XLU Options History — February 2018

In February 2018, XLU traded between $23.82 and $25.19. ATM implied volatility averaged 18.0%, placing in the 82.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.3% (HV 20d: 17.6%). Max pain ranged from $25.50 to $25.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.29.

Notable Days

2018-02-06: Highest Volume — 371,884 contracts
2018-02-05: Largest IV spike — 15.5% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.61	$23.82	$25.19	$25.13	$24.58
Max Pain	$25.50	$25.50	$25.50	$25.50	$25.50
ATM IV	18.0%	15.2%	21.1%	15.2%	17.1%
Expected Move	5.3%	4.5%	6.1%	4.5%	5.6%
HV 20d	17.6%	13.4%	21.8%	13.5%	21.8%
HV 60d	13.7%	12.1%	15.8%	12.1%	15.8%
IV Rank	82.1%	55.6%	100.0%	95.5%	67.9%
IV Percentile	97.7%	94.4%	100.0%	99.2%	95.2%
Term Structure	-0.2%	-0.8%	0.8%	0.0%	-0.2%
VWIV	18.7%	15.1%	21.2%	15.1%	19.7%
Skew 25d	2.6%	1.7%	3.4%	1.7%	3.4%
Skew 10d	5.0%	3.5%	6.9%	3.5%	5.9%
Call IV 25d	17.0%	14.7%	20.0%	14.9%	15.8%
Put IV 25d	19.6%	16.6%	22.9%	16.6%	19.2%
Bid-Ask Spread %	7.80	3.77	16.01	5.93	5.43
Gamma HHI	0.16	0.12	0.22	0.17	0.19
Net GEX	-62.9M	-98.9M	-17.0M	-68.2M	-63.2M
Net DEX	807.6M	138.6M	1.45B	629.6M	814.3M
Net VEX	-4.8M	-5.7M	-4.2M	-5.7M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.50	2.64	0.52	2.20
Total Volume	147,218.105	74,632	371,884	113,816	136,898
Total OI	2,056,707.684	1,858,574	2,230,384	2,096,222	2,006,310

Daily Data (19 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
2018-02-01	$25.13	$25.50	15.2%	4.5%	13.5%	95.5%	15.1%	1.7%	0.0%	-68.2M	629.6M	-5.7M	0.52	5.93	75,042	38,774	978,748	1,117,474
2018-02-02	$24.95	$25.50	15.6%	4.7%	13.4%	100.0%	16.6%	2.2%	-0.0%	-98.9M	819.2M	-5.6M	2.51	8.53	47,552	119,426	982,914	1,129,312
2018-02-05	$24.59	$25.50	18.0%	5.3%	14.1%	100.0%	18.5%	1.7%	0.6%	-85.9M	1.09B	-5.2M	2.64	14.97	35,058	92,640	956,806	1,076,550
2018-02-06	$24.17	$25.50	19.5%	5.8%	14.4%	100.0%	19.7%	2.1%	0.8%	-83.7M	1.32B	-4.6M	2.22	9.00	115,456	256,428	960,676	1,037,020
2018-02-07	$24.09	$25.50	19.6%	5.5%	14.1%	100.0%	19.1%	2.3%	-0.4%	-84.4M	1.30B	-4.5M	1.49	5.83	35,882	53,438	1,009,094	1,038,336
2018-02-08	$23.82	$25.50	20.9%	6.1%	14.2%	100.0%	21.0%	3.0%	0.4%	-78.9M	1.45B	-4.2M	0.80	10.24	74,440	59,638	1,015,304	1,046,710
2018-02-09	$24.30	$25.50	21.1%	6.1%	16.4%	100.0%	21.2%	2.9%	0.1%	-68.5M	1.08B	-5.0M	1.18	8.29	62,940	74,232	1,068,050	1,053,498
2018-02-12	$24.47	$25.50	20.3%	5.8%	16.6%	93.4%	20.2%	3.3%	-0.4%	-66.3M	899.2M	-4.8M	0.58	16.01	63,940	37,122	1,066,516	998,392
2018-02-13	$24.59	$25.50	19.8%	5.7%	16.8%	89.7%	20.1%	2.7%	-0.4%	-62.0M	795.8M	-4.9M	0.97	8.60	97,884	94,672	1,097,462	999,770
2018-02-14	$24.30	$25.50	18.6%	5.3%	16.9%	80.3%	19.5%	2.5%	-0.2%	-87.1M	1.08B	-4.7M	1.48	5.89	58,602	87,000	1,156,692	1,073,692
2018-02-15	$24.82	$25.50	17.5%	5.0%	18.7%	71.1%	19.1%	2.5%	-0.3%	-46.1M	530.8M	-5.0M	0.99	6.19	44,554	43,952	1,143,634	1,048,462
2018-02-16	$25.11	$25.50	17.0%	4.9%	19.1%	66.9%	17.8%	2.7%	-0.5%	-17.0M	199.1M	-5.0M	1.24	7.07	51,360	63,520	1,157,696	1,053,652
2018-02-20	$24.76	$25.50	18.2%	5.3%	19.8%	76.9%	18.5%	2.9%	-0.6%	-41.6M	541.5M	-4.7M	0.75	5.24	94,980	71,280	949,738	908,836
2018-02-21	$24.46	$25.50	17.4%	5.2%	19.8%	70.3%	17.8%	2.2%	-0.3%	-64.5M	837.6M	-4.5M	1.01	10.47	78,610	79,446	984,546	963,162
2018-02-22	$24.51	$25.50	16.9%	5.1%	19.7%	66.0%	17.0%	2.8%	-0.5%	-79.3M	860.3M	-4.5M	0.66	6.42	45,012	29,620	994,586	1,006,182
2018-02-23	$25.19	$25.50	15.6%	4.6%	21.6%	55.6%	16.6%	2.7%	-0.2%	-19.0M	138.6M	-4.7M	0.81	3.77	87,026	70,916	991,474	1,012,316
2018-02-26	$25.07	$25.50	15.7%	5.0%	21.6%	57.0%	17.4%	2.4%	-0.2%	-31.5M	326.0M	-4.6M	0.50	6.56	158,568	78,896	985,274	981,024
2018-02-27	$24.74	$25.50	17.3%	5.5%	21.8%	69.5%	20.1%	2.7%	-0.8%	-48.7M	631.4M	-4.5M	1.90	3.80	28,430	53,910	1,040,982	986,556
2018-02-28	$24.58	$25.50	17.1%	5.6%	21.8%	67.9%	19.7%	3.4%	-0.2%	-63.2M	814.3M	-4.2M	2.20	5.43	42,716	94,182	1,028,306	978,004