XLU Options History — October 2014 In October 2014, XLU traded between $21.14 and $22.73. ATM implied volatility averaged 15.0%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.0% (HV 20d: 14.0%). Max pain ranged from $20.50 to $21.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.85.
Notable Days 2014-10-24 : Highest Volume — 173,740 contracts2014-10-15 : Largest IV spike — 15.6% change2014-10-15 : Highest IV Rank — 40.6%2014-10-16 : Largest Expected Move — 4.7%Monthly Statistics Metric Avg Min Max Open Close Price $21.76 $21.14 $22.73 $21.16 $22.73 Max Pain $20.96 $20.50 $21.50 $21.00 $21.50 ATM IV 15.0% 12.9% 18.7% 13.5% 14.5% Expected Move 4.3% 4.1% 4.7% 4.3% 4.2% HV 20d 14.0% 10.8% 16.7% 12.4% 16.7% HV 60d 14.1% 13.1% 15.1% 13.4% 13.9% IV Rank 25.9% 17.6% 40.6% 20.2% 24.2% IV Percentile 85.7% 52.0% 98.8% 71.0% 88.5% Term Structure -0.3% -2.3% 0.5% -0.0% -0.6% VWIV 16.4% 14.2% 18.4% 14.9% 17.2% Skew 25d 3.0% -0.2% 4.7% 2.5% 3.3% Skew 10d 7.5% 5.1% 10.4% 5.1% 7.4% Call IV 25d 13.7% 11.7% 17.8% 12.7% 13.2% Put IV 25d 16.8% 14.0% 21.9% 15.2% 16.6% Bid-Ask Spread % 26.87 15.94 61.15 24.42 23.44 Gamma HHI 0.16 0.12 0.31 0.13 0.17 Net GEX -5.9M -45.4M 17.7M -45.4M -14.5M Net DEX -131.0M -330.4M 104.6M 104.6M -318.4M Net VEX -1.7M -1.9M -1.4M -1.8M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.85 0.16 14.85 0.50 5.11 Total Volume 71,609.913 19,742 173,740 111,044 106,776 Total OI 806,456 610,968 897,712 808,250 891,996
Daily Data (23 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 2014-10-01 $21.16 $21.00 13.5% 4.3% 12.4% 20.2% 14.9% 2.5% -0.0% -45.4M 104.6M -1.8M 0.50 24.42 73,940 37,104 265,908 542,342 2014-10-02 $21.14 $21.00 13.4% 4.3% 12.4% 19.7% 16.7% 1.9% 0.2% -34.0M 85.5M -1.9M 1.43 18.43 11,778 16,848 315,274 550,574 2014-10-03 $21.27 $20.50 13.3% 4.1% 11.7% 19.3% 14.2% 2.8% 0.2% -28.8M 5.8M -1.9M 2.44 21.06 7,104 17,318 322,258 551,556 2014-10-06 $21.27 $20.50 13.6% 4.1% 11.5% 20.6% 15.9% 2.7% 0.0% -16.7M 2.6M -1.8M 14.85 15.94 2,006 29,792 319,942 534,770 2014-10-07 $21.25 $20.50 14.0% 4.2% 10.8% 21.9% 14.2% 2.1% -0.3% -26.1M 20.8M -1.8M 0.84 19.87 23,640 19,856 321,230 558,216 2014-10-08 $21.73 $21.00 12.9% 4.2% 13.3% 17.6% 15.0% 3.4% 0.5% 6.2M -200.8M -1.8M 1.38 17.16 29,906 41,256 321,062 557,416 2014-10-09 $21.40 $21.00 14.2% 4.3% 14.1% 23.0% 15.4% 2.3% 0.0% -10.1M -55.2M -1.8M 1.36 23.14 8,362 11,380 313,224 578,296 2014-10-10 $21.45 $21.00 14.9% 4.4% 12.5% 25.8% 17.2% 2.5% -0.2% -8.6M -66.8M -1.8M 2.43 24.85 10,244 24,864 315,920 581,792 2014-10-13 $21.48 $21.00 16.4% 4.5% 12.4% 31.4% 17.0% -0.2% 0.2% -4.1M -83.2M -1.8M 4.62 61.15 13,168 60,878 309,894 494,790 2014-10-14 $21.80 $21.00 16.2% 4.3% 12.7% 30.7% 17.1% 3.4% -0.8% 10.7M -219.9M -1.7M 2.52 27.66 15,312 38,622 318,606 492,738 2014-10-15 $21.35 $21.00 18.7% 4.7% 14.8% 40.6% 18.4% 4.2% -1.2% -6.3M -11.9M -1.8M 0.99 32.68 57,508 57,174 326,178 503,422 2014-10-16 $21.38 $21.00 18.7% 4.7% 14.5% 40.5% 17.8% 4.4% -2.3% 1.1M -26.3M -1.8M 2.52 23.26 9,526 24,008 343,288 522,482 2014-10-17 $21.48 $21.00 16.7% 4.6% 14.6% 32.7% 16.7% 3.1% -0.2% 17.7M -116.9M -1.6M 0.25 39.84 87,032 21,396 334,248 511,068 2014-10-20 $21.80 $21.00 16.1% 4.3% 15.1% 30.2% 17.0% 3.1% -0.3% 10.6M -171.6M -1.6M 0.78 28.29 34,152 26,688 268,272 342,696 2014-10-21 $21.84 $21.00 14.5% 4.4% 15.0% 24.2% 17.1% 2.9% -0.1% 11.3M -197.7M -1.5M 1.07 28.67 20,168 21,628 282,410 357,214 2014-10-22 $22.04 $21.00 15.2% 4.3% 15.1% 26.6% 16.2% 2.9% -0.9% 11.0M -262.6M -1.4M 2.71 25.11 20,502 55,538 280,850 361,382 2014-10-23 $22.04 $21.00 14.9% 4.3% 14.8% 25.6% 16.5% 2.8% -0.6% 6.9M -246.9M -1.5M 0.56 28.28 42,790 23,876 296,944 404,586 2014-10-24 $22.27 $21.00 15.6% 4.2% 15.0% 28.4% 15.6% 3.7% -0.5% 13.3M -322.6M -1.6M 10.09 30.60 15,666 158,074 322,984 410,914 2014-10-27 $22.22 $21.00 14.5% 4.4% 15.1% 23.9% 17.2% 3.4% -0.3% -6.8M -183.5M -1.6M 0.16 26.23 43,148 6,742 282,760 504,264 2014-10-28 $22.37 $21.00 14.4% 4.1% 15.1% 23.6% 15.7% 3.6% -0.3% -6.1M -239.3M -1.5M 2.10 28.54 20,942 44,000 277,918 508,622 2014-10-29 $22.25 $21.00 13.9% 4.1% 15.4% 21.7% 16.9% 4.1% 0.2% -14.1M -178.0M -1.6M 3.87 27.35 24,032 92,966 282,502 531,108 2014-10-30 $22.73 $21.00 14.2% 4.2% 16.7% 22.7% 17.5% 4.7% -0.1% -4.0M -330.4M -1.4M 3.07 21.99 34,238 105,080 282,678 551,894 2014-10-31 $22.73 $21.50 14.5% 4.2% 16.7% 24.2% 17.2% 3.3% -0.6% -14.5M -318.4M -1.4M 5.11 23.44 17,486 89,290 298,840 593,156
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