XLU Options History — April 2007

In April 2007, XLU traded between $20.26 and $21.15. ATM implied volatility averaged 11.8%. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.8% (HV 20d: 12.6%). Max pain ranged from $19.50 to $20.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.96.

Notable Days

  • 2007-04-24: Highest Volume — 51,150 contracts
  • 2007-04-30: Largest IV spike — 10.4% change
  • 2007-04-09: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.63$20.26$21.15$20.32$20.82
Max Pain$20.05$19.50$20.50$19.50$20.50
ATM IV11.8%10.1%12.9%11.6%12.4%
Expected Move3.5%2.9%3.9%3.3%3.6%
HV 20d12.6%11.1%15.0%15.0%11.3%
HV 60d14.8%14.6%15.2%15.2%15.0%
Term Structure1.2%0.1%3.1%0.3%1.1%
VWIV12.7%10.3%14.6%13.4%12.4%
Skew 25d2.5%1.3%4.5%4.5%3.6%
Skew 10d4.8%-1.6%9.2%7.7%6.3%
Call IV 25d10.7%9.1%12.4%9.7%10.3%
Put IV 25d13.3%11.5%14.4%14.1%13.9%
Bid-Ask Spread %27.8716.9447.4821.8524.87
Gamma HHI0.260.190.350.190.35
Net GEX-5.5M-13.8M-2.6M-3.8M-13.8M
Net DEX-71.0M-89.2M-22.7M-60.8M-22.7M
Net VEX-802.1K-1.1M-562.8K-576.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.960.1334.040.880.91
Total Volume16,976.33,27251,1505,4748,568
Total OI322,989.1248,484382,520248,484382,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$20.32$19.5011.6%3.3%15.0%0.0%13.4%4.5%0.3%-3.8M-60.8M-576.8K0.8821.852,9142,56059,936188,548
2007-04-03$20.35$19.5011.0%3.1%14.5%0.0%12.0%3.6%1.5%-3.3M-68.1M-562.8K0.5320.623,7181,98262,190189,848
2007-04-04$20.26$19.5010.1%2.9%14.6%0.0%10.3%2.0%3.1%-3.2M-67.2M-597.4K3.6026.371,4805,33265,030191,578
2007-04-05$20.35$19.5010.9%3.1%14.6%0.0%10.7%3.5%1.8%-3.3M-69.2M-607.6K0.9122.0416,91015,43265,456196,850
2007-04-09$20.50$20.0011.7%3.9%14.6%0.0%13.6%3.3%0.6%-2.6M-79.2M-750.0K11.5144.244905,63881,914211,964
2007-04-10$20.50$20.0010.7%3.7%14.3%0.0%13.5%1.5%1.1%-2.9M-83.2M-711.5K4.0029.456982,79082,098217,464
2007-04-11$20.45$20.0011.4%3.8%12.9%0.0%13.6%2.2%0.1%-3.5M-75.2M-734.4K13.3920.183,42445,83682,496220,128
2007-04-12$20.36$20.0012.3%3.5%13.2%0.0%12.5%3.0%0.2%-6.8M-61.6M-803.9K0.4916.943,0281,49885,424235,972
2007-04-13$20.36$20.0011.8%3.4%12.7%0.0%13.2%1.6%0.9%-7.0M-63.6M-797.3K0.1321.725,76872287,874235,384
2007-04-16$20.48$20.0012.7%3.6%12.0%0.0%13.2%2.3%0.5%-4.9M-75.8M-802.8K31.3121.4160018,78491,740235,490
2007-04-17$20.57$20.0012.1%3.5%11.9%0.0%13.3%3.0%2.6%-5.2M-81.3M-798.3K34.0447.4866422,60491,852254,894
2007-04-18$20.73$20.0012.7%3.7%11.3%0.0%12.6%2.3%0.5%-5.9M-83.6M-801.0K1.3128.481,4181,85492,006276,118
2007-04-19$20.63$20.0012.5%3.6%11.1%0.0%12.5%1.3%1.3%-6.8M-71.7M-872.2K0.8024.722,6462,11092,878277,748
2007-04-20$20.79$20.0011.5%3.3%11.2%0.0%13.4%2.3%0.9%-5.6M-89.2M-820.0K0.5432.7613,9027,57495,042279,590
2007-04-23$20.94$20.5011.9%3.4%11.3%0.0%13.1%2.4%1.3%-4.5M-60.5M-882.6K1.0728.7416,71817,92682,690216,728
2007-04-24$21.09$20.5012.9%3.7%11.4%0.0%14.6%2.7%1.3%-3.9M-75.0M-915.4K5.1021.978,39242,75897,850234,194
2007-04-25$21.15$20.5012.5%3.6%11.3%0.0%12.7%2.4%2.1%-6.8M-89.1M-924.4K3.9947.122,62610,486102,082272,248
2007-04-26$21.08$20.5011.5%3.3%11.4%0.0%12.2%1.4%1.5%-7.0M-77.8M-975.4K0.5325.633,1421,650103,250256,834
2007-04-27$20.91$20.5011.3%3.2%12.0%0.0%12.0%1.9%1.1%-8.4M-64.2M-1.0M24.1330.791,38833,496105,742258,132
2007-04-30$20.82$20.5012.4%3.6%11.3%0.0%12.4%3.6%1.1%-13.8M-22.7M-1.1M0.9124.874,4784,090106,312276,208