XLU Options History — January 2018

In January 2018, XLU traded between $25.00 and $26.09. ATM implied volatility averaged 13.9%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.1% (HV 20d: 11.8%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.97.

Notable Days

2018-01-16: Highest Volume — 497,466 contracts
2018-01-16: Largest IV spike — 11.0% change
2018-01-17: Highest IV Rank — 100.0%
2018-01-29: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.40	$25.00	$26.09	$26.09	$25.55
Max Pain	$25.93	$25.50	$27.00	$27.00	$25.50
ATM IV	13.9%	12.2%	15.5%	12.7%	14.5%
Expected Move	4.0%	3.5%	4.5%	3.7%	4.3%
HV 20d	11.8%	10.5%	12.7%	12.3%	12.5%
HV 60d	11.0%	10.5%	11.8%	10.5%	11.8%
IV Rank	76.0%	45.0%	100.0%	50.1%	85.2%
IV Percentile	87.0%	63.5%	100.0%	70.6%	95.2%
Term Structure	0.0%	-0.9%	0.5%	-0.1%	-0.0%
VWIV	14.4%	12.3%	16.2%	14.2%	15.0%
Skew 25d	1.4%	0.8%	2.6%	2.6%	1.9%
Skew 10d	2.9%	1.1%	5.5%	5.5%	3.7%
Call IV 25d	13.6%	11.6%	15.2%	11.6%	13.6%
Put IV 25d	15.0%	13.5%	16.3%	14.2%	15.5%
Bid-Ask Spread %	4.33	2.82	13.03	3.87	13.03
Gamma HHI	0.20	0.12	0.39	0.18	0.14
Net GEX	-54.0M	-174.1M	32.9M	-64.0M	-11.6M
Net DEX	626.3M	100.9M	1.10B	581.2M	128.0M
Net VEX	-4.5M	-5.8M	-3.5M	-3.6M	-5.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.27	2.14	1.51	1.63
Total Volume	156,652.952	73,552	497,466	96,744	145,282
Total OI	1,721,100.571	1,367,314	2,104,686	1,367,314	2,041,032

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
2018-01-02	$26.09	$27.00	12.7%	3.7%	12.3%	50.1%	14.2%	2.6%	-0.1%	-64.0M	581.2M	-3.6M	1.51	3.87	38,582	58,162	459,994	907,320
2018-01-03	$25.91	$27.00	12.3%	3.5%	12.3%	45.0%	12.9%	2.2%	-0.1%	-70.7M	676.1M	-3.5M	1.79	6.10	46,916	84,126	463,300	912,150
2018-01-04	$25.66	$27.00	12.6%	3.7%	12.1%	51.5%	12.8%	2.0%	-0.1%	-83.2M	874.5M	-3.6M	0.39	4.42	76,128	29,412	470,796	957,818
2018-01-05	$25.66	$26.50	12.2%	3.6%	11.8%	49.5%	12.3%	1.8%	0.1%	-83.1M	809.4M	-3.6M	0.52	5.77	189,864	99,068	514,342	964,658
2018-01-08	$25.91	$26.50	13.2%	3.8%	12.7%	64.6%	13.3%	1.5%	-0.0%	-58.5M	549.2M	-4.1M	0.63	3.15	78,438	49,254	589,610	974,016
2018-01-09	$25.64	$26.00	13.2%	3.9%	12.6%	64.6%	13.6%	1.2%	0.5%	-66.7M	759.7M	-4.0M	0.96	4.36	37,552	36,000	627,300	1,002,070
2018-01-10	$25.36	$26.00	13.6%	3.8%	12.3%	73.3%	13.5%	1.5%	-0.4%	-79.8M	956.9M	-3.9M	0.53	2.86	71,662	37,708	638,052	1,014,004
2018-01-11	$25.25	$26.00	12.8%	3.7%	11.5%	62.3%	13.0%	1.4%	-0.0%	-86.0M	1.03B	-3.7M	1.84	4.17	33,334	61,382	622,246	1,014,980
2018-01-12	$25.10	$26.00	13.7%	4.0%	11.2%	75.6%	13.7%	1.0%	0.4%	-78.2M	1.10B	-3.7M	0.27	4.69	145,530	39,366	639,922	1,022,770
2018-01-16	$25.07	$26.00	15.2%	4.3%	11.2%	98.3%	15.3%	0.9%	-0.0%	-63.0M	997.2M	-3.9M	1.56	4.29	194,456	303,010	728,044	1,016,130
2018-01-17	$25.24	$25.50	15.5%	4.4%	11.9%	100.0%	15.4%	1.1%	-0.9%	-43.5M	802.0M	-5.0M	0.68	2.82	112,314	75,834	881,982	1,133,844
2018-01-18	$25.05	$25.50	14.9%	4.3%	11.8%	91.1%	15.3%	1.2%	-0.3%	-45.4M	813.6M	-4.8M	0.39	3.24	98,836	38,490	963,806	1,089,648
2018-01-19	$25.00	$25.50	14.2%	4.1%	10.5%	80.8%	14.2%	1.1%	-0.0%	-174.1M	854.2M	-4.7M	0.78	3.15	50,746	39,514	1,001,634	1,103,052
2018-01-22	$25.03	$25.50	14.6%	4.2%	10.5%	87.5%	15.0%	0.8%	0.3%	-26.2M	464.3M	-4.7M	1.37	3.64	74,820	102,546	794,218	728,644
2018-01-23	$25.29	$25.50	14.4%	4.2%	10.8%	84.7%	15.0%	1.2%	0.1%	-13.6M	282.7M	-5.0M	0.61	3.23	89,832	54,584	829,260	804,280
2018-01-24	$25.14	$25.50	14.3%	4.2%	10.8%	83.3%	15.3%	1.2%	0.3%	-28.0M	419.3M	-5.1M	2.14	3.17	55,998	119,692	851,056	839,006
2018-01-25	$25.49	$25.50	14.2%	4.2%	12.1%	80.6%	15.1%	0.8%	0.1%	-8.7M	141.0M	-5.6M	0.61	4.80	93,132	57,248	881,210	962,306
2018-01-26	$25.49	$25.50	14.2%	4.2%	12.0%	81.2%	16.2%	1.1%	0.3%	32.9M	100.9M	-5.7M	0.62	2.83	54,980	34,164	919,314	995,272
2018-01-29	$25.22	$25.50	15.1%	4.5%	12.1%	93.8%	14.9%	1.3%	0.0%	-43.3M	420.0M	-5.5M	0.54	4.55	57,838	31,010	894,032	983,842
2018-01-30	$25.27	$25.50	14.9%	4.4%	12.1%	91.9%	15.5%	1.4%	0.0%	-39.1M	393.2M	-5.4M	0.92	2.84	100,288	92,614	908,800	997,352
2018-01-31	$25.55	$25.50	14.5%	4.3%	12.5%	85.2%	15.0%	1.9%	-0.0%	-11.6M	128.0M	-5.8M	1.63	13.03	55,346	89,936	969,528	1,071,504