XLU Options History — March 2007

In March 2007, XLU traded between $18.79 and $20.05. ATM implied volatility averaged 14.2%. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 5.4% (HV 20d: 19.7%). Max pain ranged from $19.00 to $19.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 17.34.

Notable Days

  • 2007-03-15: Highest Volume — 139,840 contracts
  • 2007-03-21: Largest IV drop — 20.6% change
  • 2007-03-02: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.45$18.79$20.05$19.32$19.85
Max Pain$19.18$19.00$19.50$19.00$19.50
ATM IV14.2%11.3%17.7%14.5%11.6%
Expected Move3.9%3.2%4.7%4.1%3.3%
HV 20d19.7%14.2%22.3%18.2%14.2%
HV 60d14.8%14.4%15.1%14.7%14.5%
Term Structure0.3%-2.2%1.6%-0.9%1.6%
VWIV14.5%11.7%16.6%16.6%13.8%
Skew 25d2.8%1.7%4.1%4.1%3.0%
Skew 10d6.6%1.3%9.9%7.6%8.2%
Call IV 25d12.3%10.0%14.9%11.9%10.9%
Put IV 25d15.1%12.9%17.4%16.0%13.9%
Bid-Ask Spread %26.3817.2444.7944.7926.98
Gamma HHI0.380.200.650.480.20
Net GEX-7.8M-16.8M-4.4M-4.6M-5.7M
Net DEX-19.7M-46.2M35.3M-37.7M-40.4M
Net VEX-566.8K-755.7K-308.8K-308.8K-627.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.340.0296.721.003.02
Total Volume20,492.5451,474139,8404,0563,952
Total OI224,397.909154,952295,298156,050247,638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$19.32$19.0014.5%4.1%18.2%0.0%16.6%4.1%-0.9%-4.6M-37.7M-308.8K1.0044.792,0262,03057,17498,876
2007-03-02$19.02$19.0016.3%4.7%19.2%0.0%16.3%3.1%-2.2%-6.7M-9.3M-326.1K0.5035.775,3842,68254,806100,146
2007-03-05$18.79$19.5017.1%4.5%19.8%0.0%15.6%1.9%-1.0%-7.7M16.6M-361.6K0.8933.1913,03011,55859,810102,706
2007-03-06$19.07$19.0016.0%4.3%20.1%0.0%15.1%3.1%-1.3%-7.4M-13.7M-395.2K0.3439.279,3223,18870,042110,886
2007-03-07$19.02$19.0016.0%4.1%20.1%0.0%14.5%2.8%-0.7%-6.8M-21.7M-398.3K1.2727.372,4943,17877,042113,606
2007-03-08$19.13$19.0016.2%4.2%20.1%0.0%14.2%2.4%-0.0%-7.3M-21.8M-417.4K18.2627.303346,09879,280116,088
2007-03-09$19.10$19.0015.2%4.0%20.1%0.0%14.0%2.5%0.1%-8.6M-26.2M-409.5K84.5524.2961652,08279,320122,092
2007-03-12$19.32$19.0016.0%3.8%20.5%0.0%14.7%3.1%0.2%-9.1M-29.6M-653.2K0.1822.851,25022479,852173,750
2007-03-13$19.03$19.0017.7%4.4%21.2%0.0%15.8%3.0%-0.6%-12.5M7.5M-678.2K74.0820.9687064,45280,784173,792
2007-03-14$19.13$19.0017.3%4.3%21.0%0.0%16.5%3.7%0.1%-16.8M10.7M-722.2K36.6217.3961822,63081,030195,988
2007-03-15$19.37$19.0014.1%4.0%21.4%0.0%15.0%2.7%0.1%-12.0M-4.1M-755.7K0.0219.82136,9922,84881,060214,238
2007-03-16$19.20$19.0014.9%4.3%21.4%0.0%15.1%2.4%0.4%-16.7M35.3M-744.2K3.6422.243,57813,01662,976215,782
2007-03-19$19.34$19.0013.4%3.9%21.5%0.0%14.8%2.6%1.1%-5.5M1.1M-712.0K18.8427.9278214,73453,934145,960
2007-03-20$19.62$19.0014.3%4.1%22.0%0.0%15.0%2.7%0.7%-5.5M-17.2M-652.9K5.5530.781,4227,89652,862159,476
2007-03-21$19.85$19.0011.3%3.2%22.3%0.0%12.6%1.7%1.6%-4.4M-36.5M-617.1K7.7524.321,83014,19054,670164,890
2007-03-22$19.83$19.5011.8%3.4%22.3%0.0%11.8%2.8%0.7%-6.9M-29.5M-639.0K0.2525.732,44260655,624178,208
2007-03-23$19.93$19.5011.6%3.3%22.0%0.0%11.7%3.1%1.3%-6.0M-38.7M-605.0K24.6724.8457214,11457,366178,714
2007-03-26$20.01$19.5012.1%3.5%20.5%0.0%16.4%3.1%1.1%-6.0M-42.1M-613.8K2.7622.582,2586,24057,692189,998
2007-03-27$19.98$19.5011.7%3.3%15.0%0.0%16.0%2.7%1.2%-5.5M-44.6M-614.3K96.7217.2415815,28259,220186,946
2007-03-28$19.94$19.5011.8%3.4%14.9%0.0%12.1%2.3%1.5%-5.4M-45.1M-607.2K0.0822.941,84815459,230186,948
2007-03-29$20.05$19.5012.4%3.6%14.9%0.0%12.0%3.5%1.2%-5.2M-46.2M-611.1K0.5021.711,24061659,246187,006
2007-03-30$19.85$19.5011.6%3.3%14.2%0.0%13.8%3.0%1.6%-5.7M-40.4M-627.9K3.0226.989822,97060,026187,612