XLU Options History — July 2018

In July 2018, XLU traded between $25.68 and $26.58. ATM implied volatility averaged 13.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.4% (HV 20d: 15.1%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.09.

Notable Days

2018-07-05: Highest Volume — 382,470 contracts
2018-07-09: Largest IV spike — 10.1% change
2018-07-09: Highest IV Rank — 50.2%
2018-07-09: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.19	$25.68	$26.58	$26.10	$26.40
Max Pain	$25.86	$25.00	$26.00	$25.00	$26.00
ATM IV	13.7%	13.0%	14.9%	13.9%	13.2%
Expected Move	3.9%	3.7%	4.4%	4.0%	3.8%
HV 20d	15.1%	8.0%	16.8%	12.9%	16.7%
HV 60d	14.3%	13.0%	14.9%	13.1%	14.8%
IV Rank	40.8%	34.8%	50.2%	42.1%	36.6%
IV Percentile	66.1%	49.2%	82.5%	71.0%	56.3%
Term Structure	0.0%	-0.6%	0.5%	0.2%	-0.2%
VWIV	14.4%	13.2%	17.1%	14.7%	13.6%
Skew 25d	2.3%	2.0%	2.6%	2.0%	2.3%
Skew 10d	4.9%	4.2%	6.2%	5.6%	4.5%
Call IV 25d	12.9%	12.1%	14.1%	13.0%	12.4%
Put IV 25d	15.2%	14.4%	16.5%	15.1%	14.7%
Bid-Ask Spread %	3.87	2.01	9.38	3.55	3.64
Gamma HHI	0.18	0.12	0.24	0.20	0.18
Net GEX	-50.9M	-90.8M	1.4M	158.7K	-41.0M
Net DEX	-16.3M	-236.5M	248.8M	-171.1M	-32.4M
Net VEX	-3.0M	-3.5M	-2.6M	-2.6M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.09	1.04	21.88	2.13	1.22
Total Volume	88,797.048	34,910	382,470	44,604	39,042
Total OI	1,136,397.048	877,638	1,300,960	877,638	1,099,774

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
2018-07-02	$26.10	$25.00	13.9%	4.0%	12.9%	42.1%	14.7%	2.0%	0.2%	158.7K	-171.1M	-2.6M	2.13	3.55	14,254	30,350	278,796	598,842
2018-07-03	$26.24	$25.00	13.8%	3.9%	12.6%	41.6%	14.9%	2.6%	0.0%	1.4M	-222.2M	-2.6M	1.20	9.38	36,254	43,542	281,928	613,622
2018-07-05	$26.32	$25.50	14.3%	3.9%	8.0%	45.5%	16.1%	2.6%	0.1%	-1.4M	-205.5M	-2.6M	21.88	3.77	16,720	365,750	283,690	642,726
2018-07-06	$26.58	$25.50	13.5%	3.9%	8.2%	39.3%	15.3%	2.3%	0.1%	-29.0M	-236.5M	-2.9M	1.78	3.58	34,814	62,058	284,976	830,468
2018-07-09	$25.68	$26.00	14.9%	4.4%	16.0%	50.2%	14.9%	2.4%	0.4%	-61.5M	248.8M	-3.5M	2.42	6.96	55,090	133,210	281,746	858,536
2018-07-10	$26.00	$26.00	14.4%	4.1%	16.4%	46.8%	17.1%	2.2%	-0.1%	-64.2M	69.6M	-3.4M	3.28	2.54	30,992	101,694	287,736	892,668
2018-07-11	$26.16	$26.00	14.0%	4.1%	16.2%	43.0%	14.0%	2.3%	0.4%	-62.8M	-4.6M	-3.3M	1.24	3.59	38,566	47,822	295,112	949,078
2018-07-12	$26.30	$26.00	13.8%	3.8%	16.2%	41.2%	13.5%	2.3%	-0.6%	-60.2M	-84.9M	-3.2M	1.90	3.62	15,572	29,662	313,028	980,594
2018-07-13	$26.25	$26.00	13.9%	4.1%	16.2%	42.6%	14.1%	2.1%	0.4%	-80.5M	-53.0M	-3.3M	2.16	2.85	14,362	31,090	313,070	987,890
2018-07-16	$26.25	$26.00	14.3%	4.1%	16.1%	45.5%	14.4%	2.2%	-0.5%	-45.0M	-67.3M	-3.1M	2.43	2.49	11,212	27,268	297,276	922,138
2018-07-17	$26.26	$26.00	13.0%	3.7%	16.2%	35.1%	15.5%	2.3%	0.3%	-53.8M	-57.6M	-3.0M	1.71	2.88	13,258	22,736	298,490	933,486
2018-07-18	$26.09	$26.00	13.3%	3.8%	16.2%	37.2%	13.7%	2.0%	0.1%	-61.2M	12.2M	-3.1M	1.69	2.01	12,982	21,928	302,834	929,778
2018-07-19	$26.34	$26.00	13.0%	3.7%	16.4%	34.8%	13.7%	2.1%	0.5%	-58.1M	-121.5M	-2.9M	2.28	2.62	21,338	48,646	305,562	935,334
2018-07-20	$26.18	$26.00	13.5%	3.9%	16.7%	38.9%	13.7%	2.3%	-0.2%	-90.8M	-6.4M	-3.0M	4.10	2.74	19,774	80,982	307,290	965,754
2018-07-23	$25.98	$26.00	13.6%	3.9%	16.8%	39.8%	14.3%	2.4%	-0.0%	-66.0M	200.1M	-3.1M	3.19	2.60	18,738	59,858	242,312	786,946
2018-07-24	$26.04	$26.00	13.8%	4.1%	15.5%	41.6%	14.6%	2.3%	0.0%	-72.5M	182.8M	-3.1M	2.70	4.51	25,030	67,630	252,590	812,986
2018-07-25	$26.09	$26.00	13.8%	3.9%	15.5%	41.4%	14.4%	2.0%	-0.1%	-79.1M	144.8M	-3.1M	3.61	3.56	20,066	72,500	262,204	838,796
2018-07-26	$26.42	$26.00	13.0%	3.7%	16.0%	34.9%	13.3%	2.3%	0.1%	-41.6M	-42.3M	-2.9M	1.04	5.89	35,020	36,514	269,168	868,978
2018-07-27	$26.27	$26.00	13.5%	3.8%	16.2%	39.1%	13.2%	2.1%	0.1%	-52.2M	14.7M	-3.0M	1.05	5.33	28,502	29,810	288,914	883,872
2018-07-30	$26.13	$26.00	13.6%	3.9%	16.3%	40.1%	14.0%	2.3%	-0.2%	-49.0M	90.4M	-3.0M	1.78	3.20	18,008	32,094	280,116	805,234
2018-07-31	$26.40	$26.00	13.2%	3.8%	16.7%	36.6%	13.6%	2.3%	-0.2%	-41.0M	-32.4M	-2.9M	1.22	3.64	17,568	21,474	282,804	816,970