	617,442	814,500

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
2014-04-01	$20.59	$18.50	11.6%	4.3%	11.5%	12.5%	14.9%	2.2%	0.1%	10.7M	-245.6M	-2.0M	3.41	10.94	5,080	17,308	357,262	260,180
2014-04-02	$20.54	$18.50	11.8%	4.3%	11.2%	13.4%	15.3%	2.2%	0.3%	6.7M	-219.9M	-2.1M	5.70	9.68	3,034	17,304	358,902	272,748
2014-04-03	$20.62	$18.50	11.8%	4.3%	11.0%	13.3%	16.9%	2.0%	0.4%	7.5M	-245.2M	-2.1M	8.06	12.86	4,462	35,954	360,446	284,688
2014-04-04	$20.73	$18.50	11.7%	4.3%	11.1%	13.1%	15.1%	2.8%	-0.2%	18.0M	-282.4M	-2.1M	2.07	13.89	11,042	22,858	362,936	310,842
2014-04-07	$20.68	$18.50	12.3%	4.3%	11.1%	15.4%	15.3%	3.0%	0.4%	4.3M	-251.5M	-2.1M	2.43	14.65	4,530	11,028	359,014	297,322
2014-04-08	$20.89	$18.50	12.7%	4.3%	11.2%	17.0%	15.2%	2.8%	-0.1%	7.0M	-332.5M	-2.0M	1.96	14.86	11,842	23,196	359,760	299,766
2014-04-09	$20.95	$19.00	12.4%	4.2%	10.3%	15.9%	16.2%	2.6%	-0.3%	3.6M	-352.5M	-2.0M	9.93	9.82	8,052	79,962	367,228	318,876
2014-04-10	$20.86	$19.00	13.6%	3.9%	10.0%	20.6%	15.8%	3.1%	-1.2%	-4.3M	-292.8M	-2.1M	1.89	26.93	7,130	13,448	368,698	356,172
2014-04-11	$20.85	$19.00	14.6%	3.8%	9.9%	24.5%	15.5%	3.1%	-0.9%	-4.7M	-272.8M	-2.1M	3.71	84.64	11,370	42,224	370,706	360,424
2014-04-14	$20.97	$19.00	13.5%	4.2%	10.0%	20.2%	15.3%	3.4%	0.0%	-5.4M	-311.4M	-2.1M	0.79	11.34	9,704	7,652	373,540	381,400
2014-04-15	$21.23	$19.00	13.2%	4.2%	10.7%	18.8%	17.5%	2.5%	-0.3%	3.9M	-396.2M	-2.0M	1.16	14.34	28,150	32,704	371,726	382,820
2014-04-16	$21.49	$19.00	11.8%	4.2%	9.0%	13.6%	16.5%	2.0%	-0.1%	2.9M	-400.7M	-2.1M	2.16	17.97	14,940	32,262	368,106	402,054
2014-04-17	$21.15	$19.00	12.9%	4.3%	11.2%	17.9%	16.6%	3.1%	-0.3%	-505.3K	-325.9M	-2.2M	3.57	17.11	33,342	118,986	374,994	425,394
2014-04-21	$21.10	$19.00	13.9%	4.2%	11.3%	21.7%	13.7%	2.9%	-0.2%	-19.9M	-129.9M	-2.4M	10.60	10.72	6,478	68,664	323,152	386,430
2014-04-22	$21.16	$19.00	12.9%	4.2%	11.3%	17.8%	16.5%	2.6%	-0.2%	-33.9M	-103.3M	-2.5M	2.75	9.49	3,146	8,636	326,822	441,914
2014-04-23	$21.16	$19.00	13.1%	4.4%	11.3%	18.4%	15.7%	2.8%	-0.6%	-32.1M	-114.2M	-2.5M	1.50	16.76	8,928	13,406	328,004	442,206
2014-04-24	$21.33	$19.00	12.9%	4.1%	11.2%	17.9%	16.7%	2.5%	-0.2%	-29.5M	-165.9M	-2.5M	5.91	16.14	8,302	49,074	332,548	447,038
2014-04-25	$21.52	$19.00	12.7%	4.2%	11.3%	17.1%	16.4%	1.8%	-1.1%	-15.8M	-250.6M	-2.4M	0.68	16.92	37,578	25,430	337,058	451,162
2014-04-28	$21.66	$19.00	12.5%	4.2%	11.4%	16.2%	15.8%	2.4%	0.0%	-2.6M	-317.1M	-2.3M	2.79	12.88	14,540	40,522	359,340	411,288
2014-04-29	$21.59	$19.00	12.8%	4.1%	11.1%	17.3%	15.4%	2.8%	0.1%	-10.7M	-281.3M	-2.4M	4.65	12.46	4,630	21,516	363,790	440,044
2014-04-30	$21.63	$19.00	12.4%	4.2%	10.6%	15.7%	17.0%	2.4%	0.0%	-8.4M	-297.1M	-2.3M	8.41	13.53	4,282	36,008	366,858	447,642