XLU Options History — March 2008

In March 2008, XLU traded between $18.73 and $19.42. ATM implied volatility averaged 24.3%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.4% (HV 20d: 22.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.37.

Notable Days

  • 2008-03-19: Highest Volume — 70,254 contracts
  • 2008-03-06: Largest IV spike — 25.6% change
  • 2008-03-03: Highest IV Rank — 74.8%
  • 2008-03-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.99$18.73$19.42$19.09$18.97
Max Pain$19.23$19.00$20.00$20.00$19.00
ATM IV24.3%20.1%26.5%26.5%23.6%
Expected Move6.9%5.7%7.6%7.6%6.8%
HV 20d22.8%18.0%25.0%24.7%18.0%
HV 60d23.9%23.4%24.1%23.9%24.1%
IV Rank64.7%45.5%74.8%74.8%61.6%
IV Percentile78.8%53.6%91.7%91.7%72.6%
Term Structure0.6%-1.0%2.2%-1.0%1.2%
VWIV23.8%13.8%27.1%27.1%25.0%
Skew 25d4.9%2.6%8.1%5.1%4.6%
Skew 10d9.5%-3.8%17.1%5.0%12.2%
Call IV 25d22.1%19.2%24.3%23.7%20.6%
Put IV 25d27.0%23.1%31.4%28.8%25.3%
Bid-Ask Spread %21.6315.8230.9517.7824.65
Gamma HHI0.320.270.470.330.29
Net GEX-2.7M-6.2M1.6M449.1K-3.1M
Net DEX87.6M33.8M232.0M58.1M37.5M
Net VEX-431.7K-491.9K-340.3K-468.2K-462.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.1317.631.851.23
Total Volume10,896.489870,2541,6183,010
Total OI213,559.9128,854306,974213,088146,232

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$19.09$20.0026.5%7.6%24.7%74.8%27.1%5.1%-1.0%449.1K58.1M-468.2K1.8517.785681,050119,47493,614
2008-03-04$19.42$20.0024.1%6.9%25.0%64.1%25.1%3.2%-0.0%1.6M34.7M-491.7K7.0523.393,05421,518120,01894,442
2008-03-05$19.36$20.0020.1%5.7%22.7%45.5%13.8%3.9%2.1%-98.6K60.4M-491.9K17.6328.991,39224,540122,572108,212
2008-03-06$18.97$20.0025.2%7.2%23.7%68.9%21.7%2.6%-0.5%-2.2M103.9M-449.7K0.9527.541,5861,502122,504117,590
2008-03-07$18.85$19.5024.4%6.8%23.8%65.2%23.8%4.7%0.4%-2.1M111.4M-411.5K0.2622.401,384358123,894111,168
2008-03-10$18.82$19.0025.5%7.1%23.7%70.5%26.0%4.9%0.0%-2.3M119.5M-371.0K8.8122.691,18410,434124,854111,224
2008-03-11$19.15$19.0023.8%6.8%24.4%62.5%25.0%6.8%0.6%-1.8M78.5M-450.2K2.4119.516101,470125,508121,086
2008-03-12$19.15$19.0024.6%6.9%23.4%66.3%23.5%4.5%0.9%-3.4M110.8M-407.9K0.7720.411,4661,132125,750120,862
2008-03-13$19.09$19.0024.0%6.9%23.4%63.3%24.4%6.9%0.7%-3.7M112.9M-393.9K2.6819.035281,414126,664120,470
2008-03-14$18.95$19.0025.1%7.2%23.1%68.6%25.4%5.6%1.0%-2.3M104.5M-413.1K1.2430.956,9988,654126,612120,456
2008-03-17$18.96$19.0025.7%7.4%22.4%71.3%24.2%8.1%-0.1%-3.9M121.8M-373.4K0.3718.605,0941,888130,348125,250
2008-03-18$19.30$19.0024.0%6.9%23.4%63.4%25.5%5.3%0.7%-4.7M103.7M-382.9K0.1317.795,378698131,636125,424
2008-03-19$18.91$19.0025.6%7.3%24.3%70.8%26.2%3.9%0.9%-5.2M145.1M-340.3K11.5622.565,59464,660125,280125,740
2008-03-20$18.73$19.0025.9%7.4%23.3%72.1%25.2%5.4%0.0%-6.2M232.0M-424.4K2.9817.274,41013,130124,530182,444
2008-03-24$18.79$19.0022.9%6.6%22.3%58.7%23.0%5.3%2.2%-3.6M49.8M-437.2K0.6620.198,4565,62048,42080,434
2008-03-25$18.73$19.0024.5%7.0%22.2%65.7%23.0%4.5%1.1%-3.3M47.3M-462.0K0.1819.202,44643255,76085,432
2008-03-26$18.80$19.0023.3%6.7%21.6%60.1%23.3%5.0%1.0%-2.9M41.1M-463.6K0.1615.821,30421457,66284,402
2008-03-27$18.99$19.0023.5%6.7%20.6%61.4%21.3%4.0%0.5%-2.7M33.8M-482.8K0.2820.9270219657,92084,536
2008-03-28$18.82$19.0023.0%6.6%20.7%58.9%23.2%4.5%0.4%-3.1M44.8M-455.5K6.1622.895383,31658,11484,660
2008-03-31$18.97$19.0023.6%6.8%18.0%61.6%25.0%4.6%1.2%-3.1M37.5M-462.1K1.2324.651,3481,66258,32687,906