XLU Options History — December 2007

In December 2007, XLU traded between $21.16 and $22.19. ATM implied volatility averaged 19.7%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.1% (HV 20d: 16.6%). Max pain ranged from $20.00 to $21.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.42.

Notable Days

  • 2007-12-20: Highest Volume — 141,962 contracts
  • 2007-12-11: Largest IV spike — 26.3% change
  • 2007-12-11: Highest IV Rank — 74.7%
  • 2007-12-13: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.66$21.16$22.19$21.57$21.16
Max Pain$20.65$20.00$21.50$20.50$21.00
ATM IV19.7%16.1%25.3%20.5%19.5%
Expected Move5.6%4.6%6.5%5.9%5.6%
HV 20d16.6%14.0%18.0%17.4%17.2%
HV 60d17.0%16.3%17.4%16.3%17.2%
IV Rank53.4%40.1%74.7%56.5%52.9%
IV Percentile62.2%39.0%90.7%70.6%64.4%
Term Structure0.9%-1.1%3.2%-0.9%0.7%
VWIV19.0%15.6%22.1%20.4%16.7%
Skew 25d3.9%1.3%7.0%1.7%5.1%
Skew 10d9.8%5.4%14.3%7.4%10.8%
Call IV 25d16.7%11.5%19.3%18.9%15.8%
Put IV 25d20.6%18.4%24.0%20.6%20.9%
Bid-Ask Spread %27.6514.0453.2625.7020.87
Gamma HHI0.240.160.380.160.26
Net GEX2.1M-995.8K5.9M1.8M-54.7K
Net DEX-125.5M-206.1M-28.4M-143.8M-28.4M
Net VEX-542.2K-688.9K-445.7K-688.9K-451.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.029.970.733.46
Total Volume12,5431,594141,9622,2202,890
Total OI395,289.4289,094443,378415,320299,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$21.57$20.5020.5%5.9%17.4%56.5%20.4%1.7%-0.9%1.8M-143.8M-688.9K0.7325.701,280940142,228273,092
2007-12-04$21.73$20.5019.8%5.7%17.1%54.0%20.0%1.3%-0.0%3.0M-168.9M-644.0K1.6429.179481,550143,608273,574
2007-12-05$22.11$20.5018.8%5.4%18.0%50.3%20.7%3.5%-0.2%4.1M-201.0M-567.8K9.6227.242,15620,730142,768274,754
2007-12-06$21.98$20.5016.6%4.8%15.7%41.8%18.8%5.6%2.6%2.8M-191.5M-587.5K0.5131.281,228632143,514289,828
2007-12-07$22.09$20.0018.7%5.1%14.5%49.7%20.7%3.8%2.6%3.9M-201.3M-551.8K0.3727.241,286474143,784286,116
2007-12-10$22.19$20.0020.0%5.2%14.0%54.7%18.3%4.4%0.9%3.5M-206.1M-524.4K0.4823.222,3721,144143,198286,110
2007-12-11$21.68$20.0025.3%6.1%15.3%74.7%20.6%3.8%-0.7%1.9M-155.6M-590.0K9.9742.787387,360142,528286,434
2007-12-12$21.68$20.5021.2%6.3%15.1%59.3%17.2%4.3%-1.1%2.3M-155.9M-577.5K0.2353.262,314526142,496292,740
2007-12-13$22.00$20.5022.7%6.5%15.4%65.0%21.0%6.1%0.1%2.0M-173.2M-589.8K0.3945.871,494580144,414292,728
2007-12-14$21.59$20.5022.0%6.3%17.1%62.4%22.1%3.9%0.1%2.9M-148.6M-588.2K6.3935.261,0046,412144,866292,638
2007-12-17$21.39$20.5021.6%6.2%17.6%60.7%21.0%4.7%-0.4%552.9K-107.1M-593.8K1.2020.701,8162,176145,060298,318
2007-12-18$21.58$20.5020.3%5.8%17.8%56.0%19.9%4.2%0.4%2.2M-138.7M-549.0K3.5025.412,4688,628144,938297,754
2007-12-19$21.52$20.5019.6%5.6%17.4%53.2%20.0%2.1%1.5%5.3M-144.0M-511.6K0.1121.423,814410144,752296,268
2007-12-20$21.62$20.5018.6%5.3%17.1%49.2%17.5%2.6%2.6%5.9M-142.3M-512.7K0.0221.38139,0402,922146,416296,440
2007-12-21$21.50$21.0018.7%5.4%17.2%49.7%15.6%3.6%1.5%2.0M-44.9M-474.6K1.1927.413,0143,57289,430299,322
2007-12-24$21.61$21.5016.1%4.6%17.2%40.1%15.8%7.0%3.2%-995.8K-44.2M-459.0K2.5324.284521,14275,864213,230
2007-12-26$21.50$21.5018.0%5.2%17.4%47.2%17.5%2.9%1.1%-879.8K-40.4M-459.2K0.5415.761,22265676,042213,542
2007-12-27$21.30$21.5017.1%4.9%16.6%43.8%18.4%2.8%2.3%-259.1K-34.1M-445.7K0.9014.049,0588,16076,842212,902
2007-12-28$21.46$21.0018.1%5.2%16.6%47.4%17.2%5.0%1.3%-506.2K-38.9M-478.0K4.7320.797423,51082,722214,988
2007-12-31$21.16$21.0019.5%5.6%17.2%52.9%16.7%5.1%0.7%-54.7K-28.4M-451.2K3.4620.876482,24283,176216,364