XLU Options History — August 2007

In August 2007, XLU traded between $18.98 and $20.21. ATM implied volatility averaged 26.3%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.0% (HV 20d: 28.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 6.18.

Notable Days

  • 2007-08-08: Highest Volume — 38,790 contracts
  • 2007-08-09: Largest IV spike — 18.5% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$18.98$20.21$19.43$19.30
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV26.3%20.7%32.0%24.2%23.6%
Expected Move7.6%5.9%9.2%6.9%6.8%
HV 20d28.3%23.5%30.8%23.5%23.7%
HV 60d23.0%20.1%24.2%20.1%23.1%
IV Rank84.3%57.2%100.0%86.1%68.3%
IV Percentile94.8%81.5%100.0%97.9%86.2%
Term Structure-2.0%-5.5%1.1%-0.2%0.2%
VWIV26.7%19.8%32.5%25.2%19.8%
Skew 25d6.8%2.8%8.5%7.2%6.7%
Skew 10d12.5%-6.9%20.5%10.6%12.9%
Call IV 25d22.8%18.4%27.7%20.6%20.3%
Put IV 25d29.5%24.0%35.1%27.8%27.0%
Bid-Ask Spread %36.4221.1968.9868.9825.44
Gamma HHI0.160.140.190.170.14
Net GEX-18.1M-30.8M-8.5M-24.0M-12.6M
Net DEX293.2M69.9M492.9M352.7M289.1M
Net VEX-2.5M-2.9M-2.0M-2.8M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.180.1145.384.081.89
Total Volume17,070.0871,24638,79015,6161,400
Total OI910,623.217829,996981,552959,490835,064

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$19.43$20.0024.2%6.9%23.5%86.1%25.2%7.2%-0.2%-24.0M352.7M-2.8M4.0868.983,07212,544332,000627,490
2007-08-02$19.64$20.0023.1%6.6%23.9%81.0%22.7%4.8%0.3%-22.8M252.9M-2.9M0.7222.629,7166,972332,866627,606
2007-08-03$18.98$20.0027.2%7.8%26.7%100.0%27.1%2.8%1.1%-22.9M483.2M-2.8M2.6749.8710,27427,398331,572628,280
2007-08-06$19.57$20.0026.5%7.7%29.2%96.4%26.7%5.7%-2.6%-23.8M309.0M-2.9M2.6351.535,04213,264336,838638,292
2007-08-07$19.93$20.0025.2%7.3%29.7%90.6%27.2%7.1%-2.6%-18.7M131.2M-2.9M0.9843.3011,75011,546336,332644,684
2007-08-08$20.21$20.0025.2%7.4%30.1%90.6%26.0%7.3%-3.1%-16.6M69.9M-2.9M15.1839.792,39836,392341,136640,416
2007-08-09$19.85$20.0029.8%7.9%30.6%100.0%31.0%7.6%-3.0%-21.9M244.9M-2.9M13.8052.101,13415,644340,638631,756
2007-08-10$19.50$20.0027.9%8.6%30.5%91.9%31.5%8.0%-5.1%-21.5M283.4M-2.8M3.0534.404,82214,684340,908624,620
2007-08-13$19.61$20.0028.0%8.1%30.3%92.6%25.7%6.2%-4.5%-24.8M270.3M-2.7M0.1124.326,232708339,168619,418
2007-08-14$19.27$20.0027.2%8.3%30.8%89.3%30.4%6.7%-5.5%-26.5M406.6M-2.5M8.4221.195424,562343,298615,354
2007-08-15$19.02$20.0028.8%8.8%30.8%95.8%30.7%4.9%-4.4%-23.8M492.9M-2.5M2.6622.073,5929,550340,894618,272
2007-08-16$19.15$20.0032.0%9.2%30.3%100.0%32.5%8.3%-4.9%-24.1M475.9M-2.5M4.4654.796,15227,424341,800615,788
2007-08-17$19.32$20.0029.2%8.4%30.4%89.4%32.4%8.5%-2.3%-30.8M370.1M-2.5M13.6347.171,27217,340345,534624,170
2007-08-20$19.42$20.0031.0%8.9%30.5%96.4%28.5%6.4%-4.2%-12.0M276.4M-2.4M0.3323.925,7921,928311,130525,404
2007-08-21$19.40$20.0026.9%7.7%28.7%80.6%27.9%6.4%-0.9%-11.2M232.7M-2.4M13.7728.0189212,282316,386521,708
2007-08-22$19.63$20.0024.8%7.1%29.0%72.9%23.7%8.3%-1.4%-10.5M191.8M-2.3M0.3039.3922,0626,644316,696513,300
2007-08-23$19.68$20.0023.8%6.8%27.8%69.3%22.0%6.4%-1.0%-9.6M176.7M-2.3M0.5137.1310,2965,300328,872514,406
2007-08-24$19.80$20.0020.7%5.9%25.3%57.2%26.7%7.4%0.8%-8.5M136.8M-2.3M45.3837.5652023,598335,868515,710
2007-08-27$19.30$20.0023.4%6.7%26.8%67.5%23.9%6.8%0.6%-12.6M328.8M-2.1M5.0227.442,97414,942329,796513,232
2007-08-28$19.00$20.0025.9%7.4%27.4%77.2%24.2%7.8%-1.6%-12.5M368.3M-2.0M1.1428.857,2808,304331,148505,256
2007-08-29$19.38$20.0024.4%7.0%27.1%71.4%24.5%7.1%-1.0%-11.9M268.3M-2.1M0.3232.302,370756325,960508,692
2007-08-30$19.34$20.0025.3%7.2%26.8%74.7%23.5%6.9%-1.5%-13.0M332.6M-2.0M0.9925.49626620327,752508,824
2007-08-31$19.30$20.0023.6%6.8%23.7%68.3%19.8%6.7%0.2%-12.6M289.1M-2.0M1.8925.44484916326,090508,974