XLU Options History — January 2015

In January 2015, XLU traded between $23.43 and $24.70. ATM implied volatility averaged 17.0%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.4% (HV 20d: 17.4%). Max pain ranged from $24.50 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.17.

Notable Days

2015-01-22: Highest Volume — 146,954 contracts
2015-01-30: Largest IV spike — 15.9% change
2015-01-06: Highest IV Rank — 40.5%
2015-01-15: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.09	$23.43	$24.70	$23.77	$24.16
Max Pain	$24.52	$24.50	$25.00	$25.00	$24.50
ATM IV	17.0%	14.4%	19.1%	17.9%	17.1%
Expected Move	4.9%	4.2%	5.4%	5.0%	5.0%
HV 20d	17.4%	13.0%	19.9%	19.1%	14.1%
HV 60d	16.2%	15.4%	17.2%	17.2%	16.3%
IV Rank	31.5%	20.2%	40.5%	35.7%	31.2%
IV Percentile	90.7%	70.6%	99.6%	98.4%	93.3%
Term Structure	0.1%	-0.7%	0.8%	0.0%	0.1%
VWIV	17.2%	14.9%	18.8%	18.3%	16.8%
Skew 25d	3.7%	2.3%	4.5%	4.4%	2.8%
Skew 10d	7.6%	4.4%	10.1%	9.3%	6.7%
Call IV 25d	15.6%	13.0%	17.7%	15.9%	15.9%
Put IV 25d	19.3%	16.2%	21.5%	20.4%	18.7%
Bid-Ask Spread %	17.71	12.79	35.89	15.71	15.98
Gamma HHI	0.21	0.15	0.31	0.15	0.24
Net GEX	-45.3M	-65.6M	-20.8M	-62.4M	-30.2M
Net DEX	211.3M	-1.5M	499.2M	391.7M	128.9M
Net VEX	-1.8M	-2.0M	-1.4M	-2.0M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.48	6.55	6.52	0.59
Total Volume	47,094.6	8,446	146,954	120,138	49,890
Total OI	761,305.2	606,678	904,562	844,908	633,906

Daily Data (20 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
2015-01-02	$23.77	$25.00	17.9%	5.0%	19.1%	35.7%	18.3%	4.4%	0.0%	-62.4M	391.7M	-2.0M	6.52	15.71	15,980	104,158	121,184	723,724
2015-01-05	$23.43	$24.50	18.5%	5.3%	19.9%	38.3%	17.9%	4.0%	-0.1%	-65.6M	499.2M	-2.0M	5.45	16.55	11,942	65,136	123,202	741,784
2015-01-06	$23.43	$24.50	19.1%	5.4%	19.5%	40.5%	18.1%	3.6%	-0.0%	-60.5M	469.6M	-2.0M	1.10	18.29	23,888	26,168	130,968	706,354
2015-01-07	$23.67	$24.50	18.1%	5.2%	19.5%	36.8%	18.8%	3.5%	-0.4%	-61.1M	397.5M	-2.0M	6.55	22.41	4,966	32,552	148,024	720,164
2015-01-08	$23.82	$24.50	17.7%	4.8%	19.5%	34.8%	15.8%	3.9%	0.1%	-64.3M	314.7M	-2.0M	1.33	14.15	21,000	27,982	149,658	739,004
2015-01-09	$23.71	$24.50	17.3%	5.0%	19.0%	33.2%	16.7%	4.0%	-0.3%	-62.0M	370.6M	-2.0M	3.00	17.34	13,122	39,308	156,442	740,214
2015-01-12	$23.66	$24.50	17.5%	5.1%	18.8%	34.1%	15.7%	4.1%	0.6%	-62.6M	388.0M	-1.9M	2.36	14.88	9,762	23,082	153,026	726,002
2015-01-13	$23.68	$24.50	18.1%	5.3%	18.7%	36.7%	18.5%	4.5%	0.2%	-64.4M	368.6M	-2.0M	1.25	16.87	14,976	18,756	154,024	729,136
2015-01-14	$23.92	$24.50	17.6%	5.2%	18.4%	34.7%	18.1%	4.2%	0.3%	-61.2M	268.3M	-1.8M	1.17	14.96	12,376	14,438	156,882	730,914
2015-01-15	$24.09	$24.50	18.9%	5.4%	18.4%	39.9%	17.8%	4.1%	-0.2%	-55.2M	196.8M	-1.8M	0.48	15.60	27,670	13,242	157,526	728,288
2015-01-16	$24.27	$24.50	18.0%	5.0%	17.6%	36.1%	18.5%	4.3%	-0.7%	-39.3M	101.1M	-1.8M	0.74	35.89	37,012	27,208	174,516	730,046
2015-01-20	$24.37	$24.50	17.7%	5.1%	16.6%	35.1%	18.0%	3.5%	0.8%	-31.8M	105.3M	-1.7M	1.04	19.47	8,498	8,822	129,666	477,012
2015-01-21	$24.61	$24.50	17.3%	5.0%	16.5%	32.4%	17.7%	2.9%	-0.0%	-25.7M	49.5M	-1.6M	1.97	19.37	7,308	14,364	135,730	484,216
2015-01-22	$24.48	$24.50	14.8%	4.3%	16.7%	22.0%	15.8%	3.3%	-0.0%	-29.7M	58.0M	-1.6M	1.93	12.79	50,236	96,718	139,210	493,952
2015-01-23	$24.58	$24.50	14.5%	4.2%	16.7%	20.9%	14.9%	3.2%	0.0%	-27.6M	23.1M	-1.6M	1.13	15.44	11,788	13,324	132,764	486,338
2015-01-26	$24.55	$24.50	14.4%	4.2%	15.7%	20.2%	15.9%	3.8%	0.8%	-27.2M	27.6M	-1.5M	0.93	16.86	4,796	4,462	130,834	484,260
2015-01-27	$24.59	$24.50	14.5%	4.3%	15.2%	20.5%	15.1%	3.6%	0.5%	-23.1M	3.3M	-1.4M	1.20	17.37	3,842	4,604	133,276	484,968
2015-01-28	$24.38	$24.50	15.8%	4.7%	14.9%	25.9%	18.7%	2.3%	0.3%	-31.4M	65.4M	-1.5M	2.97	19.87	9,676	28,700	134,768	486,242
2015-01-29	$24.70	$24.50	14.7%	4.4%	13.0%	21.5%	17.2%	4.1%	0.5%	-20.8M	-1.5M	-1.4M	1.78	14.45	14,440	25,700	136,510	481,370
2015-01-30	$24.16	$24.50	17.1%	5.0%	14.1%	31.2%	16.8%	2.8%	0.1%	-30.2M	128.9M	-1.6M	0.59	15.98	31,348	18,542	142,858	491,048