XLU Options History — February 2015

In February 2015, XLU traded between $22.55 and $24.36. ATM implied volatility averaged 18.6%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.0% (HV 20d: 21.5%). Max pain ranged from $23.50 to $24.50. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 7 of 18 days. Put/call ratio averaged 2.93.

Notable Days

2015-02-06: Highest Volume — 439,628 contracts
2015-02-06: Largest IV spike — 20.4% change
2015-02-17: Highest IV Rank — 46.6%
2015-02-06: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.20	$22.55	$24.36	$24.27	$22.61
Max Pain	$23.94	$23.50	$24.50	$24.50	$23.50
ATM IV	18.6%	16.2%	20.8%	17.5%	17.7%
Expected Move	5.5%	4.7%	6.0%	5.2%	5.5%
HV 20d	21.5%	12.8%	25.1%	14.0%	25.0%
HV 60d	18.0%	15.3%	19.3%	16.2%	19.2%
IV Rank	37.5%	27.6%	46.6%	32.9%	34.0%
IV Percentile	95.4%	87.7%	99.6%	94.0%	90.5%
Term Structure	0.0%	-0.7%	1.1%	-0.6%	-0.4%
VWIV	19.6%	17.0%	21.5%	18.5%	19.3%
Skew 25d	3.6%	3.0%	4.4%	3.6%	3.0%
Skew 10d	7.3%	4.5%	9.8%	8.3%	4.5%
Call IV 25d	17.0%	14.7%	19.0%	16.2%	16.2%
Put IV 25d	20.7%	18.6%	22.8%	19.8%	19.2%
Bid-Ask Spread %	11.27	7.76	19.80	19.80	9.80
Gamma HHI	0.20	0.18	0.24	0.22	0.20
Net GEX	-61.8M	-94.0M	-29.5M	-29.5M	-69.1M
Net DEX	552.6M	77.3M	1.11B	113.4M	590.1M
Net VEX	-2.3M	-2.7M	-1.5M	-1.5M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.93	0.33	12.94	3.09	1.89
Total Volume	103,858.667	26,328	439,628	35,502	48,716
Total OI	889,138.889	573,262	1,127,014	573,262	912,114

Daily Data (18 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
2015-02-02	$24.27	$24.50	17.5%	5.2%	14.0%	32.9%	18.5%	3.6%	-0.6%	-29.5M	113.4M	-1.5M	3.09	19.80	8,674	26,828	139,594	433,668
2015-02-03	$24.36	$24.50	16.4%	4.8%	12.8%	28.5%	17.0%	3.2%	0.2%	-33.3M	77.3M	-1.5M	2.80	11.24	26,948	75,486	142,656	456,530
2015-02-04	$24.04	$24.50	17.4%	5.0%	13.9%	32.6%	18.6%	3.0%	-0.0%	-39.3M	178.4M	-1.8M	3.22	12.99	6,232	20,096	171,154	493,008
2015-02-05	$24.26	$24.50	16.2%	4.7%	13.8%	27.6%	17.9%	3.9%	-0.1%	-33.4M	111.0M	-1.7M	3.68	12.06	8,008	29,462	171,840	503,518
2015-02-06	$23.23	$24.50	19.5%	6.0%	20.9%	41.2%	21.5%	4.1%	-0.4%	-50.6M	452.5M	-1.7M	12.94	18.55	31,540	408,088	173,850	490,810
2015-02-09	$23.07	$24.00	19.5%	5.8%	20.9%	41.1%	19.4%	4.3%	0.5%	-78.4M	714.8M	-2.4M	0.89	7.76	41,724	37,236	196,312	714,770
2015-02-10	$23.57	$24.00	17.4%	5.3%	22.4%	32.8%	18.7%	4.1%	0.6%	-78.2M	481.3M	-2.5M	0.92	10.88	54,786	50,202	212,984	738,420
2015-02-11	$23.04	$24.00	19.2%	5.8%	23.8%	40.1%	19.4%	3.1%	1.1%	-81.8M	730.9M	-2.5M	3.37	10.05	27,084	91,144	233,872	749,476
2015-02-12	$22.93	$24.00	19.2%	5.7%	23.5%	40.2%	19.9%	3.9%	0.9%	-94.0M	823.0M	-2.5M	7.15	9.48	29,668	212,218	228,876	786,406
2015-02-13	$22.58	$24.00	20.2%	6.0%	23.6%	44.1%	21.5%	4.4%	0.9%	-76.7M	1.11B	-2.7M	4.29	9.99	45,366	194,436	244,542	882,472
2015-02-17	$22.55	$24.00	20.8%	6.0%	23.3%	46.6%	21.0%	3.9%	-0.6%	-72.4M	917.8M	-2.6M	1.29	9.24	29,712	38,436	248,394	796,754
2015-02-18	$23.08	$23.50	20.0%	5.7%	25.1%	43.4%	20.0%	3.2%	-0.7%	-80.2M	632.5M	-2.6M	0.67	10.74	70,932	47,844	259,446	794,898
2015-02-19	$22.84	$23.50	19.7%	5.7%	24.8%	42.1%	21.1%	3.5%	-0.3%	-67.8M	760.9M	-2.6M	1.40	11.56	15,640	21,852	277,298	805,112
2015-02-20	$22.83	$23.50	18.9%	5.4%	24.8%	38.8%	20.4%	3.3%	0.4%	-54.3M	787.2M	-2.6M	0.33	10.15	30,266	9,948	284,470	809,526
2015-02-23	$23.00	$23.50	18.7%	5.5%	25.0%	38.1%	19.9%	3.9%	-0.6%	-55.8M	410.8M	-2.5M	2.37	8.62	15,114	35,852	202,272	642,646
2015-02-25	$22.80	$23.50	18.3%	5.5%	25.1%	36.2%	19.0%	3.1%	-0.5%	-60.7M	482.9M	-2.5M	1.21	10.12	14,468	17,496	228,684	670,692
2015-02-26	$22.65	$23.50	17.9%	5.4%	25.0%	34.6%	19.9%	4.0%	-0.3%	-57.5M	572.1M	-2.5M	1.14	9.85	22,386	25,568	232,930	674,506
2015-02-27	$22.61	$23.50	17.7%	5.5%	25.0%	34.0%	19.3%	3.0%	-0.4%	-69.1M	590.1M	-2.4M	1.89	9.80	16,874	31,842	226,648	685,466