XLU Options History — April 2008

In April 2008, XLU traded between $19.46 and $20.34. ATM implied volatility averaged 19.4%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 15.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2008-04-16: Highest Volume — 5,792 contracts
  • 2008-04-07: Largest IV spike — 39.6% change
  • 2008-04-16: Highest IV Rank — 55.5%
  • 2008-04-16: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.90$19.46$20.34$19.46$19.94
Max Pain$19.61$19.00$20.00$19.00$20.00
ATM IV19.4%15.2%22.4%21.6%18.6%
Expected Move5.6%4.5%6.4%6.2%5.3%
HV 20d15.9%11.4%19.4%19.4%11.4%
HV 60d22.4%19.1%24.8%24.7%19.1%
IV Rank41.9%23.4%55.5%52.8%38.2%
IV Percentile36.2%13.9%62.7%57.9%24.2%
Term Structure2.2%-0.6%12.4%-0.1%1.1%
VWIV19.8%15.1%23.1%22.5%15.1%
Skew 25d3.7%-6.6%6.5%4.4%3.6%
Skew 10d9.0%-1.8%14.6%9.0%7.2%
Call IV 25d17.5%13.1%19.6%18.6%16.4%
Put IV 25d21.2%12.8%24.3%23.0%20.0%
Bid-Ask Spread %34.4318.0180.3424.4830.38
Gamma HHI0.270.210.380.260.35
Net GEX-674.4K-2.2M2.8M-2.2M-1.2M
Net DEX-4.0M-36.5M16.2M16.2M909.2K
Net VEX-432.6K-485.8K-388.2K-474.7K-388.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.036.930.521.13
Total Volume2,247.0914165,7922,288682
Total OI145,199.455119,146165,708148,964126,642

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$19.46$19.0021.6%6.2%19.4%52.8%22.5%4.4%-0.1%-2.2M16.2M-474.7K0.5224.481,51077859,62089,344
2008-04-02$19.71$19.0020.6%5.9%19.0%48.1%21.8%3.9%1.5%-1.8M7.6M-477.3K0.6825.491,04070860,66690,034
2008-04-03$19.61$19.0020.1%5.8%19.1%45.8%18.8%3.5%1.3%-1.9M11.5M-475.6K0.1721.092,34439661,16890,596
2008-04-04$19.59$19.5015.2%4.5%17.4%23.4%17.9%-6.6%12.4%-1.4M4.1M-485.8K0.6980.3496266863,27290,964
2008-04-07$19.64$19.5021.2%6.2%17.1%50.3%20.1%6.5%2.5%-1.1M2.4M-465.9K4.1021.294621,89263,91491,010
2008-04-08$19.80$19.5018.2%5.8%17.2%36.1%20.4%5.7%1.4%-618.6K-4.2M-456.3K1.6518.011,3582,24464,23692,330
2008-04-09$19.75$19.5019.5%6.3%16.4%42.4%20.6%4.8%0.9%-1.3M-1.5M-456.4K2.0322.8937476065,15093,014
2008-04-10$19.61$19.5020.9%6.0%16.7%48.6%22.4%4.0%1.2%-716.8K968.8K-446.6K2.4021.304381,05265,29693,412
2008-04-11$19.64$19.5021.4%6.1%16.6%51.0%20.6%3.8%0.9%-921.9K1.9M-442.8K4.4830.005082,27465,33694,308
2008-04-14$19.61$19.5021.8%6.3%16.3%52.9%21.2%3.9%7.3%-339.7K2.2M-456.7K0.7640.0823618065,49495,898
2008-04-15$19.82$19.5019.7%5.7%16.7%43.2%21.0%4.3%1.3%-232.6K-8.4M-429.5K0.1333.851,61821465,53495,936
2008-04-16$20.23$19.5022.4%6.4%17.1%55.5%23.1%5.9%-0.6%936.1K-31.9M-422.8K0.0968.775,29250065,22095,974
2008-04-17$20.27$19.5018.6%5.3%14.9%38.3%18.7%4.4%1.7%2.2M-36.5M-423.8K0.3658.451,98871468,75496,338
2008-04-18$20.34$19.5017.9%5.1%14.0%34.7%19.5%3.9%2.4%2.8M-36.5M-410.9K4.2330.596742,84869,30496,404
2008-04-21$20.16$20.0019.4%5.6%14.8%41.7%19.0%4.1%1.3%-1.2M-1.8M-405.0K6.8023.931961,33249,39869,748
2008-04-22$20.09$20.0019.3%5.5%14.8%41.2%19.8%3.3%1.2%-1.4M294.0K-407.3K0.3629.3644816249,39869,748
2008-04-23$20.13$20.0019.2%5.5%14.8%41.0%19.2%2.3%1.5%-1.2M-5.1M-398.1K0.0330.274,43013849,70470,930
2008-04-24$20.11$20.0018.1%5.2%14.7%35.8%18.2%3.6%1.8%-656.4K-6.1M-405.6K0.0640.754,26226253,93671,042
2008-04-25$20.17$20.0017.5%5.0%14.0%32.9%16.0%4.9%2.6%-650.6K-3.6M-402.3K3.6742.9911441853,46471,064
2008-04-28$19.98$20.0017.5%5.0%14.6%33.1%18.2%4.6%2.8%-617.9K-3.2M-389.6K6.9330.663042,10853,50470,894
2008-04-29$20.07$20.0017.9%5.1%11.9%34.6%20.4%2.5%2.3%-1.2M2.4M-395.5K1.4732.4122232653,71072,680
2008-04-30$19.94$20.0018.6%5.3%11.4%38.2%15.1%3.6%1.1%-1.2M909.2K-388.2K1.1330.3832036253,69872,944