XLU Options History — March 2018

In March 2018, XLU traded between $24.47 and $25.27. ATM implied volatility averaged 15.3%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.6% (HV 20d: 18.0%). Max pain ranged from $24.50 to $25.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2018-03-29: Highest Volume — 179,152 contracts
2018-03-19: Largest IV spike — 12.0% change
2018-03-01: Highest IV Rank — 73.5%
2018-03-01: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.85	$24.47	$25.27	$24.56	$25.27
Max Pain	$24.86	$24.50	$25.50	$25.50	$25.00
ATM IV	15.3%	12.9%	17.8%	17.8%	15.3%
Expected Move	4.5%	3.8%	5.7%	5.7%	4.4%
HV 20d	18.0%	13.4%	21.9%	21.4%	13.9%
HV 60d	16.2%	15.8%	16.5%	15.8%	16.3%
IV Rank	53.8%	34.3%	73.5%	73.5%	53.9%
IV Percentile	88.9%	71.4%	96.4%	96.4%	88.9%
Term Structure	0.1%	-0.6%	0.5%	-0.6%	0.1%
VWIV	15.9%	13.1%	19.9%	19.9%	15.1%
Skew 25d	2.4%	1.8%	3.3%	3.1%	2.4%
Skew 10d	4.9%	3.7%	6.7%	6.1%	5.2%
Call IV 25d	14.6%	12.3%	16.7%	16.7%	14.5%
Put IV 25d	17.0%	14.2%	19.8%	19.8%	16.9%
Bid-Ask Spread %	5.67	3.65	14.57	7.50	7.55
Gamma HHI	0.19	0.09	0.69	0.19	0.69
Net GEX	6.5M	-70.5M	316.6M	-67.1M	316.6M
Net DEX	303.0M	-293.2M	878.2M	849.2M	-293.2M
Net VEX	-3.5M	-4.2M	-3.2M	-4.2M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.24	3.14	3.14	0.24
Total Volume	103,455.429	53,578	179,152	130,848	179,152
Total OI	1,653,252.095	1,039,784	2,084,288	2,068,006	1,242,134

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
2018-03-01	$24.56	$25.50	17.8%	5.7%	21.4%	73.5%	19.9%	3.1%	-0.6%	-67.1M	849.2M	-4.2M	3.14	7.50	31,578	99,270	1,049,582	1,018,424
2018-03-02	$24.48	$25.50	17.1%	5.6%	20.7%	68.3%	19.4%	3.3%	0.2%	-70.5M	878.2M	-4.0M	1.76	5.17	33,674	59,302	1,058,744	983,824
2018-03-05	$24.96	$25.00	16.2%	4.5%	21.9%	61.1%	16.7%	2.8%	0.0%	-10.4M	332.7M	-4.1M	1.08	3.95	29,144	31,404	1,037,978	915,726
2018-03-06	$24.59	$24.50	16.5%	4.7%	21.9%	63.0%	17.7%	3.0%	0.2%	-42.2M	681.3M	-3.8M	0.87	3.65	28,652	24,926	1,031,764	918,840
2018-03-07	$24.47	$24.50	16.3%	4.6%	21.0%	61.2%	16.4%	2.6%	0.1%	-59.1M	824.0M	-3.6M	1.49	5.27	23,816	35,396	1,035,076	928,096
2018-03-08	$24.59	$24.50	15.2%	4.5%	21.0%	52.8%	15.7%	2.4%	0.4%	-54.4M	730.7M	-3.6M	1.03	3.71	54,164	55,974	1,042,186	951,494
2018-03-09	$24.68	$24.50	14.4%	4.4%	20.5%	46.6%	15.3%	2.7%	0.0%	-43.0M	663.3M	-3.6M	1.58	5.66	31,062	49,168	1,072,778	961,644
2018-03-12	$24.82	$24.50	14.8%	4.2%	19.4%	49.4%	15.3%	2.2%	0.1%	-23.4M	467.0M	-3.4M	1.00	3.76	70,584	70,620	1,057,386	899,802
2018-03-13	$24.87	$24.50	14.6%	4.2%	19.3%	48.3%	15.3%	2.1%	-0.0%	-54.1M	450.0M	-3.3M	0.98	4.16	59,534	58,592	1,047,548	932,278
2018-03-14	$25.12	$24.50	14.5%	4.1%	19.5%	46.8%	14.8%	2.1%	-0.1%	34.5M	174.0M	-3.2M	1.52	3.79	70,568	106,954	1,045,418	953,140
2018-03-15	$25.12	$24.50	13.9%	3.9%	18.9%	42.2%	14.8%	1.8%	-0.2%	-6.1M	192.4M	-3.5M	0.59	5.50	111,550	65,560	1,085,096	999,192
2018-03-16	$25.18	$25.00	12.9%	3.8%	17.4%	34.3%	13.1%	1.9%	0.5%	26.6M	263.7M	-3.3M	0.84	3.85	38,940	32,696	989,670	1,010,044
2018-03-19	$24.98	$25.00	14.4%	4.1%	17.2%	46.7%	15.4%	1.9%	0.4%	18.6M	-13.8M	-3.3M	1.47	5.95	48,998	72,220	529,456	510,328
2018-03-20	$24.86	$25.00	14.7%	4.2%	16.5%	49.0%	14.7%	2.1%	0.1%	6.7M	56.0M	-3.4M	0.56	4.48	61,234	34,154	557,366	562,284
2018-03-21	$24.76	$25.00	14.4%	4.1%	15.9%	46.4%	14.3%	2.1%	0.1%	2.6M	93.9M	-3.4M	1.18	14.57	39,864	47,110	602,054	574,156
2018-03-22	$24.89	$25.00	14.9%	4.3%	16.0%	50.5%	15.0%	2.4%	0.1%	22.4M	73.8K	-3.5M	1.68	6.96	46,280	77,690	620,164	589,436
2018-03-23	$24.56	$25.00	16.0%	4.5%	13.4%	58.9%	15.7%	2.2%	0.4%	-25.2M	265.7M	-3.4M	1.98	6.79	32,824	65,020	633,900	621,280
2018-03-26	$24.80	$25.00	15.9%	4.5%	13.9%	58.6%	16.8%	2.5%	0.0%	4.2M	87.0M	-3.4M	1.08	4.58	30,030	32,294	601,912	604,338
2018-03-27	$25.18	$25.00	15.7%	4.5%	14.0%	56.9%	15.9%	2.6%	0.1%	71.5M	-193.7M	-3.5M	0.51	7.08	49,836	25,648	614,112	600,146
2018-03-28	$25.12	$25.00	16.4%	4.7%	13.8%	62.3%	16.8%	2.2%	0.2%	88.0M	-144.8M	-3.4M	1.65	5.20	21,528	35,554	625,666	603,832
2018-03-29	$25.27	$25.00	15.3%	4.4%	13.9%	53.9%	15.1%	2.4%	0.1%	316.6M	-293.2M	-3.3M	0.24	7.55	144,700	34,452	622,560	619,574