XLU Options History — July 2007

In July 2007, XLU traded between $18.77 and $20.57. ATM implied volatility averaged 19.8%, placing in the 66.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.7% (HV 20d: 19.1%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 10.70.

Notable Days

  • 2007-07-26: Highest Volume — 113,914 contracts
  • 2007-07-26: Largest IV spike — 23.6% change
  • 2007-07-31: Highest IV Rank — 96.4%
  • 2007-07-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.88$18.77$20.57$20.07$19.00
Max Pain$19.93$19.50$20.00$19.50$20.00
ATM IV19.8%18.0%26.4%18.4%26.4%
Expected Move5.8%5.2%7.6%5.3%7.6%
HV 20d19.1%14.4%23.5%23.5%21.7%
HV 60d17.2%16.1%19.7%16.2%19.7%
IV Rank66.7%57.5%96.4%60.5%96.4%
IV Percentile87.9%75.7%99.3%85.7%99.3%
Term Structure-0.4%-2.5%1.1%0.4%-2.5%
VWIV20.2%17.7%26.4%19.1%26.4%
Skew 25d3.5%2.0%6.7%2.5%3.2%
Skew 10d7.4%-3.0%16.3%8.2%-3.0%
Call IV 25d18.2%15.7%23.5%17.4%23.5%
Put IV 25d21.7%18.6%26.7%19.9%26.7%
Bid-Ask Spread %25.4416.9250.6916.9250.69
Gamma HHI0.200.150.320.180.16
Net GEX-9.2M-23.1M5.0M-5.5M-23.1M
Net DEX81.8M-242.9M491.0M-32.4M491.0M
Net VEX-2.9M-3.1M-2.3M-3.1M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.700.10115.970.974.92
Total Volume33,058.6671,338113,91419,88022,984
Total OI964,724.952869,2761,099,498935,100955,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$20.07$19.5018.4%5.3%23.5%0.0%19.1%2.5%0.4%-5.5M-32.4M-3.1M0.9716.9210,0909,790400,246534,854
2007-07-03$20.07$19.5018.7%5.4%23.1%0.0%18.3%2.6%0.2%-5.8M-20.1M-3.0M0.2118.999,0801,862404,954542,342
2007-07-05$20.04$19.5018.6%5.3%22.4%60.5%18.6%3.1%0.5%-5.5M3.5M-3.0M0.3519.928,8123,054409,730533,034
2007-07-06$19.93$20.0018.1%5.5%19.2%58.1%19.1%5.1%-1.3%-5.6M36.1M-3.0M0.1023.139,868980416,444533,318
2007-07-09$19.96$20.0018.4%5.7%19.1%59.5%19.6%3.3%-0.8%-4.9M-3.1M-2.9M1.0620.68650688419,462533,112
2007-07-10$19.77$20.0018.7%6.2%18.8%60.8%20.7%3.6%-1.1%-9.9M118.3M-2.9M5.8425.914,93828,840419,620533,604
2007-07-11$19.82$20.0018.8%5.6%17.8%61.2%18.7%4.9%0.1%-11.1M106.0M-2.9M0.2519.842,464612423,896553,894
2007-07-12$20.07$20.0019.2%5.5%17.0%63.0%20.3%3.9%-0.0%-10.1M16.9M-2.9M7.8023.562,84422,170425,156555,312
2007-07-13$20.38$20.0018.7%5.3%17.6%60.6%19.8%4.3%-0.1%322.4K-155.5M-2.8M14.8324.925,20277,126423,984566,210
2007-07-16$20.08$20.0019.7%5.6%18.3%65.3%18.2%2.2%-0.6%-4.7M-37.8M-2.3M0.2027.908,0781,590382,322486,954
2007-07-17$20.10$20.0019.6%5.6%17.9%64.7%20.0%3.6%-0.1%-6.5M-19.3M-3.0M115.9721.6350658,682430,008638,198
2007-07-18$20.25$20.0019.5%5.6%17.9%64.5%19.0%3.0%-0.2%-2.1M-64.9M-3.1M4.8620.426062,946429,978649,036
2007-07-19$20.57$20.0018.0%5.2%15.7%57.5%17.7%2.9%0.2%5.0M-242.9M-2.9M0.1724.5210,0441,716429,828647,470
2007-07-20$20.35$20.0019.4%5.6%16.3%64.1%19.4%2.0%-0.8%4.3M-100.2M-3.0M32.4430.982,96096,034431,414668,084
2007-07-23$20.37$20.0018.5%5.3%14.4%59.8%18.6%3.0%0.3%-14.0M-10.1M-2.9M0.2518.124,4081,096326,404585,970
2007-07-24$19.76$20.0018.3%5.2%18.5%58.9%19.0%2.1%-2.4%-16.7M59.6M-2.8M1.1620.228,3249,664320,466583,606
2007-07-25$19.80$20.0019.1%5.5%18.3%62.5%18.9%4.6%1.1%-19.1M245.6M-2.9M6.3019.754,33227,282328,824579,058
2007-07-26$19.35$20.0023.6%6.8%19.5%83.3%24.8%2.9%-0.1%-17.6M396.9M-2.8M16.5642.426,486107,428328,578574,424
2007-07-27$18.77$20.0023.2%6.7%22.1%81.7%23.0%6.7%-0.1%-19.3M476.7M-2.6M3.0639.324,61214,106328,788598,598
2007-07-30$19.04$20.0023.8%6.8%22.5%84.3%23.9%4.5%-0.6%-20.5M452.7M-2.7M7.3124.3312,18289,096329,042597,850
2007-07-31$19.00$20.0026.4%7.6%21.7%96.4%26.4%3.2%-2.5%-23.1M491.0M-2.7M4.9250.693,88019,104331,330623,822