XLU Options History — January 2016

In January 2016, XLU traded between $21.52 and $22.71. ATM implied volatility averaged 16.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.3% (HV 20d: 16.3%). Max pain ranged from $21.50 to $22.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.07.

Notable Days

2016-01-06: Highest Volume — 139,098 contracts
2016-01-20: Largest IV spike — 15.0% change
2016-01-20: Highest IV Rank — 52.9%
2016-01-20: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.80	$21.52	$22.71	$21.56	$22.71
Max Pain	$21.79	$21.50	$22.00	$21.50	$22.00
ATM IV	16.6%	14.4%	19.2%	16.3%	14.4%
Expected Move	4.7%	4.0%	5.5%	4.6%	4.0%
HV 20d	16.3%	14.0%	18.2%	17.4%	18.2%
HV 60d	17.2%	16.4%	18.2%	16.8%	18.2%
IV Rank	33.2%	16.4%	52.9%	30.5%	16.4%
IV Percentile	52.9%	12.7%	90.1%	46.4%	12.7%
Term Structure	-0.0%	-1.1%	0.5%	-0.1%	0.0%
VWIV	16.8%	14.1%	19.8%	16.2%	14.1%
Skew 25d	3.5%	2.7%	4.7%	3.3%	2.7%
Skew 10d	7.5%	5.7%	9.0%	8.6%	5.7%
Call IV 25d	15.1%	13.5%	17.3%	14.7%	13.5%
Put IV 25d	18.6%	16.1%	22.1%	18.0%	16.1%
Bid-Ask Spread %	12.05	7.23	18.95	8.18	18.31
Gamma HHI	0.12	0.09	0.24	0.10	0.11
Net GEX	2.3M	-3.3M	12.2M	-2.3M	11.4M
Net DEX	42.1M	-223.7M	113.8M	102.9M	-223.7M
Net VEX	-3.1M	-3.7M	-2.1M	-2.1M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.22	3.36	0.67	0.76
Total Volume	56,525.789	14,380	139,098	27,850	69,688
Total OI	677,178.842	517,010	757,124	517,010	731,102

Daily Data (19 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
2016-01-04	$21.56	$21.50	16.3%	4.6%	17.4%	30.5%	16.2%	3.3%	-0.1%	-2.3M	102.9M	-2.1M	0.67	8.18	16,714	11,136	154,648	362,362
2016-01-05	$21.76	$21.50	15.4%	4.2%	16.8%	24.3%	15.8%	3.3%	0.0%	2.4M	61.6M	-2.1M	1.39	12.70	15,934	22,114	166,420	367,632
2016-01-06	$21.70	$21.50	15.7%	4.7%	16.9%	26.3%	16.1%	3.1%	-0.0%	3.9M	65.1M	-2.2M	1.24	15.68	61,984	77,114	176,656	381,942
2016-01-07	$21.61	$21.50	17.2%	4.8%	16.9%	37.4%	17.2%	3.2%	-0.2%	1.9M	94.9M	-3.1M	1.09	8.55	45,442	49,606	236,652	453,082
2016-01-08	$21.53	$21.50	17.1%	4.8%	17.0%	37.0%	16.0%	3.7%	0.2%	-3.3M	106.9M	-3.1M	3.36	9.30	15,468	51,996	237,312	458,604
2016-01-11	$21.71	$22.00	16.6%	4.9%	15.9%	33.4%	17.2%	3.6%	0.5%	2.5M	87.5M	-3.0M	2.65	9.27	8,698	23,038	238,170	460,212
2016-01-12	$21.57	$22.00	17.0%	4.7%	16.1%	35.8%	16.7%	3.2%	-1.1%	-594.4K	109.9M	-3.0M	1.10	10.03	22,866	25,166	239,674	470,536
2016-01-13	$21.59	$21.50	17.2%	4.9%	16.0%	37.6%	16.6%	3.7%	0.0%	-1.9M	113.8M	-3.1M	0.89	9.67	24,014	21,384	253,716	484,462
2016-01-14	$21.89	$21.50	16.3%	4.7%	16.4%	30.8%	16.4%	3.3%	-0.1%	12.2M	36.8M	-3.1M	0.75	11.51	27,448	20,596	257,698	488,566
2016-01-15	$21.71	$21.50	17.8%	5.1%	14.0%	41.8%	17.9%	3.2%	0.1%	-3.2M	109.5M	-3.2M	1.60	17.96	23,380	37,344	267,224	489,900
2016-01-19	$22.07	$22.00	16.7%	4.8%	15.2%	34.0%	17.1%	3.6%	0.1%	-608.7K	21.3M	-3.1M	0.38	14.40	76,240	29,300	205,068	383,636
2016-01-20	$21.52	$22.00	19.2%	5.5%	15.8%	52.9%	19.8%	4.7%	-0.1%	-2.9M	87.0M	-3.6M	0.25	12.11	72,404	17,790	269,586	403,324
2016-01-21	$21.55	$22.00	18.2%	5.2%	15.8%	45.4%	18.8%	4.3%	-0.1%	-2.5M	82.5M	-3.6M	0.22	7.72	66,502	14,326	279,366	406,874
2016-01-22	$21.89	$22.00	15.9%	4.6%	16.5%	27.9%	16.7%	3.3%	0.1%	4.0M	7.9M	-3.6M	0.87	7.23	20,838	18,048	286,672	411,072
2016-01-25	$21.70	$22.00	16.6%	4.8%	15.9%	32.8%	17.4%	3.7%	0.1%	1.8M	32.2M	-3.6M	1.13	8.36	10,330	11,692	293,370	412,456
2016-01-26	$21.84	$22.00	16.6%	4.8%	16.1%	33.2%	17.6%	3.8%	-0.1%	4.2M	9.5M	-3.7M	0.78	14.04	9,718	7,582	295,398	413,978
2016-01-27	$21.91	$22.00	15.9%	4.5%	16.1%	27.7%	16.9%	3.5%	0.1%	6.3M	-672.3K	-3.6M	0.60	18.95	9,002	5,378	296,762	416,024
2016-01-28	$22.29	$22.00	15.6%	4.4%	17.0%	25.4%	15.3%	3.6%	-0.0%	10.8M	-104.5M	-3.6M	0.54	15.03	21,856	11,854	299,704	416,538
2016-01-29	$22.71	$22.00	14.4%	4.0%	18.2%	16.4%	14.1%	2.7%	0.0%	11.4M	-223.7M	-3.1M	0.76	18.31	39,674	30,014	308,980	422,122