XLU Options History — February 2008

In February 2008, XLU traded between $18.80 and $20.41. ATM implied volatility averaged 22.7%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 5.0% (HV 20d: 27.7%). Max pain ranged from $20.00 to $21.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.97.

Notable Days

  • 2008-02-29: Highest Volume — 51,734 contracts
  • 2008-02-14: Largest IV spike — 29.0% change
  • 2008-02-11: Highest IV Rank — 74.4%
  • 2008-02-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.72$18.80$20.41$20.12$18.80
Max Pain$20.25$20.00$21.50$21.50$20.00
ATM IV22.7%19.0%26.0%19.0%25.5%
Expected Move6.7%5.5%7.3%5.5%7.3%
HV 20d27.7%22.5%31.2%29.7%26.0%
HV 60d22.3%21.7%23.7%21.8%23.7%
IV Rank60.8%44.8%74.4%51.0%70.3%
IV Percentile73.4%49.2%90.5%50.8%88.5%
Term Structure0.2%-1.3%5.9%5.9%0.1%
VWIV23.0%18.1%25.5%23.4%22.3%
Skew 25d4.7%2.8%8.5%8.5%3.5%
Skew 10d8.9%-1.5%17.1%3.4%4.0%
Call IV 25d21.0%16.0%24.0%16.0%23.5%
Put IV 25d25.7%22.5%28.8%24.5%27.0%
Bid-Ask Spread %30.1617.5457.4657.4619.02
Gamma HHI0.310.170.410.230.31
Net GEX-3.4M-8.9M755-1.9M-1.2M
Net DEX50.5M14.1M96.9M48.8M56.7M
Net VEX-404.8K-437.6K-372.0K-385.3K-393.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0210.231.710.53
Total Volume10,315.594451,7349,67851,734
Total OI149,486.4127,990187,656133,028164,646

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$20.12$21.5019.0%5.5%29.7%51.0%23.4%8.5%5.9%-1.9M48.8M-385.3K1.7157.463,5726,10659,27473,754
2008-02-04$20.41$20.5022.6%6.6%30.1%64.7%23.5%5.6%0.8%-3.2M34.1M-407.6K0.2340.373,62284259,84879,674
2008-02-05$19.80$20.5022.3%7.2%30.5%63.5%25.5%4.0%-1.0%-2.0M52.6M-381.6K3.7831.201,1704,42260,92276,214
2008-02-06$19.76$20.5024.3%7.2%30.5%70.9%25.5%4.9%-1.3%-2.4M57.5M-384.2K3.1028.222,7088,39661,31679,036
2008-02-07$19.66$20.0025.0%7.0%30.0%70.2%21.8%5.5%-0.6%-3.3M74.8M-379.6K1.3427.405,4827,32262,63887,174
2008-02-08$19.50$20.0023.3%7.3%30.0%62.7%23.6%6.2%-0.9%-3.5M85.1M-386.6K0.4729.461,34663467,76092,704
2008-02-11$19.66$20.5026.0%7.1%30.3%74.4%24.1%5.2%0.6%-4.5M80.0M-375.2K0.5827.9559634866,75492,414
2008-02-12$20.00$20.5020.9%6.7%31.2%52.3%24.2%5.9%0.4%-6.6M61.1M-376.6K0.4525.4699644466,84690,150
2008-02-13$19.90$20.5019.1%6.8%31.1%44.8%24.8%4.3%-0.1%-5.9M64.8M-372.0K10.2335.622,76428,27067,43890,268
2008-02-14$19.65$20.0024.6%7.1%30.9%68.5%22.7%4.0%-1.3%-6.9M96.9M-434.3K2.2038.834941,08869,160118,278
2008-02-15$19.93$20.0023.7%6.8%28.4%64.4%23.8%4.1%-0.4%-8.9M85.8M-436.4K8.8323.511,1249,92069,158118,498
2008-02-19$19.77$20.5022.4%6.4%28.1%59.0%21.7%2.8%1.0%-2.7M21.7M-418.6K0.0739.444,00029654,81673,174
2008-02-20$19.80$20.0022.5%6.5%24.9%59.4%23.3%5.0%-0.7%-2.4M24.7M-422.9K1.3329.382,1222,82057,83073,150
2008-02-21$19.37$20.0022.7%6.5%24.4%60.1%23.5%5.5%1.2%-2.9M37.3M-410.0K0.7236.272,5241,81859,19275,792
2008-02-22$19.71$20.0022.8%6.5%23.1%60.4%22.2%3.8%-0.1%-2.8M29.6M-429.8K0.4021.612,41896261,29676,702
2008-02-25$19.73$20.0021.9%6.3%22.7%56.9%18.1%4.7%1.0%-2.8M25.5M-423.0K0.2831.915,4461,54262,45876,820
2008-02-26$19.98$20.0020.1%5.8%22.5%49.1%21.1%3.5%0.4%-1.7M14.1M-437.6K0.6321.593,4382,17867,78877,578
2008-02-27$19.50$20.0021.9%6.3%24.3%54.0%22.6%2.9%-1.0%-3.1M33.9M-407.6K0.0220.8429,52052660,51475,678
2008-02-28$19.38$20.0023.2%6.6%24.3%59.7%22.5%3.3%-0.5%75524.3M-432.8K2.4617.549542,34687,19475,822
2008-02-29$18.80$20.0025.5%7.3%26.0%70.3%22.3%3.5%0.1%-1.2M56.7M-393.5K0.5319.0233,76817,96687,20077,446