XLU Options History — August 2014 In August 2014, XLU traded between $20.09 and $21.64. ATM implied volatility averaged 14.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.3% (HV 20d: 15.4%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.63.
Notable Days 2014-08-04 : Highest Volume — 144,308 contracts2014-08-04 : Largest IV spike — 19.3% change2014-08-06 : Highest IV Rank — 33.2%2014-08-06 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $20.92 $20.09 $21.64 $20.70 $21.64 Max Pain $19.29 $19.00 $20.00 $19.00 $20.00 ATM IV 14.1% 11.9% 16.8% 13.1% 11.9% Expected Move 4.1% 3.8% 4.6% 4.2% 3.9% HV 20d 15.4% 13.6% 16.6% 13.9% 13.7% HV 60d 14.1% 13.5% 14.6% 13.8% 14.6% IV Rank 22.4% 13.8% 33.2% 18.6% 13.8% IV Percentile 69.2% 21.0% 97.6% 60.3% 21.0% Term Structure -0.1% -5.3% 1.2% -5.3% -0.4% VWIV 15.5% 12.7% 17.5% 13.5% 14.8% Skew 25d 2.4% 1.6% 5.5% 5.5% 2.6% Skew 10d 4.9% 3.4% 6.4% 6.0% 4.1% Call IV 25d 12.9% 10.7% 16.2% 11.5% 10.7% Put IV 25d 15.3% 13.3% 18.2% 17.0% 13.3% Bid-Ask Spread % 23.75 15.79 46.78 31.93 25.42 Gamma HHI 0.15 0.11 0.19 0.11 0.19 Net GEX -3.8M -10.9M 3.7M -9.1M -2.6M Net DEX 42.2M -105.4M 222.5M 163.9M -105.4M Net VEX -1.4M -1.7M -1.2M -1.3M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.15 10.69 2.12 0.36 Total Volume 38,076.19 9,398 144,308 20,884 13,758 Total OI 551,204.762 445,430 631,214 452,202 536,412
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 2014-08-01 $20.70 $19.00 13.1% 4.2% 13.9% 18.6% 13.5% 5.5% -5.3% -9.1M 163.9M -1.3M 2.12 31.93 6,696 14,188 176,930 275,272 2014-08-04 $20.56 $19.00 15.7% 4.3% 13.9% 28.7% 17.5% 3.3% -0.1% -10.9M 181.0M -1.2M 0.86 20.01 77,782 66,526 170,846 274,584 2014-08-05 $20.34 $19.00 16.2% 4.3% 13.8% 30.6% 16.5% 2.6% -0.1% -3.5M 178.0M -1.3M 0.40 18.80 23,702 9,562 226,782 303,392 2014-08-06 $20.09 $19.00 16.8% 4.6% 14.2% 33.2% 16.3% 2.0% -0.1% -5.5M 222.5M -1.3M 1.32 15.79 53,376 70,672 226,728 306,558 2014-08-07 $20.32 $19.00 16.4% 4.4% 14.7% 31.4% 15.8% 2.6% -0.2% -2.4M 182.0M -1.6M 0.39 20.02 11,082 4,322 268,004 355,150 2014-08-08 $20.72 $19.00 15.1% 4.4% 16.6% 26.5% 17.1% 2.2% 0.8% -5.2M 59.0M -1.7M 1.01 20.98 13,138 13,292 274,250 355,602 2014-08-11 $20.61 $19.00 15.7% 4.4% 16.3% 28.9% 16.1% 2.0% 0.9% -8.6M 104.8M -1.7M 0.77 16.17 6,638 5,086 263,014 361,366 2014-08-12 $20.63 $19.00 14.8% 4.4% 16.1% 25.4% 16.3% 2.1% 1.2% -9.4M 101.5M -1.6M 6.77 16.46 2,556 17,292 262,008 363,206 2014-08-13 $20.73 $19.00 13.7% 4.2% 16.2% 21.0% 16.8% 2.3% 0.9% -7.6M 94.0M -1.6M 0.90 17.34 5,758 5,186 262,522 368,692 2014-08-14 $20.91 $19.50 13.0% 4.0% 16.4% 18.0% 15.4% 2.1% 1.2% 1.9M 31.3M -1.5M 0.45 15.95 17,644 7,984 258,524 364,892 2014-08-15 $20.99 $19.50 13.4% 4.1% 16.1% 19.6% 17.2% 2.2% 1.0% 3.7M -12.4M -1.5M 10.69 22.02 9,076 97,034 261,040 365,532 2014-08-18 $20.93 $19.00 13.3% 4.0% 16.1% 19.3% 13.5% 2.2% -0.3% -385.1K -11.8M -1.4M 0.63 23.08 51,076 32,202 221,876 309,142 2014-08-19 $21.11 $19.00 13.0% 4.0% 16.4% 18.1% 15.5% 2.6% -0.4% -997.2K -42.7M -1.4M 0.99 28.74 13,506 13,322 201,488 304,750 2014-08-20 $21.24 $19.00 12.7% 4.0% 16.6% 16.8% 15.5% 2.0% -0.4% -4.9M -36.8M -1.3M 0.48 19.09 6,338 3,060 199,476 316,394 2014-08-21 $21.29 $19.00 12.8% 3.8% 16.5% 17.3% 12.7% 1.9% -0.1% -954.4K -67.1M -1.3M 0.81 23.63 10,144 8,172 200,620 317,838 2014-08-22 $21.23 $19.50 12.6% 4.0% 16.3% 16.6% 14.4% 1.7% 0.3% -1.4M -33.7M -1.3M 2.46 35.16 9,032 22,228 194,846 316,398 2014-08-25 $21.37 $20.00 13.4% 3.8% 15.5% 19.6% 15.6% 1.9% -0.8% -1.4M -59.3M -1.2M 1.21 46.78 13,718 16,606 191,434 324,108 2014-08-26 $21.11 $19.50 13.8% 4.1% 15.6% 21.3% 14.7% 2.4% -0.2% -8.5M 20.9M -1.4M 0.15 27.29 19,534 2,962 190,078 338,466 2014-08-27 $21.27 $20.00 15.0% 3.9% 15.2% 25.9% 14.7% 2.3% 0.5% -2.8M -22.9M -1.3M 0.29 24.99 8,834 2,582 194,112 339,798 2014-08-28 $21.50 $20.00 13.6% 3.8% 13.6% 20.5% 16.4% 1.6% -0.4% 11.2K -60.6M -1.3M 1.15 29.08 6,480 7,454 192,308 340,862 2014-08-29 $21.64 $20.00 11.9% 3.9% 13.7% 13.8% 14.8% 2.6% -0.4% -2.6M -105.4M -1.2M 0.36 25.42 10,142 3,616 193,950 342,462
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