XLU Options History — October 2017

In October 2017, XLU traded between $26.48 and $27.55. ATM implied volatility averaged 11.0%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.0% (HV 20d: 10.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.63.

Notable Days

2017-10-18: Highest Volume — 283,388 contracts
2017-10-25: Largest IV spike — 8.5% change
2017-10-26: Highest IV Rank — 23.5%
2017-10-26: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.13	$26.48	$27.55	$26.56	$27.55
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	11.0%	9.9%	11.6%	11.5%	11.5%
Expected Move	3.2%	2.8%	3.5%	3.1%	3.4%
HV 20d	10.1%	7.6%	12.6%	12.0%	7.6%
HV 60d	9.3%	9.2%	9.5%	9.2%	9.2%
IV Rank	18.6%	9.7%	23.5%	22.2%	22.2%
IV Percentile	28.9%	8.7%	44.0%	34.1%	40.9%
Term Structure	0.1%	-0.4%	0.6%	0.3%	0.0%
VWIV	11.8%	10.4%	14.6%	11.8%	12.7%
Skew 25d	2.0%	1.6%	2.4%	1.6%	2.3%
Skew 10d	4.4%	3.5%	5.7%	3.5%	5.3%
Call IV 25d	10.3%	9.7%	10.9%	10.8%	10.6%
Put IV 25d	12.3%	11.5%	13.1%	12.4%	12.9%
Bid-Ask Spread %	3.54	2.42	10.08	5.12	2.84
Gamma HHI	0.13	0.11	0.22	0.14	0.12
Net GEX	-38.8M	-89.5M	-8.3M	-50.6M	-72.4M
Net DEX	-52.1M	-383.0M	539.9M	451.4M	-227.8M
Net VEX	-6.1M	-6.6M	-5.4M	-6.3M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.42	3.08	1.69	0.72
Total Volume	126,615.455	73,836	283,388	122,682	83,312
Total OI	1,810,627.364	1,621,362	1,979,012	1,621,362	1,944,284

Daily Data (22 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
2017-10-02	$26.56	$27.00	11.5%	3.1%	12.0%	22.2%	11.8%	1.6%	0.3%	-50.6M	451.4M	-6.3M	1.69	5.12	45,606	77,076	592,164	1,029,198
2017-10-03	$26.48	$27.00	11.3%	3.1%	11.9%	21.0%	11.6%	2.0%	0.1%	-61.1M	539.9M	-6.4M	1.43	3.16	44,366	63,520	603,360	1,059,164
2017-10-04	$26.77	$27.00	11.1%	3.0%	12.6%	19.3%	11.5%	1.9%	0.0%	-44.9M	296.4M	-6.5M	0.73	10.08	75,706	55,312	609,624	1,070,052
2017-10-05	$26.73	$27.00	11.2%	3.4%	12.1%	20.3%	11.8%	2.1%	-0.0%	-60.1M	327.3M	-6.6M	0.42	3.48	99,186	41,854	618,920	1,090,474
2017-10-06	$26.70	$27.00	11.2%	3.4%	12.0%	20.0%	11.8%	2.0%	0.2%	-89.5M	261.1M	-6.6M	1.33	3.67	43,918	58,264	674,764	1,099,676
2017-10-09	$26.74	$27.00	11.3%	3.4%	11.4%	20.5%	11.6%	2.2%	0.4%	-33.0M	182.7M	-6.4M	0.76	2.77	41,932	31,904	675,388	1,076,908
2017-10-10	$27.00	$27.00	11.6%	3.4%	10.6%	23.3%	12.3%	1.7%	0.2%	-20.6M	-67.0M	-6.4M	0.63	2.86	81,904	51,798	679,148	1,080,594
2017-10-11	$27.14	$27.00	11.3%	3.4%	10.7%	20.7%	11.7%	1.6%	0.6%	-8.3M	-194.1M	-6.3M	1.55	2.47	51,340	79,698	705,530	1,103,780
2017-10-12	$27.26	$27.00	10.7%	3.0%	10.3%	15.8%	10.6%	1.8%	-0.4%	-12.2M	-308.9M	-6.2M	0.91	3.58	56,878	51,894	707,438	1,137,544
2017-10-13	$27.05	$27.00	10.7%	3.1%	10.4%	16.4%	10.7%	1.7%	0.1%	-17.9M	-102.3M	-6.2M	1.04	2.93	45,486	47,162	696,528	1,126,254
2017-10-16	$27.01	$27.00	10.6%	3.0%	9.8%	15.1%	10.6%	1.9%	-0.1%	-34.7M	-59.9M	-6.0M	2.22	2.42	45,880	101,914	684,830	1,112,616
2017-10-17	$27.18	$27.00	10.6%	3.0%	10.1%	15.2%	10.4%	1.8%	-0.2%	-25.1M	-217.7M	-5.9M	2.72	2.56	39,076	106,214	682,186	1,114,584
2017-10-18	$27.14	$27.00	10.7%	3.1%	9.6%	15.8%	12.1%	1.8%	-0.4%	-30.4M	-157.8M	-5.9M	3.08	3.21	69,430	213,958	678,458	1,120,850
2017-10-19	$27.40	$27.00	9.9%	2.8%	10.1%	9.7%	11.0%	1.9%	0.1%	-25.2M	-383.0M	-5.8M	0.67	4.22	88,808	59,622	695,822	1,283,190
2017-10-20	$27.41	$27.00	10.4%	3.0%	9.7%	13.6%	10.7%	1.9%	0.1%	-20.2M	-332.6M	-5.8M	2.57	3.00	41,324	106,400	674,332	1,299,204
2017-10-23	$27.48	$27.00	10.4%	3.1%	9.5%	14.0%	11.2%	1.8%	0.3%	-32.9M	-263.7M	-5.7M	1.43	3.47	38,252	54,582	548,668	1,248,202
2017-10-24	$27.49	$27.00	10.6%	3.2%	9.4%	15.1%	11.8%	1.9%	0.3%	-32.4M	-282.4M	-5.6M	1.84	2.90	39,068	71,900	552,998	1,255,762
2017-10-25	$27.36	$27.00	11.5%	3.5%	8.0%	22.1%	12.3%	2.3%	0.1%	-47.8M	-80.2M	-6.0M	2.26	3.50	34,460	77,756	553,230	1,275,124
2017-10-26	$27.36	$27.00	11.6%	3.5%	7.9%	23.5%	14.6%	2.4%	-0.0%	-49.6M	-103.2M	-5.9M	3.04	3.42	33,944	103,242	550,888	1,304,282
2017-10-27	$27.50	$27.00	11.3%	3.4%	7.8%	20.7%	13.0%	2.2%	0.3%	-26.7M	-221.7M	-5.8M	2.64	3.37	33,724	89,154	552,768	1,359,276
2017-10-30	$27.55	$27.00	11.6%	3.5%	7.8%	23.2%	13.7%	2.2%	0.1%	-57.3M	-203.4M	-5.6M	2.27	2.81	33,270	75,446	529,894	1,375,846
2017-10-31	$27.55	$27.00	11.5%	3.4%	7.6%	22.2%	12.7%	2.3%	0.0%	-72.4M	-227.8M	-5.4M	0.72	2.84	48,532	34,780	535,358	1,408,926