XLU Options History — March 2016

In March 2016, XLU traded between $23.04 and $24.82. ATM implied volatility averaged 14.5%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.3%). Max pain ranged from $23.00 to $24.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.07.

Notable Days

2016-03-09: Highest Volume — 237,696 contracts
2016-03-21: Largest IV spike — 8.6% change
2016-03-01: Highest IV Rank — 33.4%
2016-03-01: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.11	$23.04	$24.82	$23.04	$24.82
Max Pain	$23.58	$23.00	$24.50	$23.00	$24.00
ATM IV	14.5%	12.7%	16.7%	16.7%	13.9%
Expected Move	4.2%	3.6%	5.3%	5.3%	3.9%
HV 20d	14.3%	10.4%	16.1%	16.0%	10.6%
HV 60d	15.8%	14.9%	17.0%	17.0%	15.0%
IV Rank	17.0%	3.5%	33.4%	33.4%	12.9%
IV Percentile	18.1%	1.2%	56.3%	56.3%	11.1%
Term Structure	0.1%	-0.3%	1.5%	-0.1%	-0.3%
VWIV	15.4%	13.2%	19.5%	19.4%	14.0%
Skew 25d	3.4%	1.2%	5.0%	3.9%	3.0%
Skew 10d	7.5%	4.6%	9.9%	8.2%	7.9%
Call IV 25d	13.2%	12.2%	14.9%	14.9%	12.6%
Put IV 25d	16.7%	14.0%	19.0%	18.8%	15.6%
Bid-Ask Spread %	7.94	5.03	13.03	12.14	5.05
Gamma HHI	0.15	0.09	0.20	0.09	0.19
Net GEX	5.7M	-15.4M	31.6M	-14.0M	7.1M
Net DEX	-342.3M	-631.9M	-21.5M	-21.5M	-481.0M
Net VEX	-3.3M	-3.7M	-2.9M	-3.7M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.07	0.57	5.46	3.49	2.43
Total Volume	110,990.727	42,546	237,696	77,736	171,692
Total OI	1,118,754.182	1,030,482	1,380,850	1,030,482	1,117,348

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
2016-03-01	$23.04	$23.00	16.7%	5.3%	16.0%	33.4%	19.4%	3.9%	-0.1%	-14.0M	-21.5M	-3.7M	3.49	12.14	17,320	60,416	395,916	634,566
2016-03-02	$23.16	$23.00	15.8%	5.2%	16.1%	26.6%	19.5%	5.0%	-0.3%	-15.4M	-40.5M	-3.7M	4.73	9.72	14,304	67,704	395,216	639,966
2016-03-03	$23.27	$23.00	15.4%	4.4%	15.6%	24.3%	15.6%	4.3%	0.3%	-11.6M	-104.7M	-3.5M	1.57	13.03	16,534	26,012	397,360	649,820
2016-03-04	$23.57	$23.00	15.2%	4.3%	16.1%	22.7%	14.0%	3.8%	-0.1%	2.5M	-227.7M	-3.4M	2.63	9.10	27,024	70,940	405,044	655,050
2016-03-07	$23.67	$23.00	14.9%	4.3%	16.0%	20.4%	17.2%	3.9%	0.2%	485.7K	-265.6M	-3.1M	3.13	8.24	16,730	52,446	401,300	652,784
2016-03-08	$23.91	$23.00	14.8%	4.3%	16.0%	19.3%	16.1%	3.9%	0.2%	7.1M	-352.5M	-3.0M	1.56	7.18	52,964	82,770	403,020	653,736
2016-03-09	$24.00	$23.00	15.0%	4.3%	15.9%	21.0%	15.6%	3.9%	0.1%	12.9M	-389.0M	-2.9M	0.57	8.17	151,234	86,462	414,096	643,370
2016-03-10	$24.03	$23.50	15.4%	4.4%	15.9%	23.9%	16.0%	4.1%	-0.1%	22.7M	-480.1M	-3.4M	4.70	9.84	19,136	89,984	497,322	668,684
2016-03-11	$24.07	$23.50	15.0%	4.3%	14.5%	20.7%	15.3%	3.7%	0.0%	13.7M	-393.3M	-3.0M	2.27	6.70	32,472	73,690	438,226	697,088
2016-03-14	$24.08	$24.00	14.9%	4.3%	14.3%	20.1%	14.9%	3.6%	0.5%	11.1M	-377.1M	-3.1M	1.68	5.59	21,572	36,210	455,502	709,554
2016-03-15	$24.14	$24.00	14.3%	4.1%	14.3%	15.8%	15.7%	3.8%	-0.3%	18.4M	-392.6M	-3.2M	1.42	6.84	45,578	64,902	459,282	756,026
2016-03-16	$24.41	$24.00	13.8%	3.9%	14.5%	11.6%	15.9%	3.2%	0.4%	31.6M	-527.2M	-3.3M	3.75	11.07	34,740	130,330	495,100	800,022
2016-03-17	$24.66	$24.00	12.7%	3.7%	13.9%	3.5%	13.2%	1.2%	-0.1%	16.1M	-631.9M	-3.1M	1.21	7.68	55,230	66,962	508,862	871,988
2016-03-18	$24.32	$24.50	13.2%	3.6%	14.7%	7.3%	13.9%	3.1%	1.5%	2.2M	-292.3M	-3.6M	4.71	9.38	20,438	96,194	389,796	880,696
2016-03-21	$24.34	$24.50	14.3%	4.1%	14.3%	15.9%	14.5%	3.0%	-0.1%	-4.0M	-273.7M	-3.5M	3.76	9.26	16,108	60,556	374,996	669,044
2016-03-22	$24.22	$23.50	14.1%	3.9%	14.5%	14.2%	14.3%	3.1%	0.3%	-273.1K	-295.1M	-3.5M	5.46	6.35	16,976	92,614	404,158	666,150
2016-03-23	$24.42	$23.50	13.6%	3.8%	14.7%	10.6%	14.0%	2.8%	0.3%	3.5M	-358.4M	-3.4M	3.95	5.03	16,100	63,532	404,376	670,654
2016-03-24	$24.47	$23.50	13.6%	3.8%	14.4%	10.4%	15.5%	2.8%	0.4%	2.9M	-370.5M	-3.4M	4.52	7.08	15,832	71,590	406,700	686,376
2016-03-28	$24.38	$23.50	14.5%	4.1%	10.4%	16.9%	16.2%	3.6%	-0.1%	3.6M	-346.0M	-3.4M	2.90	6.96	24,730	71,640	405,726	652,718
2016-03-29	$24.73	$23.75	13.9%	3.8%	11.2%	12.2%	14.9%	2.6%	0.2%	9.5M	-467.2M	-3.2M	3.22	5.17	35,752	114,950	406,664	660,368
2016-03-30	$24.68	$24.00	13.6%	3.7%	10.6%	10.1%	13.4%	3.3%	0.4%	4.7M	-442.2M	-3.4M	3.82	5.10	28,906	110,520	414,586	703,336
2016-03-31	$24.82	$24.00	13.9%	3.9%	10.6%	12.9%	14.0%	3.0%	-0.3%	7.1M	-481.0M	-3.3M	2.43	5.05	50,100	121,592	416,404	700,944