XLU Options History — June 2016

In June 2016, XLU traded between $24.64 and $26.23. ATM implied volatility averaged 14.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.0% (HV 20d: 12.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.88.

Notable Days

2016-06-16: Highest Volume — 223,506 contracts
2016-06-13: Largest IV spike — 14.4% change
2016-06-27: Highest IV Rank — 30.4%
2016-06-27: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.25	$24.64	$26.23	$24.66	$26.23
Max Pain	$24.61	$24.00	$25.00	$24.00	$24.50
ATM IV	14.5%	12.7%	16.3%	14.5%	13.5%
Expected Move	4.2%	3.6%	4.7%	4.5%	3.6%
HV 20d	12.6%	9.3%	15.3%	14.5%	11.6%
HV 60d	13.8%	13.0%	14.3%	13.8%	13.6%
IV Rank	17.3%	3.3%	30.4%	17.3%	9.2%
IV Percentile	29.0%	1.2%	63.1%	23.8%	7.1%
Term Structure	-0.2%	-0.7%	0.7%	-0.6%	0.1%
VWIV	15.9%	13.1%	20.9%	17.5%	15.5%
Skew 25d	3.9%	2.6%	4.8%	4.0%	3.5%
Skew 10d	8.3%	5.1%	11.4%	7.8%	9.2%
Call IV 25d	13.0%	11.3%	14.2%	13.0%	11.9%
Put IV 25d	16.9%	14.4%	18.9%	17.1%	15.4%
Bid-Ask Spread %	10.22	6.22	16.71	8.38	14.15
Gamma HHI	0.19	0.12	0.35	0.12	0.26
Net GEX	23.1M	-9.3M	56.3M	15.6M	28.2M
Net DEX	-609.5M	-968.3M	-251.6M	-478.6M	-747.3M
Net VEX	-3.1M	-3.6M	-2.4M	-3.3M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.28	5.26	5.26	1.85
Total Volume	96,288.727	42,936	223,506	85,608	100,924
Total OI	1,298,774.636	1,098,298	1,536,952	1,307,898	1,230,912

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
2016-06-01	$24.66	$24.00	14.5%	4.5%	14.5%	17.3%	17.5%	4.0%	-0.6%	15.6M	-478.6M	-3.3M	5.26	8.38	13,672	71,936	498,234	809,664
2016-06-02	$24.64	$24.50	14.3%	4.0%	14.0%	15.3%	14.3%	4.0%	-0.7%	21.9M	-518.0M	-2.7M	1.46	12.26	43,562	63,544	499,872	826,638
2016-06-03	$25.05	$24.50	13.2%	3.8%	15.1%	7.4%	13.1%	3.6%	-0.6%	22.5M	-732.4M	-3.0M	1.19	11.10	62,644	74,386	515,322	826,500
2016-06-06	$25.00	$24.50	13.6%	3.8%	14.9%	10.1%	14.0%	3.5%	-0.1%	37.1M	-701.9M	-3.1M	2.89	8.20	20,462	59,172	546,148	806,652
2016-06-07	$24.97	$24.50	13.2%	3.7%	14.8%	7.3%	13.9%	3.3%	-0.2%	30.7M	-726.7M	-2.9M	2.52	9.14	17,282	43,622	550,082	806,460
2016-06-08	$25.14	$24.50	12.8%	3.8%	15.0%	4.1%	13.9%	3.9%	0.4%	39.7M	-832.0M	-2.5M	2.28	8.97	17,010	38,818	552,670	813,686
2016-06-09	$25.39	$24.50	12.7%	3.6%	15.3%	3.3%	13.1%	2.6%	-0.4%	43.7M	-943.9M	-2.4M	0.84	8.79	60,840	51,094	558,948	825,954
2016-06-10	$25.30	$25.00	13.4%	3.7%	15.3%	8.4%	14.0%	3.8%	-0.4%	44.4M	-894.0M	-2.6M	0.92	11.70	51,706	47,448	575,744	844,038
2016-06-13	$25.24	$25.00	15.3%	4.4%	15.2%	23.0%	15.1%	4.5%	-0.7%	38.4M	-809.0M	-3.1M	0.74	8.42	71,608	53,280	575,428	834,144
2016-06-14	$25.38	$25.00	14.8%	4.2%	15.3%	19.2%	17.7%	4.1%	0.7%	46.6M	-882.3M	-3.4M	2.40	8.59	20,984	50,456	630,192	855,052
2016-06-15	$25.20	$25.00	15.7%	4.5%	15.3%	26.0%	15.6%	4.3%	-0.5%	56.3M	-811.2M	-3.4M	2.52	15.49	27,850	70,202	638,014	864,350
2016-06-16	$25.38	$25.00	14.6%	4.2%	10.5%	18.2%	15.2%	2.9%	-0.2%	35.7M	-968.3M	-2.9M	0.29	8.12	172,876	50,630	641,960	894,992
2016-06-17	$25.25	$25.00	15.3%	4.4%	10.6%	23.5%	16.9%	3.8%	-0.4%	-9.3M	-251.6M	-3.2M	0.28	9.38	118,842	33,294	371,550	908,514
2016-06-20	$25.16	$24.50	14.8%	4.3%	10.8%	19.1%	18.9%	3.8%	-0.1%	6.5M	-309.2M	-3.3M	1.99	10.21	27,242	54,092	427,558	670,740
2016-06-21	$25.22	$24.50	14.6%	4.3%	10.1%	18.0%	20.9%	4.1%	0.0%	5.5M	-345.3M	-3.2M	1.70	8.40	25,444	43,326	441,204	690,070
2016-06-22	$25.11	$24.50	16.0%	4.6%	9.9%	28.8%	17.7%	4.3%	-0.0%	-3.3M	-258.4M	-3.6M	0.90	7.51	27,082	24,298	443,028	717,790
2016-06-23	$25.16	$24.50	14.7%	4.1%	9.8%	18.4%	15.3%	3.9%	-0.2%	-1.5M	-300.2M	-3.2M	2.86	10.18	11,116	31,820	448,404	724,310
2016-06-24	$25.28	$24.50	16.1%	4.6%	9.3%	29.5%	17.9%	4.5%	-0.3%	-1.6M	-357.2M	-3.5M	2.31	16.71	34,090	78,864	449,600	729,150
2016-06-27	$25.54	$24.50	16.3%	4.7%	9.8%	30.4%	16.9%	4.8%	0.1%	13.2M	-471.4M	-3.2M	2.26	14.07	29,080	65,820	446,350	703,446
2016-06-28	$25.61	$24.50	15.8%	4.5%	9.7%	26.8%	16.0%	4.3%	-0.4%	16.8M	-516.8M	-3.0M	1.82	8.79	32,020	58,380	453,378	716,708
2016-06-29	$25.69	$24.50	14.6%	4.0%	9.7%	17.6%	15.3%	3.6%	0.2%	20.8M	-553.7M	-3.1M	2.11	6.22	21,718	45,816	466,340	743,246
2016-06-30	$26.23	$24.50	13.5%	3.6%	11.6%	9.2%	15.5%	3.5%	0.1%	28.2M	-747.3M	-2.8M	1.85	14.15	35,396	65,528	470,556	760,356