XLU Options History — November 2007

In November 2007, XLU traded between $20.60 and $21.37. ATM implied volatility averaged 22.3%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.8% (HV 20d: 19.6%). Max pain ranged from $20.50 to $20.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2007-11-20: Highest Volume — 20,400 contracts
  • 2007-11-13: Largest IV drop — 28.3% change
  • 2007-11-12: Highest IV Rank — 90.4%
  • 2007-11-12: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.98$20.60$21.37$20.79$21.36
Max Pain$20.50$20.50$20.50$20.50$20.50
ATM IV22.3%18.3%29.4%21.8%18.3%
Expected Move6.4%5.2%7.5%6.2%5.2%
HV 20d19.6%17.3%21.9%18.0%17.3%
HV 60d17.1%16.2%17.8%17.5%16.3%
IV Rank63.6%48.1%90.4%61.4%48.1%
IV Percentile78.7%50.9%98.6%81.0%50.9%
Term Structure-0.2%-2.2%1.4%-0.3%1.4%
VWIV23.2%18.5%32.7%22.4%18.5%
Skew 25d5.9%3.2%8.2%5.6%3.5%
Skew 10d14.3%8.4%20.0%13.0%9.6%
Call IV 25d19.4%16.5%22.3%20.1%17.3%
Put IV 25d25.3%20.9%29.3%25.7%20.9%
Bid-Ask Spread %33.0215.3454.5354.5325.14
Gamma HHI0.140.130.180.150.14
Net GEX-5.0M-11.0M353.7K-5.3M353.7K
Net DEX-53.2M-120.8M6.4M-37.5M-120.8M
Net VEX-973.1K-1.1M-741.0K-1.1M-741.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.344.423.200.52
Total Volume5,671.33349420,4003,98413,854
Total OI409,907.714388,844431,304404,956407,368

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$20.79$20.5021.8%6.2%18.0%61.4%22.4%5.6%-0.3%-5.3M-37.5M-1.1M3.2054.539483,036129,396275,560
2007-11-02$20.96$20.5022.1%6.3%18.0%62.5%23.1%5.3%0.6%-5.1M-44.8M-1.1M0.5943.21436256129,876277,276
2007-11-05$21.19$20.5022.8%6.8%18.3%65.4%25.6%5.9%-1.4%-4.7M-66.8M-1.0M0.3731.521,568582130,046277,326
2007-11-06$21.21$20.5021.6%6.5%17.9%60.9%23.2%5.2%-0.1%-4.5M-75.4M-1.0M0.3427.77370124131,030277,396
2007-11-07$20.73$20.5025.2%7.2%19.7%74.2%25.0%6.3%-0.8%-6.0M-25.8M-1.1M1.7541.686781,184131,070277,420
2007-11-08$21.13$20.5023.4%6.9%20.6%67.4%32.7%7.6%-0.3%-5.1M-56.2M-1.1M2.1631.865,14211,098131,214278,378
2007-11-09$20.96$20.5024.6%7.2%20.8%72.3%27.5%6.7%-0.7%-5.3M-45.6M-1.1M4.0846.542,1828,900135,596278,664
2007-11-12$20.60$20.5029.4%7.5%21.6%90.4%24.9%7.0%-1.3%-8.2M6.4M-1.1M1.9545.132,2724,424137,258287,398
2007-11-13$20.77$20.5021.1%6.3%21.8%58.8%22.0%7.0%0.3%-9.6M-8.6M-1.1M0.5931.825,7643,374138,616290,340
2007-11-14$20.65$20.5021.3%6.9%21.9%59.6%18.7%7.1%-0.8%-8.8M-23.8M-1.0M0.4922.551,956960141,132289,562
2007-11-15$20.84$20.5023.5%6.7%21.8%67.9%24.5%7.0%-0.0%-10.0M-30.2M-1.0M1.0429.22932968141,208289,786
2007-11-16$20.84$20.5021.9%6.3%20.0%61.7%23.9%6.2%0.6%-11.0M-36.9M-1.0M0.5328.081,632870141,156290,148
2007-11-19$20.90$20.5022.2%6.4%19.9%63.0%22.5%6.4%0.5%-3.6M-45.6M-946.2K1.8429.69404744127,308261,536
2007-11-20$21.16$20.5021.4%6.1%20.2%60.2%22.6%5.8%0.9%-2.4M-75.5M-905.4K3.1627.384,90815,492127,494261,892
2007-11-21$20.98$20.5022.4%6.4%20.5%63.8%22.8%3.4%-0.3%-3.6M-56.0M-932.0K0.4332.80972420130,814269,678
2007-11-23$20.96$20.5022.0%6.3%18.9%62.4%20.9%5.9%-0.5%-3.5M-56.8M-908.4K0.4215.342,318982131,408269,726
2007-11-26$20.93$20.5022.0%6.3%18.3%62.1%21.8%4.5%0.8%-3.8M-45.5M-923.1K1.7847.407821,392133,360269,662
2007-11-27$21.00$20.5021.9%6.3%18.1%61.7%22.2%8.2%0.0%-3.2M-61.5M-873.6K4.4230.402,1629,546133,472270,410
2007-11-28$21.37$20.5019.3%5.5%19.1%52.0%21.1%5.7%0.4%-555.4K-111.0M-754.4K2.7830.488282,304133,958269,184
2007-11-29$21.23$20.5021.1%6.1%18.8%59.0%21.2%3.2%-2.2%-1.1M-100.0M-780.7K0.4420.831,620714134,228269,712
2007-11-30$21.36$20.5018.3%5.2%17.3%48.1%18.5%3.5%1.4%353.7K-120.8M-741.0K0.5225.149,1004,754137,532269,836