XLU Options History — June 2007

In June 2007, XLU traded between $19.36 and $20.80. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.1% (HV 20d: 19.4%). Max pain ranged from $19.50 to $21.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.62.

Notable Days

  • 2007-06-08: Highest Volume — 227,092 contracts
  • 2007-06-13: Largest IV drop — 25.5% change
  • 2007-06-22: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.89$19.36$20.80$20.80$19.79
Max Pain$19.95$19.50$21.50$21.00$19.50
ATM IV20.6%16.5%27.2%16.5%18.4%
Expected Move5.5%4.5%6.1%4.7%5.3%
HV 20d19.4%13.1%22.7%13.2%22.7%
HV 60d14.8%12.4%16.4%12.4%15.9%
Term Structure-0.3%-1.8%1.5%0.4%-0.1%
VWIV18.5%11.8%21.7%16.5%18.7%
Skew 25d3.7%1.1%5.0%1.1%3.5%
Skew 10d6.9%2.0%12.0%7.1%6.5%
Call IV 25d17.2%13.7%20.7%15.6%17.8%
Put IV 25d20.9%16.7%23.7%16.7%21.3%
Bid-Ask Spread %23.3216.9841.5530.4119.40
Gamma HHI0.230.190.290.200.19
Net GEX-16.5M-28.6M-8.4M-20.2M-9.7M
Net DEX175.9M28.9M401.3M80.8M125.8M
Net VEX-2.6M-3.3M-1.6M-1.6M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.0611.920.450.21
Total Volume59,398.4763,016227,09210,9343,016
Total OI819,387.619542,426981,922542,426935,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$20.80$21.0016.5%4.7%13.2%0.0%16.5%1.1%0.4%-20.2M80.8M-1.6M0.4530.417,5543,380160,386382,040
2007-06-04$20.73$21.5019.3%4.6%13.2%0.0%14.8%3.4%-0.0%-20.9M92.9M-1.6M3.2223.191,3524,360165,166384,124
2007-06-05$20.45$21.5018.7%4.5%13.1%0.0%16.0%2.7%1.5%-23.9M176.5M-1.6M2.9419.8511,97635,176165,690386,976
2007-06-06$20.13$21.0021.3%4.9%14.0%0.0%17.4%3.3%-0.5%-24.9M249.9M-1.6M5.0221.2120,260101,796171,970408,420
2007-06-07$19.50$20.5023.1%5.4%17.3%0.0%19.0%2.9%-0.5%-28.6M401.3M-1.6M1.6724.0330,65651,124181,838444,286
2007-06-08$19.64$20.5024.8%5.9%17.6%0.0%20.6%4.0%-1.2%-26.9M339.0M-1.7M0.5023.81151,11875,974204,958450,498
2007-06-11$19.90$20.0022.8%5.7%18.3%0.0%21.7%4.9%-0.4%-21.9M201.3M-2.4M2.6430.8016,47243,478347,884505,440
2007-06-12$19.57$19.5027.2%6.1%18.7%0.0%21.3%3.8%-1.8%-21.3M314.7M-2.5M7.9517.5616,882134,294353,308529,226
2007-06-13$19.96$19.5020.3%5.4%20.3%0.0%20.0%4.4%-0.1%-19.4M200.5M-2.8M4.9624.5913,88668,924363,932574,738
2007-06-14$20.09$19.5018.4%5.3%20.5%0.0%18.4%5.0%-0.5%-21.5M168.3M-2.9M0.0624.70135,9068,012368,926612,996
2007-06-15$20.22$19.5018.7%5.4%20.8%0.0%17.2%4.1%-0.6%-17.3M63.6M-2.8M0.6918.2938,33026,354357,076611,904
2007-06-18$20.00$19.5019.2%5.5%20.7%0.0%18.7%4.8%-0.6%-8.4M31.9M-2.9M1.3716.9826,06235,644331,088482,776
2007-06-19$20.13$19.5018.6%5.3%21.0%0.0%18.3%4.2%-0.1%-8.6M28.9M-3.1M0.4320.4633,18614,110348,300509,578
2007-06-20$19.61$19.5020.7%5.9%22.6%0.0%19.9%3.9%-0.2%-9.4M159.7M-3.2M1.1125.5622,19024,716376,852512,504
2007-06-21$19.73$19.5020.9%6.0%22.5%0.0%20.5%4.0%-0.8%-8.7M123.5M-3.3M11.9222.002,52030,038391,376526,118
2007-06-22$19.36$19.5021.4%6.1%22.1%0.0%19.9%4.0%-0.2%-10.5M205.0M-3.2M0.6923.866,8084,688392,424535,142
2007-06-25$19.46$19.5020.3%5.8%22.3%0.0%19.6%2.8%0.5%-11.0M208.5M-3.2M1.8522.321,4822,740395,842536,620
2007-06-26$19.36$19.5021.4%6.1%22.2%0.0%21.1%2.9%0.2%-11.3M235.2M-3.1M1.4641.555,2767,698394,968536,344
2007-06-27$19.64$19.5020.1%5.8%22.4%0.0%11.8%4.7%-0.3%-10.5M144.2M-3.2M5.1720.602,75014,222394,802541,218
2007-06-28$19.64$19.5019.6%5.6%22.4%0.0%17.8%3.0%0.0%-10.7M143.4M-3.2M0.6818.447,7105,248396,734537,652
2007-06-29$19.79$19.5018.4%5.3%22.7%0.0%18.7%3.5%-0.1%-9.7M125.8M-3.1M0.2119.402,498518399,732535,288