XLU Options History — May 2008

In May 2008, XLU traded between $19.91 and $20.80. ATM implied volatility averaged 17.3%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.4% (HV 20d: 13.9%). Max pain ranged from $20.00 to $20.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2008-05-15: Highest Volume — 23,634 contracts
  • 2008-05-15: Largest IV spike — 50.3% change
  • 2008-05-13: Highest IV Rank — 37.4%
  • 2008-05-12: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.39$19.91$20.80$20.18$20.66
Max Pain$20.45$20.00$20.50$20.00$20.50
ATM IV17.3%12.2%19.8%17.8%17.1%
Expected Move5.1%4.3%5.7%5.1%4.9%
HV 20d13.9%11.9%15.2%11.9%14.2%
HV 60d17.5%15.0%18.8%18.2%15.1%
IV Rank26.8%0.0%37.4%34.4%24.5%
IV Percentile14.1%0.0%42.1%13.9%7.5%
Term Structure1.1%-1.2%2.9%2.4%-0.2%
VWIV17.6%15.9%19.6%17.2%17.6%
Skew 25d4.3%1.0%6.5%6.1%4.2%
Skew 10d9.9%1.7%13.8%13.1%8.9%
Call IV 25d15.4%12.9%17.4%13.0%13.6%
Put IV 25d19.7%17.3%21.3%19.1%17.7%
Bid-Ask Spread %26.7715.7443.1843.1819.59
Gamma HHI0.280.210.380.320.21
Net GEX-471.2K-1.6M1.2M-858.4K25.2K
Net DEX-19.6M-43.7M6.8M-9.8M-33.6M
Net VEX-406.3K-463.7K-361.8K-376.3K-418.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.095.111.500.55
Total Volume4,685.8120823,6345,744208
Total OI152,693.238127,028182,528127,028171,652

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$20.18$20.0017.8%5.1%11.9%34.4%17.2%6.1%2.4%-858.4K-9.8M-376.3K1.5043.182,3003,44453,85073,178
2008-05-02$20.51$20.0016.1%4.6%13.0%26.4%16.2%1.0%2.9%-279.7K-21.9M-385.8K0.9823.6965664655,89275,452
2008-05-05$20.21$20.5018.4%5.6%14.3%37.2%19.3%4.0%0.3%-587.4K-9.8M-367.8K3.7221.554421,64456,18073,412
2008-05-06$20.21$20.5018.5%5.7%14.0%37.2%17.8%4.8%0.0%-709.4K-8.5M-369.8K1.8620.716561,21856,25674,670
2008-05-07$19.91$20.5017.7%5.5%15.1%27.5%19.6%3.5%1.3%-965.0K2.4M-373.5K5.1123.877844,00456,68874,524
2008-05-08$19.95$20.5017.4%5.4%14.9%25.9%19.0%4.0%1.5%-1.6M6.8M-378.5K1.6929.771,4422,44257,12077,788
2008-05-09$20.02$20.5017.3%5.6%14.9%25.0%18.5%4.0%1.3%-1.3M2.6M-380.7K0.1422.431,24017058,44078,110
2008-05-12$20.21$20.5019.2%5.7%15.2%34.5%18.0%5.3%0.7%-581.6K-12.0M-361.8K0.4022.992,50099859,14277,530
2008-05-13$20.18$20.5019.8%5.7%14.8%37.4%18.7%4.4%0.4%-465.6K-11.1M-364.8K1.6319.286,0069,81461,20478,134
2008-05-14$20.26$20.5012.2%5.2%12.9%0.0%18.2%3.6%1.4%181.3K-22.0M-385.0K0.7115.746,6944,75466,30684,228
2008-05-15$20.24$20.5018.3%5.3%12.9%31.0%17.4%3.9%0.6%93.9K-16.7M-393.4K0.5324.0715,4068,22870,98088,808
2008-05-16$20.39$20.5016.8%4.8%13.1%23.4%16.8%3.4%2.4%882.8K-39.0M-451.4K0.9822.384,9584,88085,83096,698
2008-05-19$20.62$20.5016.9%4.8%13.2%23.7%16.5%4.2%1.6%-910.8K-25.7M-462.1K0.3426.641,80861074,74090,692
2008-05-20$20.76$20.5016.2%4.6%13.2%20.2%17.3%3.9%0.9%-468.8K-34.4M-463.7K0.6623.2858038275,95691,094
2008-05-21$20.66$20.5017.0%4.9%13.5%24.1%16.1%3.2%1.7%-471.1K-35.0M-451.9K0.3537.331,41049276,20691,006
2008-05-22$20.77$20.5015.1%4.3%13.5%14.7%16.3%4.3%2.7%-262.4K-40.8M-439.9K0.7632.2348236476,48491,130
2008-05-23$20.45$20.5018.7%5.4%14.8%32.7%18.3%4.7%0.2%-1.3M-12.9M-459.8K0.8731.381,1921,04076,58491,374
2008-05-27$20.56$20.5018.4%5.3%14.4%31.6%19.0%5.9%1.2%-966.8K-19.5M-441.4K0.2533.402025077,27491,860
2008-05-28$20.57$20.5018.5%5.3%14.3%31.6%15.9%6.5%-1.2%-536.0K-25.8M-427.8K1.5837.469661,53077,22091,846
2008-05-29$20.80$20.5016.0%4.6%14.4%19.1%16.5%4.8%0.9%1.2M-43.7M-379.3K0.0931.211,60815278,11292,908
2008-05-30$20.66$20.5017.1%4.9%14.2%24.5%17.6%4.2%-0.2%25.2K-33.6M-418.2K0.5519.591347478,65093,002