XLU Options History — June 2015 In June 2015, XLU traded between $20.77 and $22.30. ATM implied volatility averaged 15.4%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 12.2%). Max pain ranged from $21.50 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.32.
Notable Days 2015-06-17 : Highest Volume — 146,372 contracts2015-06-29 : Largest IV spike — 16.5% change2015-06-08 : Highest IV Rank — 68.5%2015-06-03 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.33 $20.77 $22.30 $22.30 $20.77 Max Pain $21.75 $21.50 $22.50 $22.50 $21.50 ATM IV 15.4% 13.2% 17.3% 15.0% 16.2% Expected Move 4.5% 3.8% 5.4% 4.8% 4.8% HV 20d 12.2% 9.7% 13.7% 12.9% 12.9% HV 60d 13.7% 13.1% 15.0% 15.0% 13.3% IV Rank 51.8% 32.1% 68.5% 48.5% 59.1% IV Percentile 51.6% 17.5% 78.2% 51.2% 63.9% Term Structure -0.1% -0.7% 0.8% -0.3% 0.1% VWIV 16.0% 13.4% 18.4% 16.0% 17.6% Skew 25d 2.6% 1.1% 3.4% 3.2% 2.9% Skew 10d 4.7% 2.2% 6.4% 6.0% 6.4% Call IV 25d 14.4% 13.1% 16.3% 13.4% 15.2% Put IV 25d 17.1% 14.7% 19.0% 16.7% 18.1% Bid-Ask Spread % 12.37 7.75 26.82 11.53 7.89 Gamma HHI 0.30 0.21 0.49 0.25 0.21 Net GEX -41.5M -74.9M -437.4K -49.7M -15.0M Net DEX 488.2M 139.6M 767.5M 256.9M 191.5M Net VEX -1.5M -2.0M -1.1M -2.0M -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.24 5.54 0.53 0.56 Total Volume 57,832.364 21,172 146,372 32,670 21,172 Total OI 806,653.909 401,170 1,053,506 932,744 405,812
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 2015-06-01 $22.30 $22.50 15.0% 4.8% 12.9% 48.5% 16.0% 3.2% -0.3% -49.7M 256.9M -2.0M 0.53 11.53 21,402 11,268 289,656 643,088 2015-06-02 $21.98 $22.50 15.3% 5.0% 13.5% 50.7% 17.7% 3.4% -0.0% -65.7M 424.8M -1.9M 1.85 15.90 13,312 24,676 300,540 643,464 2015-06-03 $21.68 $22.50 15.9% 5.4% 11.7% 56.5% 18.4% 3.0% -0.2% -70.0M 576.6M -1.8M 1.73 9.79 35,576 61,648 300,186 644,536 2015-06-04 $21.60 $22.00 17.2% 4.7% 11.6% 67.9% 16.6% 3.3% -0.7% -71.8M 613.6M -1.9M 0.42 7.75 66,388 27,772 301,014 665,054 2015-06-05 $21.35 $22.00 17.1% 4.6% 12.0% 67.1% 16.6% 2.2% -0.6% -59.9M 748.3M -1.8M 0.34 10.13 78,388 26,394 340,706 678,072 2015-06-08 $21.25 $22.00 17.3% 4.7% 11.8% 68.5% 17.1% 2.5% -0.5% -52.6M 715.5M -1.7M 1.09 9.97 15,580 16,936 346,276 653,532 2015-06-09 $21.21 $22.00 16.7% 4.9% 11.6% 63.6% 17.7% 2.9% 0.5% -56.0M 767.5M -1.7M 1.30 17.26 12,540 16,298 350,598 660,640 2015-06-10 $21.33 $22.00 15.9% 4.4% 11.9% 56.3% 15.7% 2.4% -0.3% -58.9M 708.8M -1.6M 0.64 8.30 20,398 13,034 352,926 668,824 2015-06-11 $21.43 $21.50 14.9% 4.3% 11.7% 46.9% 15.6% 2.0% 0.1% -53.8M 671.1M -1.6M 0.37 15.16 34,178 12,596 357,314 672,952 2015-06-12 $21.28 $21.50 15.6% 4.3% 11.0% 53.0% 16.7% 3.4% -0.5% -74.9M 761.1M -1.6M 5.54 13.61 16,000 88,648 374,536 678,970 2015-06-15 $21.23 $21.50 16.5% 4.8% 9.7% 61.5% 17.4% 3.3% -0.7% -71.8M 749.5M -1.4M 1.10 11.97 12,356 13,536 346,574 642,892 2015-06-16 $21.32 $21.50 14.8% 4.2% 9.7% 46.5% 14.9% 1.8% 0.2% -61.2M 661.5M -1.3M 1.21 10.34 14,492 17,560 349,822 597,530 2015-06-17 $21.53 $21.50 14.6% 4.2% 10.6% 44.7% 15.2% 1.1% -0.2% -35.9M 581.5M -1.2M 0.24 26.82 117,864 28,508 356,398 602,710 2015-06-18 $21.80 $21.50 13.2% 3.8% 11.5% 32.1% 13.6% 1.3% 0.5% -437.4K 379.7M -1.3M 0.60 11.65 67,158 40,008 408,366 604,602 2015-06-19 $21.40 $21.50 14.1% 4.0% 13.1% 39.7% 13.4% 2.8% -0.0% -11.1M 666.8M -1.3M 0.85 11.10 27,706 23,652 338,798 605,296 2015-06-22 $21.36 $21.50 14.4% 4.1% 13.1% 42.8% 15.1% 2.4% 0.4% -10.0M 139.6M -1.3M 0.83 13.11 14,870 12,332 135,222 265,948 2015-06-23 $21.07 $21.50 14.6% 4.1% 13.6% 44.8% 14.7% 2.6% -0.3% -15.0M 186.0M -1.3M 1.16 13.42 13,576 15,702 142,638 271,642 2015-06-24 $20.91 $21.50 14.0% 4.0% 13.4% 39.1% 14.4% 2.7% 0.8% -17.5M 208.2M -1.3M 0.93 9.17 11,668 10,902 144,738 277,902 2015-06-25 $20.78 $21.50 14.8% 4.2% 13.3% 46.4% 15.1% 2.9% 0.6% -19.4M 235.3M -1.3M 1.62 11.90 12,838 20,784 144,358 279,958 2015-06-26 $20.89 $21.50 14.3% 4.2% 13.7% 41.4% 15.9% 2.5% 0.2% -20.8M 243.4M -1.4M 2.12 11.99 11,584 24,590 147,248 303,812 2015-06-29 $20.80 $21.50 16.6% 4.8% 13.6% 62.6% 16.0% 3.1% -0.4% -22.0M 253.2M -1.4M 4.01 13.41 25,252 101,170 136,438 314,798 2015-06-30 $20.77 $21.50 16.2% 4.8% 12.9% 59.1% 17.6% 2.9% 0.1% -15.0M 191.5M -1.1M 0.56 7.89 13,544 7,628 149,992 255,820
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