XLU Options History — August 2017

In August 2017, XLU traded between $26.77 and $27.59. ATM implied volatility averaged 10.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 3.5% (HV 20d: 7.2%). Max pain ranged from $26.00 to $26.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2017-08-21: Highest Volume — 273,772 contracts
2017-08-17: Largest IV spike — 13.7% change
2017-08-18: Highest IV Rank — 28.3%
2017-08-18: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.20	$26.77	$27.59	$26.77	$27.48
Max Pain	$26.46	$26.00	$26.50	$26.50	$26.50
ATM IV	10.8%	9.2%	12.6%	9.8%	10.4%
Expected Move	3.2%	2.8%	3.6%	2.9%	3.1%
HV 20d	7.2%	6.2%	8.1%	7.7%	6.3%
HV 60d	8.6%	8.3%	8.9%	8.9%	8.3%
IV Rank	13.4%	0.4%	28.3%	6.0%	10.6%
IV Percentile	15.4%	0.4%	34.5%	2.4%	11.9%
Term Structure	0.2%	-0.9%	1.4%	0.1%	-0.0%
VWIV	12.3%	9.3%	15.7%	10.3%	11.3%
Skew 25d	2.7%	2.2%	3.3%	2.2%	2.9%
Skew 10d	5.9%	4.5%	7.4%	5.2%	6.0%
Call IV 25d	9.6%	8.5%	11.9%	9.2%	9.4%
Put IV 25d	12.4%	10.7%	14.2%	11.4%	12.3%
Bid-Ask Spread %	3.27	1.73	8.10	3.09	2.92
Gamma HHI	0.17	0.12	0.21	0.15	0.12
Net GEX	29.2M	-22.9M	83.6M	18.9M	62.6K
Net DEX	-598.3M	-776.8M	-312.6M	-326.6M	-625.7M
Net VEX	-5.3M	-6.5M	-4.5M	-6.5M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.20	3.64	0.27	1.34
Total Volume	123,641.043	49,232	273,772	50,262	137,242
Total OI	2,025,755.565	1,886,314	2,231,662	1,955,568	2,231,662

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
2017-08-01	$26.77	$26.50	9.8%	2.9%	7.7%	6.0%	10.3%	2.2%	0.1%	18.9M	-326.6M	-6.5M	0.27	3.09	39,538	10,724	672,160	1,283,408
2017-08-02	$26.86	$26.50	10.0%	2.8%	7.4%	7.1%	9.3%	2.2%	0.0%	31.9M	-487.7M	-5.9M	0.29	3.11	38,102	11,130	683,636	1,285,086
2017-08-03	$26.98	$26.00	9.2%	3.1%	7.4%	0.4%	10.5%	2.2%	0.3%	43.0M	-674.8M	-5.6M	0.30	3.93	42,206	12,698	677,108	1,286,580
2017-08-04	$26.91	$26.00	9.4%	3.1%	7.6%	2.2%	12.0%	2.3%	-0.0%	40.6M	-484.7M	-6.1M	1.44	2.44	41,408	59,644	690,932	1,299,314
2017-08-07	$26.96	$26.50	9.7%	3.1%	7.5%	5.0%	11.1%	2.2%	1.0%	16.1M	-499.7M	-5.6M	0.49	1.88	35,364	17,432	647,192	1,302,514
2017-08-08	$27.09	$26.50	9.7%	3.1%	7.4%	4.6%	12.0%	2.5%	0.5%	21.2M	-631.9M	-5.4M	0.53	2.11	40,614	21,522	649,806	1,305,894
2017-08-09	$26.96	$26.50	9.8%	3.2%	7.4%	5.9%	12.7%	2.7%	1.1%	15.3M	-510.5M	-5.6M	0.74	3.54	69,282	51,612	656,004	1,313,156
2017-08-10	$27.05	$26.50	10.5%	3.3%	7.2%	11.2%	11.4%	3.0%	1.4%	30.5M	-573.9M	-5.5M	1.01	3.07	40,912	41,392	648,366	1,339,046
2017-08-11	$26.86	$26.50	11.2%	3.3%	7.7%	16.8%	13.6%	2.8%	0.2%	-22.9M	-312.6M	-6.0M	0.89	2.52	39,764	35,256	653,772	1,352,574
2017-08-14	$27.02	$26.50	10.7%	3.1%	7.9%	13.1%	11.7%	2.8%	-0.1%	10.4M	-520.9M	-5.2M	1.10	1.93	31,446	34,478	624,586	1,334,554
2017-08-15	$27.16	$26.50	10.8%	3.1%	7.9%	13.4%	12.2%	2.3%	-0.9%	21.3M	-653.5M	-5.1M	1.28	4.00	50,260	64,186	625,466	1,342,462
2017-08-16	$27.25	$26.50	10.7%	3.1%	7.9%	12.7%	12.8%	2.6%	0.7%	41.0M	-776.8M	-4.8M	0.95	1.73	50,376	47,984	641,918	1,386,116
2017-08-17	$27.11	$26.50	12.1%	3.5%	8.1%	24.6%	13.0%	2.5%	0.1%	38.4M	-660.5M	-5.1M	0.21	2.87	201,458	43,086	655,102	1,379,320
2017-08-18	$27.26	$26.50	12.6%	3.6%	8.1%	28.3%	13.6%	2.3%	-0.1%	83.6M	-769.6M	-4.9M	0.42	2.54	115,018	48,000	800,654	1,381,130
2017-08-21	$27.39	$26.50	12.3%	3.6%	7.7%	26.3%	15.1%	3.2%	-0.1%	30.7M	-635.9M	-4.6M	3.64	5.95	59,050	214,722	672,366	1,213,948
2017-08-22	$27.39	$26.50	11.8%	3.4%	6.8%	21.6%	15.0%	3.2%	-0.2%	28.8M	-589.3M	-5.5M	3.24	3.03	41,790	135,324	700,412	1,399,488
2017-08-23	$27.50	$26.50	11.6%	3.3%	6.4%	20.0%	15.7%	3.3%	-0.1%	56.4M	-710.6M	-4.6M	1.81	2.87	73,102	132,634	683,544	1,276,246
2017-08-24	$27.48	$26.50	11.2%	3.3%	6.4%	17.3%	12.2%	3.1%	0.0%	33.5M	-574.2M	-5.5M	2.46	4.44	65,836	161,866	678,432	1,359,612
2017-08-25	$27.57	$26.50	11.0%	3.2%	6.3%	15.5%	11.7%	3.2%	0.3%	37.8M	-738.1M	-4.7M	0.93	3.51	47,640	44,178	703,574	1,402,922
2017-08-28	$27.59	$26.50	11.1%	3.2%	6.2%	16.2%	12.4%	3.2%	-0.1%	35.8M	-678.7M	-4.7M	0.89	2.60	34,912	31,002	689,344	1,373,524
2017-08-29	$27.58	$26.50	11.1%	3.4%	6.2%	16.2%	11.5%	3.1%	-0.1%	32.1M	-708.9M	-4.5M	0.20	8.10	187,804	38,020	689,494	1,376,004
2017-08-30	$27.46	$26.50	10.8%	3.3%	6.5%	13.7%	11.9%	2.9%	0.1%	27.6M	-616.0M	-4.6M	0.40	3.01	73,846	29,884	836,806	1,387,144
2017-08-31	$27.48	$26.50	10.4%	3.1%	6.3%	10.6%	11.3%	2.9%	-0.0%	62.6K	-625.7M	-4.6M	1.34	2.92	58,636	78,606	842,288	1,389,374