XLU Options History — May 2014 In May 2014, XLU traded between $20.74 and $21.70. ATM implied volatility averaged 13.1%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.6% (HV 20d: 14.6%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.12.
Notable Days 2014-05-01 : Highest Volume — 157,692 contracts2014-05-27 : Largest IV drop — 15.0% change2014-05-23 : Highest IV Rank — 22.8%2014-05-02 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $21.15 $20.74 $21.70 $21.70 $21.38 Max Pain $19.00 $19.00 $19.00 $19.00 $19.00 ATM IV 13.1% 11.9% 14.2% 13.4% 11.9% Expected Move 4.1% 3.4% 4.2% 4.1% 3.9% HV 20d 14.6% 10.4% 16.3% 10.4% 15.0% HV 60d 12.1% 10.4% 12.6% 10.4% 12.4% IV Rank 18.4% 13.7% 22.8% 19.8% 13.7% IV Percentile 48.1% 16.3% 71.0% 57.9% 16.3% Term Structure 0.3% -1.1% 6.4% -0.2% 0.1% VWIV 15.3% 7.2% 17.8% 14.0% 16.5% Skew 25d 2.1% 1.1% 2.8% 2.8% 2.3% Skew 10d 5.1% 3.1% 6.5% 5.0% 5.9% Call IV 25d 12.1% 10.7% 13.2% 12.4% 11.2% Put IV 25d 14.3% 13.0% 15.8% 15.2% 13.5% Bid-Ask Spread % 17.29 9.50 98.58 10.68 14.60 Gamma HHI 0.27 0.17 0.48 0.17 0.25 Net GEX -38.5M -64.8M -5.3M -5.3M -10.0M Net DEX 1.9M -316.1M 178.6M -316.1M -95.4M Net VEX -2.2M -2.5M -2.0M -2.3M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.12 0.24 19.05 3.48 9.40 Total Volume 49,356.952 12,820 157,692 157,692 134,470 Total OI 843,451.619 732,940 966,286 833,112 762,824
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 2014-05-01 $21.70 $19.00 13.4% 4.1% 10.4% 19.8% 14.0% 2.8% -0.2% -5.3M -316.1M -2.3M 3.48 10.68 35,162 122,530 367,780 465,332 2014-05-02 $21.25 $19.00 14.1% 4.2% 13.3% 22.4% 15.5% 2.6% 0.1% -42.3M -21.6M -2.5M 1.94 11.87 46,042 89,464 349,722 551,514 2014-05-05 $21.44 $19.00 13.6% 4.2% 13.5% 20.6% 15.2% 2.5% -0.2% -42.1M -99.3M -2.5M 1.64 16.29 4,864 7,956 333,046 556,032 2014-05-06 $21.34 $19.00 13.7% 4.1% 13.7% 20.7% 16.3% 1.9% -0.1% -46.9M -60.2M -2.5M 4.58 9.50 5,570 25,494 339,198 558,628 2014-05-07 $21.68 $19.00 12.7% 4.1% 14.3% 17.1% 15.2% 2.5% -0.0% -28.7M -219.3M -2.4M 1.50 15.08 16,252 24,410 339,942 557,860 2014-05-08 $21.48 $19.00 13.2% 4.1% 14.8% 18.9% 16.0% 2.4% -0.4% -42.5M -142.6M -2.4M 0.64 11.24 31,482 20,264 348,802 567,354 2014-05-09 $21.13 $19.00 12.9% 4.1% 16.0% 17.9% 14.7% 1.8% -0.5% -37.2M 9.3M -2.5M 1.63 14.12 19,068 31,110 352,044 564,640 2014-05-12 $20.96 $19.00 13.3% 4.2% 16.3% 19.3% 15.2% 2.1% 1.2% -47.3M 98.3M -2.4M 19.05 11.29 4,864 92,680 358,996 528,552 2014-05-13 $20.95 $19.00 12.9% 4.1% 16.1% 17.9% 15.8% 2.3% 1.1% -62.3M 105.1M -2.4M 5.51 9.87 3,930 21,658 359,422 595,028 2014-05-14 $21.11 $19.00 12.8% 4.2% 15.7% 17.3% 17.1% 1.6% 1.1% -42.6M 2.1M -2.3M 4.81 11.88 6,012 28,898 360,730 592,328 2014-05-15 $21.04 $19.00 13.2% 3.4% 15.1% 18.8% 7.2% 1.5% 1.3% -46.2M 49.9M -2.3M 4.52 98.58 5,530 25,018 359,842 587,066 2014-05-16 $21.07 $19.00 13.2% 4.1% 14.0% 18.8% 17.8% 2.0% 1.2% -58.4M 26.9M -2.2M 1.90 10.74 11,278 21,388 362,004 604,282 2014-05-19 $20.74 $19.00 13.9% 4.2% 15.1% 21.8% 15.3% 2.4% -1.1% -30.0M 174.1M -2.1M 9.04 11.98 4,446 40,202 303,674 429,266 2014-05-20 $20.75 $19.00 13.8% 4.1% 15.0% 21.3% 16.9% 2.3% -1.0% -28.8M 171.5M -2.1M 3.05 11.26 5,178 15,794 304,550 429,532 2014-05-21 $20.76 $19.00 13.0% 4.0% 15.0% 18.1% 15.7% 2.2% 0.3% -27.7M 178.6M -2.0M 1.73 11.89 9,040 15,636 305,602 431,494 2014-05-22 $20.93 $19.00 12.7% 4.0% 15.1% 16.8% 16.5% 2.1% -0.3% -39.6M 107.3M -2.2M 3.05 13.04 4,538 13,824 313,776 437,804 2014-05-23 $21.02 $19.00 14.2% 4.1% 14.8% 22.8% 14.2% 1.8% 6.4% -64.8M 67.1M -2.0M 4.33 21.68 5,702 24,700 316,392 443,982 2014-05-27 $21.03 $19.00 12.0% 4.0% 14.5% 14.4% 16.5% 1.1% -0.2% -34.2M 48.7M -2.0M 0.24 18.33 14,302 3,368 313,182 443,172 2014-05-28 $21.17 $19.00 12.1% 4.0% 14.8% 14.7% 14.2% 2.5% -0.4% -42.7M -15.1M -2.0M 2.72 17.18 8,268 22,518 308,400 443,258 2014-05-29 $21.23 $19.00 12.0% 4.0% 14.8% 14.2% 16.2% 2.1% -0.9% -28.1M -30.1M -2.0M 1.80 12.09 4,850 8,736 314,152 451,280 2014-05-30 $21.38 $19.00 11.9% 3.9% 15.0% 13.7% 16.5% 2.3% 0.1% -10.0M -95.4M -2.0M 9.40 14.60 12,924 121,546 317,058 445,766
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