XLU Options History — March 2017

In March 2017, XLU traded between $25.32 and $26.02. ATM implied volatility averaged 13.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.5% (HV 20d: 12.9%). Max pain ranged from $24.50 to $26.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.76.

Notable Days

2017-03-16: Highest Volume — 276,154 contracts
2017-03-10: Largest IV drop — 8.8% change
2017-03-01: Highest IV Rank — 33.6%
2017-03-01: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.69	$25.32	$26.02	$25.68	$25.70
Max Pain	$25.58	$24.50	$26.00	$24.50	$26.00
ATM IV	13.4%	12.1%	15.3%	15.3%	12.5%
Expected Move	3.9%	3.3%	5.0%	5.0%	3.3%
HV 20d	12.9%	10.7%	15.0%	12.7%	13.6%
HV 60d	12.0%	10.8%	12.7%	11.9%	12.3%
IV Rank	13.2%	0.0%	33.6%	33.6%	4.1%
IV Percentile	15.8%	0.0%	55.2%	55.2%	2.8%
Term Structure	0.1%	-0.6%	1.7%	-0.2%	0.6%
VWIV	14.0%	12.3%	20.3%	17.7%	12.4%
Skew 25d	1.8%	0.9%	2.5%	1.8%	0.9%
Skew 10d	3.0%	-0.6%	6.6%	3.4%	0.4%
Call IV 25d	12.7%	11.5%	14.7%	14.7%	12.6%
Put IV 25d	14.5%	12.9%	16.4%	16.4%	13.5%
Bid-Ask Spread %	10.48	4.17	15.66	10.11	11.93
Gamma HHI	0.14	0.09	0.35	0.12	0.10
Net GEX	-32.2M	-103.3M	43.9M	3.8M	-32.9M
Net DEX	-325.6M	-575.7M	-110.0M	-558.5M	-200.4M
Net VEX	-4.3M	-4.9M	-3.3M	-3.3M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.47	7.30	1.42	1.25
Total Volume	137,827.478	54,364	276,154	135,118	135,604
Total OI	1,367,857.217	1,120,560	1,589,014	1,120,560	1,403,324

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
2017-03-01	$25.68	$24.50	15.3%	5.0%	12.7%	33.6%	17.7%	1.8%	-0.2%	3.8M	-558.5M	-3.3M	1.42	10.11	55,926	79,192	506,962	613,598
2017-03-02	$25.80	$24.50	15.2%	5.0%	10.7%	32.7%	20.3%	2.1%	-0.3%	-18.6M	-575.7M	-3.3M	3.53	9.34	55,036	194,036	511,218	684,798
2017-03-03	$25.73	$24.75	14.5%	4.7%	10.7%	25.0%	16.6%	2.5%	-0.0%	-103.3M	-519.1M	-3.7M	7.30	10.80	24,454	178,474	540,606	794,120
2017-03-06	$25.71	$25.50	14.2%	4.1%	10.8%	22.1%	14.9%	1.9%	-0.1%	-30.3M	-424.5M	-3.9M	1.60	4.17	22,218	35,546	520,374	858,094
2017-03-07	$25.71	$25.50	13.5%	4.0%	10.7%	14.5%	14.2%	1.8%	0.1%	-33.9M	-444.0M	-3.8M	1.77	5.57	19,612	34,752	527,946	892,670
2017-03-08	$25.35	$25.50	14.3%	4.0%	12.2%	23.6%	14.9%	2.2%	-0.0%	-52.0M	-142.2M	-4.1M	3.09	8.12	31,212	96,528	534,644	899,284
2017-03-09	$25.32	$25.50	14.5%	4.0%	11.9%	25.6%	15.1%	2.1%	0.0%	-58.6M	-110.0M	-4.5M	5.14	7.09	18,886	96,982	546,950	957,388
2017-03-10	$25.45	$25.50	13.3%	3.8%	11.5%	11.8%	13.9%	1.9%	0.1%	-95.8M	-194.7M	-4.3M	2.09	4.60	41,574	86,984	555,230	973,064
2017-03-13	$25.56	$25.50	13.4%	3.8%	11.4%	13.7%	13.3%	2.5%	-0.1%	-70.3M	-340.4M	-4.2M	1.13	6.20	61,798	69,960	549,804	978,452
2017-03-14	$25.48	$25.50	12.7%	3.9%	11.5%	5.3%	13.7%	2.0%	0.9%	-78.6M	-241.4M	-4.2M	1.44	5.65	53,266	76,872	528,982	995,158
2017-03-15	$26.02	$25.50	12.3%	3.6%	12.9%	1.9%	13.3%	2.2%	-0.2%	15.1M	-569.1M	-4.0M	1.68	15.66	49,848	83,916	529,604	1,019,664
2017-03-16	$25.66	$25.50	12.1%	3.5%	14.1%	0.0%	12.4%	1.1%	-0.2%	-36.1M	-457.9M	-3.6M	0.94	13.54	142,154	134,000	531,324	1,057,690
2017-03-17	$25.70	$25.50	12.1%	3.6%	13.8%	0.0%	12.3%	1.2%	0.4%	43.9M	-236.6M	-4.2M	0.48	9.11	145,354	69,988	466,746	998,944
2017-03-20	$25.43	$25.50	12.2%	3.5%	14.5%	1.2%	12.4%	1.4%	0.3%	-32.9M	-150.5M	-4.4M	0.79	10.95	50,660	39,790	422,174	708,348
2017-03-21	$25.83	$26.00	13.2%	3.8%	14.9%	11.4%	14.1%	1.6%	0.2%	-17.3M	-294.5M	-4.3M	0.86	15.05	101,312	87,366	423,198	721,100
2017-03-22	$25.93	$26.00	12.6%	3.6%	15.0%	5.2%	13.2%	1.4%	0.2%	-7.6M	-389.3M	-4.5M	1.24	12.68	73,448	90,822	477,238	758,446
2017-03-23	$25.80	$26.00	13.2%	3.7%	14.8%	11.9%	12.9%	1.6%	1.7%	-17.7M	-299.0M	-4.9M	0.87	11.73	61,742	53,538	500,318	789,244
2017-03-24	$25.93	$26.00	12.9%	3.7%	14.1%	8.7%	13.0%	1.3%	0.2%	-17.0M	-338.8M	-4.9M	0.55	15.47	66,870	36,686	502,590	811,540
2017-03-27	$25.86	$26.00	13.8%	3.7%	14.0%	17.7%	13.1%	2.0%	-0.6%	-16.2M	-321.2M	-4.7M	0.54	14.64	67,116	36,384	508,252	810,130
2017-03-28	$25.82	$26.00	13.1%	3.6%	13.7%	11.1%	12.4%	1.8%	0.3%	-18.3M	-298.0M	-4.8M	0.47	12.83	53,450	25,296	516,652	825,724
2017-03-29	$25.74	$26.00	13.1%	3.5%	13.5%	11.1%	12.4%	1.6%	0.2%	-24.3M	-241.1M	-4.9M	0.77	14.29	51,794	39,632	517,066	829,054
2017-03-30	$25.57	$26.00	13.2%	3.5%	13.5%	11.7%	14.3%	2.3%	-0.5%	-41.8M	-140.6M	-4.8M	1.54	11.59	55,070	84,884	518,374	844,630
2017-03-31	$25.70	$26.00	12.5%	3.3%	13.6%	4.1%	12.4%	0.9%	0.6%	-32.9M	-200.4M	-4.8M	1.25	11.93	60,174	75,430	520,288	883,036