XLU Options History — December 2014

In December 2014, XLU traded between $22.73 and $24.58. ATM implied volatility averaged 15.0%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.0% (HV 20d: 14.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 4.20.

Notable Days

2014-12-31: Highest Volume — 225,488 contracts
2014-12-29: Largest IV spike — 11.8% change
2014-12-31: Highest IV Rank — 37.7%
2014-12-31: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.36	$22.73	$24.58	$23.06	$23.61
Max Pain	$23.00	$22.50	$25.00	$22.50	$25.00
ATM IV	15.0%	13.7%	18.4%	14.7%	18.4%
Expected Move	4.4%	4.0%	5.2%	4.2%	5.2%
HV 20d	14.0%	10.8%	19.1%	16.2%	19.1%
HV 60d	15.2%	14.5%	17.2%	15.1%	17.2%
IV Rank	25.6%	19.0%	37.7%	24.9%	37.7%
IV Percentile	83.5%	67.5%	98.8%	85.3%	98.8%
Term Structure	0.0%	-1.1%	1.0%	-0.6%	-0.2%
VWIV	16.2%	14.3%	19.1%	15.1%	19.1%
Skew 25d	3.2%	2.2%	4.0%	3.0%	3.6%
Skew 10d	7.2%	4.5%	9.4%	7.3%	7.7%
Call IV 25d	13.8%	12.0%	16.8%	12.8%	16.8%
Put IV 25d	17.0%	15.3%	20.3%	15.9%	20.3%
Bid-Ask Spread %	21.77	12.98	35.32	21.21	12.98
Gamma HHI	0.29	0.15	0.42	0.32	0.15
Net GEX	-14.9M	-44.8M	1.6M	-8.2M	-44.8M
Net DEX	-104.5M	-341.5M	321.9M	-208.6M	321.9M
Net VEX	-1.1M	-1.5M	-672.0K	-1.1M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.20	0.20	29.89	0.77	29.89
Total Volume	73,252.727	14,804	225,488	50,808	225,488
Total OI	652,683.545	381,238	764,176	667,294	677,026

Daily Data (22 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
2014-12-01	$23.06	$22.50	14.7%	4.2%	16.2%	24.9%	15.1%	3.0%	-0.6%	-8.2M	-208.6M	-1.1M	0.77	21.21	28,640	22,168	230,926	436,368
2014-12-02	$23.20	$22.50	13.8%	4.2%	16.1%	21.2%	15.0%	3.3%	-0.0%	-3.8M	-264.7M	-1.1M	3.09	19.06	13,866	42,822	244,624	441,272
2014-12-03	$23.14	$22.50	13.7%	4.2%	15.9%	21.1%	15.4%	3.9%	0.1%	-7.0M	-230.6M	-1.1M	1.67	17.13	10,752	17,956	247,524	451,872
2014-12-04	$23.11	$22.50	13.7%	4.2%	13.5%	21.0%	15.4%	3.3%	0.1%	-5.7M	-227.1M	-1.1M	8.33	18.75	1,586	13,218	249,288	452,608
2014-12-05	$22.89	$22.50	13.9%	4.1%	12.3%	21.6%	15.0%	3.3%	1.0%	-10.4M	-138.0M	-1.1M	6.21	20.87	16,820	104,520	249,464	455,086
2014-12-08	$23.13	$22.50	14.4%	4.3%	12.2%	23.7%	16.0%	3.6%	-0.6%	-14.8M	-183.7M	-1.2M	1.41	17.25	11,834	16,716	243,322	484,654
2014-12-09	$23.23	$22.50	14.3%	4.4%	12.2%	23.5%	16.7%	3.4%	0.9%	-10.5M	-229.1M	-1.1M	2.61	15.99	11,238	29,280	245,722	483,990
2014-12-10	$22.94	$22.50	14.9%	4.5%	12.9%	25.8%	17.0%	2.7%	-0.3%	-19.2M	-115.5M	-1.2M	0.43	22.50	36,940	15,954	247,210	502,862
2014-12-11	$23.14	$22.50	14.7%	4.5%	11.5%	25.0%	17.8%	2.8%	0.6%	-13.1M	-217.4M	-1.2M	1.48	20.49	12,986	19,276	258,622	503,756
2014-12-12	$23.00	$22.50	15.3%	4.5%	11.2%	27.2%	17.5%	2.2%	0.2%	-17.1M	-160.8M	-1.1M	2.29	22.87	9,936	22,796	259,122	505,054
2014-12-15	$22.79	$22.50	15.9%	4.7%	11.8%	29.5%	17.9%	4.0%	0.9%	-21.1M	-52.3M	-1.2M	3.59	19.16	11,610	41,702	255,460	491,596
2014-12-16	$22.73	$22.50	16.8%	4.9%	10.8%	32.9%	17.5%	2.7%	-0.5%	-21.7M	-59.8M	-1.1M	6.01	22.49	8,320	49,986	257,778	495,256
2014-12-17	$23.16	$22.50	16.2%	4.6%	12.7%	30.8%	17.0%	4.0%	-0.4%	-11.1M	-167.3M	-1.1M	1.23	26.95	15,170	18,628	258,002	500,628
2014-12-18	$23.57	$22.50	14.9%	4.4%	14.0%	25.6%	16.6%	3.3%	0.5%	1.6M	-341.5M	-910.0K	0.20	24.90	170,136	34,162	256,918	495,236
2014-12-19	$23.41	$22.50	14.5%	4.4%	14.3%	24.1%	15.6%	2.9%	-0.1%	-13.6M	13.8M	-729.6K	1.03	29.54	14,928	15,334	80,494	513,776
2014-12-22	$23.45	$0.00	14.0%	4.1%	14.3%	21.9%	14.3%	3.2%	0.2%	-13.2M	-2.2M	-687.1K	1.28	35.32	19,504	24,958	74,902	306,336
2014-12-23	$23.58	$23.50	13.8%	4.0%	13.8%	19.0%	14.3%	2.3%	0.5%	-9.9M	-33.8M	-690.4K	2.04	22.82	14,070	28,736	84,578	310,742
2014-12-24	$23.98	$23.50	13.9%	4.0%	14.8%	19.3%	16.2%	3.0%	0.1%	-8.9M	-63.1M	-705.0K	5.01	20.49	18,264	91,558	85,818	323,492
2014-12-26	$24.27	$23.50	15.0%	4.2%	15.2%	24.0%	14.6%	3.3%	-0.1%	-13.6M	-72.2M	-672.0K	4.89	27.78	26,960	131,702	91,390	377,230
2014-12-29	$24.58	$25.00	16.8%	4.7%	15.3%	31.2%	16.3%	3.4%	-0.1%	-19.5M	-33.8M	-1.0M	4.82	20.99	21,246	102,404	106,608	469,332
2014-12-30	$24.02	$25.00	16.8%	4.7%	18.0%	31.3%	16.6%	3.7%	-1.1%	-41.0M	165.8M	-1.4M	4.05	19.48	13,352	54,038	113,418	539,676
2014-12-31	$23.61	$25.00	18.4%	5.2%	19.1%	37.7%	19.1%	3.6%	-0.2%	-44.8M	321.9M	-1.5M	29.89	12.98	7,300	218,188	118,130	558,896