XLU Options History — April 2018

In April 2018, XLU traded between $24.75 and $25.82. ATM implied volatility averaged 14.4%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.8% (HV 20d: 12.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.63.

Notable Days

2018-04-20: Highest Volume — 104,414 contracts
2018-04-17: Largest IV drop — 9.1% change
2018-04-02: Highest IV Rank — 65.3%
2018-04-02: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.27	$24.75	$25.82	$25.07	$25.82
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	14.4%	12.8%	16.8%	16.8%	13.2%
Expected Move	4.1%	3.7%	5.0%	5.0%	3.9%
HV 20d	12.6%	11.2%	14.3%	14.3%	11.8%
HV 60d	16.3%	15.9%	16.6%	16.3%	15.9%
IV Rank	46.1%	33.6%	65.3%	65.3%	36.4%
IV Percentile	79.0%	68.3%	93.3%	93.3%	70.2%
Term Structure	-0.1%	-0.5%	0.4%	0.2%	-0.1%
VWIV	14.7%	13.0%	17.8%	17.8%	14.0%
Skew 25d	2.1%	1.6%	2.5%	2.5%	2.0%
Skew 10d	4.5%	3.5%	5.8%	5.8%	4.1%
Call IV 25d	13.6%	12.3%	15.8%	15.8%	12.3%
Put IV 25d	15.7%	14.1%	18.2%	18.2%	14.3%
Bid-Ask Spread %	6.28	2.54	13.89	5.68	9.81
Gamma HHI	0.17	0.09	0.30	0.13	0.11
Net GEX	31.0M	-11.6M	99.1M	27.3M	29.8M
Net DEX	-87.0M	-263.2M	184.7M	-64.4M	-229.9M
Net VEX	-2.9M	-3.4M	-2.6M	-3.4M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.34	3.76	1.27	1.84
Total Volume	64,117.81	31,286	104,414	38,540	60,984
Total OI	1,051,135.905	932,180	1,141,182	1,119,528	943,288

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
2018-04-02	$25.07	$25.00	16.8%	5.0%	14.3%	65.3%	17.8%	2.5%	0.2%	27.3M	-64.4M	-3.4M	1.27	5.68	16,948	21,592	582,580	536,948
2018-04-03	$25.17	$25.00	16.3%	4.8%	12.6%	61.3%	17.1%	2.5%	0.1%	40.0M	-132.5M	-3.3M	0.77	4.29	42,736	32,778	586,694	538,138
2018-04-04	$25.20	$25.00	15.3%	4.4%	11.2%	53.9%	16.3%	2.3%	0.1%	39.3M	-138.0M	-3.2M	2.22	13.89	22,004	48,868	577,612	555,306
2018-04-05	$25.41	$25.00	14.7%	4.2%	11.2%	48.4%	15.0%	2.2%	0.1%	59.3M	-262.5M	-3.2M	1.84	11.82	35,654	65,532	581,028	555,776
2018-04-06	$25.23	$25.00	15.6%	4.5%	11.5%	55.6%	15.7%	2.3%	0.1%	99.1M	-152.3M	-3.2M	1.83	7.46	24,702	45,230	595,896	545,286
2018-04-09	$25.34	$25.00	15.2%	4.3%	11.6%	52.3%	15.2%	2.3%	-0.2%	43.5M	-163.8M	-3.1M	2.15	3.59	25,562	54,912	550,458	473,490
2018-04-10	$25.07	$25.00	15.3%	4.3%	12.2%	54.0%	14.9%	2.2%	-0.2%	22.2M	-16.5M	-3.0M	1.35	3.24	23,114	31,150	561,710	502,612
2018-04-11	$25.05	$25.00	15.0%	4.3%	12.2%	50.9%	14.9%	1.9%	-0.1%	20.8M	16.6M	-3.0M	1.14	11.73	29,574	33,798	564,140	507,090
2018-04-12	$24.75	$25.00	14.8%	4.3%	12.4%	49.3%	14.5%	2.0%	0.4%	-7.6M	184.7M	-2.8M	1.28	2.82	27,496	35,102	569,420	520,574
2018-04-13	$24.88	$25.00	14.4%	4.1%	12.5%	46.4%	14.7%	2.1%	-0.3%	3.8M	121.7M	-2.8M	1.49	5.69	12,556	18,730	577,228	516,696
2018-04-16	$25.22	$25.00	14.2%	4.1%	13.5%	44.8%	14.4%	1.9%	-0.3%	40.4M	-80.9M	-2.8M	1.37	2.54	13,844	18,974	549,566	488,490
2018-04-17	$25.52	$25.00	12.9%	3.7%	13.8%	34.4%	13.5%	1.6%	0.1%	70.2M	-263.2M	-2.8M	1.21	2.85	18,490	22,430	561,698	500,462
2018-04-18	$25.45	$25.00	12.8%	3.7%	13.7%	33.6%	13.0%	1.6%	0.3%	77.5M	-227.4M	-2.7M	0.34	3.79	69,440	23,490	564,332	500,382
2018-04-19	$25.36	$25.00	13.0%	3.7%	13.7%	35.4%	13.3%	1.9%	0.2%	76.8M	-157.3M	-2.7M	2.04	9.07	18,214	37,214	563,962	508,076
2018-04-20	$25.11	$25.00	14.0%	4.0%	14.1%	42.8%	13.5%	2.3%	0.1%	-8.0M	25.9M	-2.7M	1.96	11.57	35,258	69,156	568,724	531,428
2018-04-23	$25.14	$25.00	13.6%	3.9%	13.1%	39.6%	14.3%	2.3%	-0.3%	-11.6M	55.0M	-2.7M	1.80	5.95	17,300	31,184	477,408	454,772
2018-04-24	$25.23	$25.00	14.2%	4.1%	12.7%	44.4%	14.7%	2.1%	-0.5%	-8.3M	16.0M	-2.7M	1.65	4.26	20,658	34,116	481,952	471,662
2018-04-25	$25.32	$25.00	14.2%	4.1%	11.6%	44.4%	14.5%	2.1%	-0.4%	-6.8M	-4.5M	-2.7M	3.76	4.14	16,242	61,084	487,460	482,700
2018-04-26	$25.59	$25.00	13.5%	3.8%	12.2%	39.0%	14.0%	2.0%	-0.3%	16.0M	-116.6M	-2.7M	2.17	3.61	19,096	41,352	492,236	481,380
2018-04-27	$25.82	$25.00	13.1%	3.8%	12.3%	35.6%	13.5%	1.7%	-0.2%	27.3M	-237.6M	-2.7M	0.85	3.98	37,882	32,028	496,474	468,720
2018-04-30	$25.82	$25.00	13.2%	3.9%	11.8%	36.4%	14.0%	2.0%	-0.1%	29.8M	-229.9M	-2.6M	1.84	9.81	21,492	39,492	487,976	455,312