XLU Options History — February 2017

In February 2017, XLU traded between $24.17 and $25.86. ATM implied volatility averaged 13.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.7% (HV 20d: 12.1%). Max pain ranged from $24.00 to $24.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.37.

Notable Days

2017-02-24: Highest Volume — 252,562 contracts
2017-02-13: Largest IV spike — 7.7% change
2017-02-28: Highest IV Rank — 29.6%
2017-02-28: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.85	$24.17	$25.86	$24.17	$25.86
Max Pain	$24.24	$24.00	$24.50	$24.00	$24.50
ATM IV	13.7%	12.7%	14.9%	14.2%	14.9%
Expected Move	4.2%	3.9%	4.9%	4.1%	4.9%
HV 20d	12.1%	11.2%	13.2%	12.1%	13.2%
HV 60d	14.6%	12.2%	17.5%	17.4%	12.2%
IV Rank	17.1%	6.2%	29.6%	22.1%	29.6%
IV Percentile	18.3%	3.2%	44.0%	21.8%	44.0%
Term Structure	0.3%	-0.7%	2.0%	0.1%	-0.3%
VWIV	15.2%	14.3%	17.1%	14.9%	17.1%
Skew 25d	2.0%	1.7%	2.5%	1.7%	2.0%
Skew 10d	4.3%	3.0%	6.0%	3.0%	3.6%
Call IV 25d	13.0%	11.9%	13.8%	13.7%	13.8%
Put IV 25d	15.0%	13.6%	16.1%	15.4%	15.8%
Bid-Ask Spread %	9.88	5.61	15.04	15.04	13.65
Gamma HHI	0.20	0.12	0.57	0.21	0.15
Net GEX	22.4M	-1.6M	110.5M	8.7M	3.3M
Net DEX	-370.6M	-643.8M	-107.4M	-107.4M	-624.3M
Net VEX	-2.5M	-2.9M	-2.0M	-2.1M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.17	4.28	0.42	0.82
Total Volume	125,215.053	33,462	252,562	134,202	96,704
Total OI	895,269.579	736,260	1,085,900	736,260	1,047,940

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
2017-02-01	$24.17	$24.00	14.2%	4.1%	12.1%	22.1%	14.9%	1.7%	0.1%	8.7M	-107.4M	-2.1M	0.42	15.04	94,498	39,704	365,200	371,060
2017-02-02	$24.39	$24.00	14.0%	4.3%	12.4%	20.0%	15.8%	2.1%	-0.0%	59.3M	-311.4M	-2.1M	0.49	9.85	81,616	40,312	429,482	385,396
2017-02-03	$24.46	$24.00	13.5%	4.3%	12.4%	14.7%	15.4%	2.1%	0.1%	110.5M	-438.7M	-2.0M	1.64	8.11	49,014	80,568	462,076	433,854
2017-02-06	$24.41	$24.00	13.4%	4.2%	12.2%	13.4%	15.3%	1.9%	1.3%	10.3M	-216.4M	-2.0M	1.89	6.91	11,588	21,874	373,234	400,284
2017-02-07	$24.45	$24.00	13.0%	4.1%	11.2%	8.9%	14.9%	1.7%	1.1%	11.6M	-235.3M	-2.0M	3.55	7.13	15,628	55,410	374,948	412,736
2017-02-08	$24.68	$24.00	12.7%	4.1%	11.6%	6.2%	14.3%	1.8%	1.8%	19.5M	-333.1M	-2.2M	0.81	8.15	25,694	20,742	376,704	442,538
2017-02-09	$24.49	$24.00	13.2%	4.1%	11.6%	11.7%	15.6%	1.8%	1.2%	16.6M	-249.2M	-2.2M	1.68	8.97	22,224	37,304	384,656	447,452
2017-02-10	$24.66	$24.00	12.9%	4.1%	11.8%	7.8%	14.8%	1.8%	2.0%	18.9M	-330.4M	-2.3M	2.51	8.91	41,186	103,376	397,878	469,136
2017-02-13	$24.78	$24.00	13.9%	4.1%	11.9%	18.5%	15.2%	2.3%	0.1%	9.1M	-310.7M	-2.4M	4.28	6.35	20,192	86,434	395,912	531,556
2017-02-14	$24.59	$24.00	14.5%	4.2%	11.8%	25.6%	14.5%	2.5%	-0.7%	6.6M	-205.5M	-2.5M	2.00	7.97	56,310	112,616	398,116	548,426
2017-02-15	$24.52	$24.50	14.8%	4.2%	11.8%	28.2%	15.3%	2.5%	-0.3%	-1.6M	-141.8M	-2.8M	0.52	10.32	155,606	80,546	421,312	587,978
2017-02-16	$24.76	$24.50	13.8%	4.0%	11.6%	18.0%	14.5%	2.0%	0.0%	31.2M	-513.7M	-2.9M	0.38	11.72	109,824	41,522	525,214	560,686
2017-02-17	$24.80	$24.50	13.5%	3.9%	11.6%	14.1%	14.3%	1.8%	-0.1%	28.4M	-408.9M	-2.9M	0.25	5.61	108,432	26,664	472,146	583,280
2017-02-21	$25.09	$24.50	13.7%	4.1%	12.0%	17.1%	14.5%	1.8%	-0.5%	23.2M	-423.6M	-2.6M	0.28	12.26	103,922	28,750	386,590	435,490
2017-02-22	$25.18	$24.50	13.5%	4.1%	12.0%	14.1%	14.7%	1.7%	-0.3%	22.8M	-458.1M	-2.7M	0.17	12.04	102,824	17,976	398,960	445,500
2017-02-23	$25.42	$24.50	13.6%	4.1%	12.2%	15.7%	15.2%	1.9%	-0.1%	22.3M	-546.2M	-2.6M	0.36	10.66	105,362	37,574	401,996	454,954
2017-02-24	$25.78	$24.50	13.8%	4.2%	12.9%	17.6%	15.7%	2.2%	-0.2%	21.6M	-643.8M	-2.6M	3.35	14.49	58,038	194,524	413,422	480,318
2017-02-27	$25.65	$24.50	14.2%	4.5%	13.1%	22.3%	16.3%	1.8%	0.0%	4.1M	-542.3M	-2.8M	0.64	9.64	57,720	36,808	428,654	565,038
2017-02-28	$25.86	$24.50	14.9%	4.9%	13.2%	29.6%	17.1%	2.0%	-0.3%	3.3M	-624.3M	-2.9M	0.82	13.65	52,996	43,708	457,110	590,830