XLU Options History — August 2016

In August 2016, XLU traded between $24.55 and $26.05. ATM implied volatility averaged 14.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.3% (HV 20d: 12.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.11.

Notable Days

2016-08-05: Highest Volume — 364,146 contracts
2016-08-15: Largest IV spike — 16.5% change
2016-08-26: Highest IV Rank — 34.4%
2016-08-26: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.23	$24.55	$26.05	$26.05	$24.61
Max Pain	$25.20	$25.00	$26.00	$26.00	$25.00
ATM IV	14.6%	12.4%	16.8%	13.4%	16.2%
Expected Move	4.3%	3.8%	5.0%	3.8%	4.9%
HV 20d	12.2%	9.8%	14.2%	12.9%	14.2%
HV 60d	12.7%	11.6%	13.2%	12.8%	12.9%
IV Rank	17.7%	1.4%	34.4%	8.5%	29.7%
IV Percentile	34.4%	1.2%	73.8%	7.9%	63.9%
Term Structure	0.1%	-0.8%	1.2%	0.0%	-0.0%
VWIV	15.9%	13.3%	18.3%	15.5%	17.8%
Skew 25d	3.2%	2.0%	4.8%	2.5%	4.8%
Skew 10d	6.1%	4.1%	8.6%	6.9%	8.6%
Call IV 25d	13.3%	11.5%	15.2%	12.7%	13.9%
Put IV 25d	16.4%	13.5%	19.0%	15.2%	18.7%
Bid-Ask Spread %	10.74	7.47	17.56	8.50	11.31
Gamma HHI	0.16	0.12	0.27	0.27	0.18
Net GEX	-47.4M	-104.2M	32.2M	32.2M	-63.3M
Net DEX	161.7M	-545.1M	653.8M	-545.1M	469.2M
Net VEX	-4.7M	-5.1M	-4.2M	-4.7M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.11	0.83	4.01	4.01	3.53
Total Volume	126,238.783	27,302	364,146	131,188	168,810
Total OI	1,919,524.522	1,742,622	2,091,518	1,859,112	1,809,378

Daily Data (23 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
2016-08-01	$26.05	$26.00	13.4%	3.8%	12.9%	8.5%	15.5%	2.5%	0.0%	32.2M	-545.1M	-4.7M	4.01	8.50	26,182	105,006	683,488	1,175,624
2016-08-02	$25.92	$26.00	13.7%	3.9%	12.6%	10.6%	16.7%	3.2%	-0.1%	22.3M	-370.6M	-5.0M	1.82	9.65	53,460	97,350	693,118	1,230,776
2016-08-03	$25.75	$26.00	14.0%	4.0%	12.7%	13.4%	14.4%	3.2%	-0.1%	21.8M	-221.5M	-5.1M	1.67	9.96	20,826	34,718	724,282	1,262,772
2016-08-04	$25.73	$25.00	13.7%	4.4%	11.0%	10.9%	16.2%	3.3%	-0.1%	27.1M	-216.4M	-4.9M	3.68	12.65	24,982	91,936	724,244	1,237,982
2016-08-05	$25.38	$25.50	13.9%	4.2%	11.3%	12.4%	16.5%	2.2%	-0.1%	-61.3M	297.7M	-4.8M	0.91	10.02	190,990	173,156	728,204	1,300,814
2016-08-08	$25.38	$25.00	14.1%	4.2%	11.3%	13.7%	14.9%	2.4%	0.6%	-56.4M	165.3M	-4.8M	2.91	11.62	19,432	56,554	660,704	1,288,634
2016-08-09	$25.36	$25.00	13.5%	4.1%	10.3%	9.1%	14.2%	2.9%	1.1%	-70.3M	239.5M	-5.0M	2.82	9.97	21,924	61,806	662,936	1,311,258
2016-08-10	$25.36	$25.00	13.2%	4.1%	9.9%	7.1%	14.7%	2.8%	0.6%	-88.6M	243.7M	-4.8M	2.22	8.06	18,208	40,424	664,448	1,321,078
2016-08-11	$25.39	$25.50	12.4%	3.9%	9.8%	1.4%	13.3%	2.7%	1.1%	-88.5M	197.9M	-4.7M	0.85	7.47	53,208	45,418	665,018	1,325,002
2016-08-12	$25.47	$25.00	12.4%	3.8%	9.9%	1.6%	14.6%	2.0%	1.2%	-104.2M	67.0M	-4.6M	1.09	10.10	43,790	47,788	696,396	1,336,538
2016-08-15	$25.07	$25.00	14.5%	4.3%	11.1%	17.2%	15.6%	2.7%	-0.1%	-87.3M	431.8M	-4.5M	1.32	11.03	46,520	61,444	674,478	1,294,880
2016-08-16	$24.79	$25.00	15.6%	4.5%	11.5%	25.3%	17.2%	3.3%	0.5%	-101.6M	653.8M	-4.5M	3.26	7.60	59,572	193,924	680,536	1,286,834
2016-08-17	$25.14	$25.50	15.8%	4.5%	12.9%	27.0%	16.4%	2.8%	-0.8%	-84.6M	375.7M	-4.9M	1.41	17.56	99,782	140,192	683,674	1,336,314
2016-08-18	$25.45	$25.00	14.5%	4.2%	13.6%	17.4%	15.4%	2.7%	-0.1%	19.5M	-83.3M	-4.6M	2.26	13.80	38,154	86,370	735,712	1,318,174
2016-08-19	$25.13	$25.00	14.9%	4.3%	13.2%	20.1%	15.6%	2.7%	-0.6%	-35.2M	223.4M	-4.7M	2.28	9.70	31,974	72,944	753,238	1,338,280
2016-08-22	$25.20	$25.00	14.8%	4.3%	13.3%	19.7%	16.2%	3.6%	-0.1%	-36.5M	20.9M	-4.6M	0.83	9.17	46,234	38,550	592,654	1,149,968
2016-08-23	$25.09	$25.00	15.0%	4.4%	13.2%	21.3%	15.8%	2.7%	-0.4%	-42.8M	69.6M	-4.4M	1.77	9.35	27,782	49,228	618,592	1,168,680
2016-08-24	$25.09	$25.00	15.5%	4.5%	12.6%	24.9%	16.1%	4.3%	-0.5%	-53.7M	160.4M	-4.7M	2.08	16.92	8,852	18,450	611,120	1,193,152
2016-08-25	$25.07	$25.00	15.3%	4.5%	12.4%	23.4%	17.6%	3.8%	-0.2%	-56.3M	153.1M	-4.7M	2.31	8.71	20,996	48,566	616,532	1,198,112
2016-08-26	$24.59	$25.00	16.8%	5.0%	13.6%	34.4%	18.3%	3.9%	-0.5%	-78.5M	572.5M	-4.6M	2.88	17.06	55,254	159,158	618,604	1,220,264
2016-08-29	$24.77	$25.00	16.0%	4.8%	14.0%	28.7%	16.5%	4.8%	-0.2%	-47.1M	350.5M	-4.5M	1.10	7.76	41,670	45,764	601,154	1,171,514
2016-08-30	$24.55	$25.00	16.2%	4.9%	14.2%	30.3%	16.8%	4.2%	-0.1%	-57.5M	463.6M	-4.2M	1.59	8.98	44,920	71,224	600,022	1,183,882
2016-08-31	$24.61	$25.00	16.2%	4.9%	14.2%	29.7%	17.8%	4.8%	-0.0%	-63.3M	469.2M	-4.5M	3.53	11.31	37,252	131,558	604,996	1,204,382