XLU Options History — November 2017

In November 2017, XLU traded between $27.39 and $28.43. ATM implied volatility averaged 11.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.9% (HV 20d: 8.7%). Max pain ranged from $27.00 to $27.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.07.

Notable Days

2017-11-16: Highest Volume — 161,842 contracts
2017-11-15: Largest IV spike — 14.9% change
2017-11-15: Highest IV Rank — 49.1%
2017-11-15: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.92	$27.39	$28.43	$27.39	$28.30
Max Pain	$27.21	$27.00	$27.50	$27.00	$27.50
ATM IV	11.6%	10.3%	14.3%	11.6%	11.2%
Expected Move	3.6%	3.4%	4.1%	3.5%	3.9%
HV 20d	8.7%	7.3%	9.8%	7.3%	9.2%
HV 60d	9.7%	9.1%	10.1%	9.2%	10.0%
IV Rank	25.7%	13.3%	49.1%	22.9%	24.5%
IV Percentile	42.0%	16.7%	80.6%	42.9%	38.9%
Term Structure	-0.0%	-1.4%	1.5%	-0.1%	-0.4%
VWIV	13.3%	12.2%	14.5%	12.9%	14.3%
Skew 25d	2.5%	1.9%	3.1%	2.3%	2.8%
Skew 10d	5.2%	3.4%	8.4%	5.7%	5.3%
Call IV 25d	10.4%	9.4%	12.6%	10.9%	9.6%
Put IV 25d	12.9%	11.4%	15.5%	13.3%	12.5%
Bid-Ask Spread %	3.69	2.52	10.30	10.30	6.98
Gamma HHI	0.14	0.11	0.18	0.13	0.14
Net GEX	-20.3M	-94.3M	14.8M	-94.3M	11.9M
Net DEX	-507.4M	-951.2M	-21.9M	-21.9M	-642.3M
Net VEX	-4.4M	-5.7M	-3.7M	-5.7M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.50	3.32	0.50	3.32
Total Volume	94,680.286	51,126	161,842	51,126	145,000
Total OI	1,804,946.857	1,472,902	2,056,362	1,959,402	1,575,206

Daily Data (21 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
2017-11-01	$27.39	$27.00	11.6%	3.5%	7.3%	22.9%	12.9%	2.3%	-0.1%	-94.3M	-21.9M	-5.7M	0.50	10.30	34,050	17,076	539,142	1,420,260
2017-11-02	$27.51	$27.00	11.1%	3.7%	7.4%	19.5%	13.9%	2.3%	0.2%	-74.2M	-205.2M	-5.3M	0.66	2.85	34,300	22,806	542,590	1,419,836
2017-11-03	$27.60	$27.00	10.8%	3.6%	7.3%	16.8%	13.0%	2.1%	0.6%	-55.3M	-375.7M	-5.0M	0.67	2.68	47,356	31,606	543,504	1,425,630
2017-11-06	$27.50	$27.00	10.5%	3.5%	7.6%	15.0%	13.0%	2.7%	1.5%	-70.1M	-208.3M	-5.1M	1.08	3.37	32,548	35,006	537,584	1,404,648
2017-11-07	$27.84	$27.00	10.7%	3.5%	8.0%	16.0%	12.7%	2.0%	1.0%	-20.9M	-629.3M	-4.3M	1.74	2.90	52,836	91,808	538,936	1,411,232
2017-11-08	$27.84	$27.00	10.3%	3.4%	7.9%	13.3%	12.9%	2.0%	1.0%	-27.5M	-569.1M	-4.5M	0.94	2.61	44,176	41,398	554,926	1,444,246
2017-11-09	$27.88	$27.00	10.7%	3.5%	7.8%	16.3%	12.8%	1.9%	1.3%	139.7K	-713.1M	-4.1M	0.90	3.04	41,428	37,398	563,036	1,420,724
2017-11-10	$27.77	$27.00	11.2%	3.5%	7.4%	19.9%	13.1%	2.2%	0.7%	-17.4M	-563.1M	-4.5M	0.77	2.77	41,928	32,252	564,340	1,425,282
2017-11-13	$28.11	$27.00	11.8%	3.5%	8.2%	24.9%	12.6%	2.2%	-0.1%	4.2M	-804.0M	-3.9M	0.73	3.30	44,114	32,392	556,634	1,374,492
2017-11-14	$28.43	$27.00	12.5%	3.6%	8.8%	30.1%	13.7%	2.1%	-0.6%	14.8M	-951.2M	-3.7M	0.79	2.82	62,618	49,444	557,818	1,380,556
2017-11-15	$28.19	$27.00	14.3%	4.1%	9.5%	49.1%	14.5%	2.7%	-1.3%	-4.9M	-832.1M	-4.1M	1.41	3.11	39,316	55,260	579,250	1,406,258
2017-11-16	$28.08	$27.00	13.1%	3.8%	9.2%	38.2%	14.4%	2.8%	-0.3%	-6.7M	-784.8M	-4.1M	1.61	2.52	62,118	99,724	577,836	1,414,722
2017-11-17	$27.89	$27.50	13.1%	3.8%	9.7%	40.6%	14.1%	2.9%	-1.4%	-16.2M	-592.8M	-4.7M	1.67	4.18	52,064	87,162	587,708	1,468,654
2017-11-20	$27.82	$27.50	12.7%	3.8%	9.7%	38.1%	13.4%	3.1%	-0.4%	-28.0M	-239.5M	-4.3M	1.26	2.66	58,258	73,316	429,172	1,043,730
2017-11-21	$27.90	$27.50	12.0%	3.6%	9.8%	32.3%	12.9%	2.6%	-0.9%	-25.5M	-289.9M	-4.5M	0.64	3.37	51,286	32,888	447,688	1,079,478
2017-11-22	$27.89	$27.50	11.6%	3.5%	9.5%	27.9%	12.9%	2.8%	-0.5%	-20.1M	-326.3M	-4.4M	0.60	2.91	51,430	31,006	455,222	1,081,830
2017-11-24	$27.94	$27.50	11.5%	3.6%	9.5%	26.9%	13.0%	3.0%	-0.1%	-7.5M	-354.4M	-4.2M	0.96	5.50	37,658	36,288	455,054	1,084,552
2017-11-27	$28.09	$27.50	11.3%	3.7%	9.5%	25.4%	12.2%	2.8%	-0.3%	-3.4M	-444.9M	-4.0M	0.62	3.43	49,760	30,862	446,886	1,063,974
2017-11-28	$28.16	$27.50	10.7%	3.6%	9.6%	19.3%	12.5%	2.7%	-0.0%	4.9M	-529.1M	-3.7M	0.52	2.97	58,264	30,090	459,010	1,067,530
2017-11-29	$28.20	$27.50	10.9%	3.7%	9.6%	22.0%	13.4%	2.7%	-0.4%	9.2M	-578.4M	-3.8M	1.03	3.30	39,430	40,566	482,288	1,072,420
2017-11-30	$28.30	$27.50	11.2%	3.9%	9.2%	24.5%	14.3%	2.8%	-0.4%	11.9M	-642.3M	-3.8M	3.32	6.98	33,528	111,472	491,904	1,083,302