XLU Options History — August 2018

In August 2018, XLU traded between $26.16 and $27.23. ATM implied volatility averaged 12.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.2% (HV 20d: 11.6%). Max pain ranged from $26.00 to $26.50. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.51.

Notable Days

2018-08-01: Highest Volume — 119,540 contracts
2018-08-29: Largest IV drop — 6.2% change
2018-08-01: Highest IV Rank — 40.4%
2018-08-06: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.72	$26.16	$27.23	$26.16	$26.71
Max Pain	$26.03	$26.00	$26.50	$26.00	$26.50
ATM IV	12.8%	12.1%	13.7%	13.7%	12.6%
Expected Move	3.9%	3.6%	4.1%	3.8%	3.8%
HV 20d	11.6%	9.4%	17.2%	16.9%	9.4%
HV 60d	13.6%	12.4%	14.9%	14.9%	12.5%
IV Rank	33.6%	27.7%	40.4%	40.4%	31.9%
IV Percentile	44.4%	30.6%	65.1%	65.1%	35.7%
Term Structure	0.1%	-0.9%	1.9%	-0.3%	-0.4%
VWIV	13.9%	13.2%	15.0%	13.9%	13.6%
Skew 25d	2.1%	1.7%	2.5%	2.2%	2.2%
Skew 10d	4.3%	3.1%	5.1%	4.6%	4.2%
Call IV 25d	11.8%	10.9%	12.9%	12.9%	11.6%
Put IV 25d	13.9%	12.7%	15.2%	15.2%	13.8%
Bid-Ask Spread %	4.42	2.05	10.64	10.64	5.36
Gamma HHI	0.16	0.10	0.38	0.18	0.16
Net GEX	-20.0M	-110.7M	14.9M	-54.8M	14.9M
Net DEX	-210.4M	-491.7M	82.1M	82.1M	-167.5M
Net VEX	-2.5M	-3.0M	-2.2M	-3.0M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.44	3.76	1.88	1.75
Total Volume	57,907.826	29,876	119,540	119,540	62,450
Total OI	1,148,937.739	970,412	1,266,892	1,117,558	1,105,810

Daily Data (23 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
2018-08-01	$26.16	$26.00	13.7%	3.8%	16.9%	40.4%	13.9%	2.2%	-0.3%	-54.8M	82.1M	-3.0M	1.88	10.64	41,436	78,104	289,006	828,552
2018-08-02	$26.41	$26.00	13.2%	3.8%	17.2%	36.9%	13.8%	2.1%	-0.2%	-49.1M	-80.0M	-2.9M	3.09	3.79	24,724	76,300	310,798	896,642
2018-08-03	$26.64	$26.00	12.9%	3.6%	17.2%	34.3%	13.3%	2.2%	-0.2%	-26.0M	-240.9M	-2.7M	1.70	8.17	32,248	54,748	324,332	921,446
2018-08-06	$26.68	$26.00	12.8%	4.1%	11.3%	33.0%	14.7%	2.3%	0.0%	-27.9M	-196.2M	-2.6M	1.17	2.55	28,632	33,494	300,752	866,566
2018-08-07	$26.61	$26.00	12.6%	4.1%	10.7%	31.7%	14.9%	2.1%	0.3%	-25.3M	-161.2M	-2.7M	1.01	2.83	19,284	19,528	309,368	874,692
2018-08-08	$26.45	$26.00	12.6%	4.0%	10.8%	31.6%	13.9%	2.2%	0.1%	-36.5M	-78.2M	-2.8M	1.10	3.61	39,356	43,474	311,862	878,792
2018-08-09	$26.61	$26.00	12.4%	3.9%	10.9%	30.7%	13.8%	2.2%	0.2%	-11.9M	-260.4M	-2.6M	3.76	7.70	14,416	54,202	353,950	906,236
2018-08-10	$26.50	$26.00	12.7%	4.0%	11.0%	32.4%	14.4%	2.1%	0.2%	-110.7M	-146.3M	-2.7M	2.29	5.51	16,570	37,982	336,706	930,186
2018-08-13	$26.55	$26.00	12.9%	4.0%	11.0%	34.0%	15.0%	2.3%	1.0%	-32.2M	-129.5M	-2.7M	2.74	2.68	12,554	34,394	320,568	888,126
2018-08-14	$26.60	$26.00	12.4%	3.9%	11.0%	30.4%	14.2%	2.1%	1.3%	-32.2M	-195.0M	-2.5M	1.27	2.78	20,296	25,766	322,356	901,246
2018-08-15	$26.76	$26.00	12.6%	4.0%	10.8%	31.8%	14.6%	1.9%	0.7%	-23.2M	-280.3M	-2.5M	1.88	3.23	12,924	24,268	334,080	908,306
2018-08-16	$27.11	$26.00	12.1%	3.8%	11.3%	27.7%	14.0%	1.8%	1.5%	-3.4M	-418.5M	-2.4M	1.09	2.48	15,920	17,304	337,666	922,552
2018-08-17	$27.23	$26.00	12.2%	3.8%	11.0%	28.7%	13.8%	1.7%	1.9%	-1.4M	-491.7M	-2.2M	1.13	2.05	28,626	32,464	337,628	926,374
2018-08-20	$27.16	$26.00	12.9%	3.8%	10.5%	34.3%	13.2%	2.0%	-0.5%	18.1K	-321.6M	-2.2M	0.44	2.10	46,056	20,170	281,816	688,596
2018-08-21	$26.95	$26.00	12.9%	3.8%	11.1%	34.6%	13.3%	2.1%	-0.5%	946.2K	-267.1M	-2.3M	0.61	2.78	30,164	18,462	311,298	699,004
2018-08-22	$26.70	$26.00	13.4%	3.8%	11.8%	38.2%	13.5%	2.1%	-0.6%	-7.5M	-166.2M	-2.5M	0.45	6.49	36,334	16,380	327,502	706,924
2018-08-23	$26.75	$26.00	13.4%	3.9%	11.0%	38.3%	13.5%	1.9%	-0.9%	-1.1M	-209.0M	-2.5M	0.98	2.62	15,088	14,788	350,186	712,526
2018-08-24	$26.88	$26.00	13.0%	3.8%	10.8%	35.4%	13.4%	1.8%	-0.5%	-863.9K	-272.8M	-2.4M	0.73	3.64	17,920	13,028	354,106	719,042
2018-08-27	$26.71	$26.00	13.0%	3.9%	10.9%	35.3%	14.1%	2.5%	-0.4%	-13.4M	-156.0M	-2.6M	1.47	3.44	28,180	41,308	345,578	710,636
2018-08-28	$26.61	$26.00	13.3%	4.0%	10.4%	37.7%	14.2%	2.3%	-0.3%	-14.5M	-153.9M	-2.4M	1.73	4.74	16,662	28,818	358,934	720,366
2018-08-29	$26.82	$26.00	12.5%	3.8%	10.1%	31.0%	13.4%	2.4%	-0.1%	-6.2M	-258.6M	-2.3M	1.04	3.71	24,534	25,600	359,278	733,976
2018-08-30	$26.85	$26.25	12.8%	3.9%	9.6%	33.2%	13.6%	2.4%	-0.4%	2.5M	-269.6M	-2.3M	1.31	8.82	15,998	20,926	357,504	743,698
2018-08-31	$26.71	$26.50	12.6%	3.8%	9.4%	31.9%	13.6%	2.2%	-0.4%	14.9M	-167.5M	-2.4M	1.75	5.36	22,708	39,742	357,316	748,494