XLU Options History — July 2016

In July 2016, XLU traded between $25.80 and $26.48. ATM implied volatility averaged 13.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.8% (HV 20d: 13.1%). Max pain ranged from $24.50 to $26.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.39.

Notable Days

2016-07-07: Highest Volume — 296,534 contracts
2016-07-08: Largest IV drop — 10.5% change
2016-07-07: Highest IV Rank — 25.9%
2016-07-07: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.11	$25.80	$26.48	$26.22	$26.09
Max Pain	$25.82	$24.50	$26.00	$24.50	$26.00
ATM IV	13.9%	12.6%	15.7%	13.4%	13.2%
Expected Move	4.0%	3.6%	4.5%	3.7%	3.7%
HV 20d	13.1%	10.4%	14.8%	10.5%	12.9%
HV 60d	13.5%	12.7%	14.6%	13.6%	12.9%
IV Rank	12.4%	2.8%	25.9%	8.7%	7.0%
IV Percentile	16.9%	1.2%	54.4%	6.7%	4.8%
Term Structure	0.1%	-0.5%	0.6%	0.5%	0.2%
VWIV	15.1%	12.8%	17.5%	14.0%	15.0%
Skew 25d	3.2%	2.6%	3.9%	3.1%	2.8%
Skew 10d	6.6%	5.1%	9.6%	7.2%	7.1%
Call IV 25d	12.8%	11.5%	14.4%	12.3%	11.9%
Put IV 25d	16.0%	14.2%	18.3%	15.4%	14.6%
Bid-Ask Spread %	9.67	5.74	13.54	13.54	5.74
Gamma HHI	0.17	0.09	0.59	0.26	0.15
Net GEX	-21.5M	-272.7M	27.5M	25.5M	6.9M
Net DEX	-530.5M	-803.1M	-258.5M	-743.0M	-530.5M
Net VEX	-4.6M	-5.1M	-2.9M	-2.9M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.39	0.33	6.04	6.04	2.91
Total Volume	139,009.8	48,408	296,534	291,594	114,982
Total OI	1,743,667.4	1,274,202	1,934,776	1,274,202	1,934,776

Daily Data (20 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
2016-07-01	$26.22	$24.50	13.4%	3.7%	10.5%	8.7%	14.0%	3.1%	0.5%	25.5M	-743.0M	-2.9M	6.04	13.54	41,438	250,156	481,248	792,954
2016-07-05	$26.43	$25.50	14.0%	4.1%	10.6%	13.0%	14.8%	3.6%	0.0%	-2.0M	-697.6M	-3.6M	0.85	8.19	51,280	43,550	497,238	931,374
2016-07-06	$26.48	$25.50	14.3%	4.2%	10.4%	15.3%	16.4%	3.6%	0.2%	-4.3M	-696.0M	-3.7M	1.50	7.76	41,612	62,442	505,512	960,332
2016-07-07	$26.00	$25.50	15.7%	4.5%	12.8%	25.9%	17.5%	3.9%	0.0%	-15.7M	-448.0M	-4.2M	3.24	10.09	69,928	226,606	524,552	1,001,486
2016-07-08	$26.27	$25.50	14.0%	4.0%	12.8%	13.4%	16.2%	3.1%	0.6%	-34.2M	-575.6M	-4.2M	2.18	10.67	49,834	108,592	559,102	1,134,348
2016-07-11	$26.26	$26.00	14.4%	4.0%	12.7%	16.5%	16.4%	3.4%	-0.5%	-33.0M	-546.7M	-4.3M	0.33	10.88	186,570	61,108	561,972	1,120,560
2016-07-12	$25.89	$26.00	14.7%	4.1%	13.8%	18.8%	15.6%	2.6%	-0.1%	-25.8M	-447.0M	-4.6M	1.91	9.80	91,114	174,266	670,894	1,127,726
2016-07-13	$26.08	$26.00	14.3%	4.1%	13.9%	16.0%	14.7%	3.4%	0.2%	-33.7M	-583.8M	-4.8M	2.65	8.15	22,064	58,568	683,188	1,173,276
2016-07-14	$25.94	$26.00	14.2%	4.0%	13.8%	15.1%	15.9%	3.3%	-0.2%	-46.2M	-456.5M	-4.8M	2.24	9.06	32,330	72,472	683,904	1,185,144
2016-07-15	$26.00	$26.00	13.7%	3.9%	13.6%	11.0%	16.1%	3.4%	0.1%	-272.7M	-493.3M	-4.9M	2.64	11.12	35,692	94,124	695,600	1,203,818
2016-07-18	$26.07	$26.00	13.6%	3.9%	13.4%	10.6%	15.0%	3.1%	0.4%	-4.7M	-461.8M	-4.8M	1.18	11.94	50,124	59,254	620,942	1,095,268
2016-07-19	$26.00	$26.00	13.4%	3.8%	13.3%	8.8%	14.5%	3.0%	0.1%	-6.0M	-428.6M	-5.0M	3.56	7.64	18,072	64,268	655,428	1,114,068
2016-07-20	$25.90	$26.00	13.1%	3.7%	13.5%	6.3%	14.4%	3.2%	0.2%	-17.2M	-323.3M	-5.1M	1.38	11.28	57,002	78,674	655,756	1,134,474
2016-07-21	$26.03	$26.00	13.6%	3.9%	13.4%	10.1%	14.7%	3.1%	0.0%	-6.8M	-472.4M	-5.1M	4.65	10.63	25,056	116,462	689,600	1,171,222
2016-07-22	$26.36	$26.00	12.6%	3.6%	13.9%	2.8%	13.2%	2.7%	0.4%	27.5M	-803.1M	-4.7M	1.59	11.17	40,638	64,578	692,606	1,148,716
2016-07-25	$26.32	$26.00	13.0%	3.7%	13.9%	5.9%	12.8%	3.2%	0.1%	27.0M	-731.3M	-4.6M	1.17	8.83	25,396	29,792	685,062	1,139,160
2016-07-26	$26.13	$26.00	13.7%	3.9%	13.9%	11.1%	13.6%	3.4%	-0.0%	15.6M	-568.6M	-4.8M	2.72	9.77	23,846	64,748	690,432	1,144,968
2016-07-27	$25.80	$26.00	14.8%	4.3%	14.7%	19.4%	16.0%	2.8%	0.2%	-12.2M	-258.5M	-4.9M	3.17	8.38	29,982	95,168	699,618	1,183,500
2016-07-28	$25.93	$26.00	13.8%	3.9%	14.8%	11.8%	16.1%	3.4%	0.2%	-19.1M	-344.9M	-5.1M	1.87	8.74	16,886	31,522	701,362	1,222,162
2016-07-29	$26.09	$26.00	13.2%	3.7%	12.9%	7.0%	15.0%	2.8%	0.2%	6.9M	-530.5M	-4.9M	2.91	5.74	29,430	85,552	704,972	1,229,804