XLU Options History — July 2008

In July 2008, XLU traded between $18.80 and $20.45. ATM implied volatility averaged 21.4%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.5% (HV 20d: 19.9%). Max pain ranged from $19.50 to $20.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.24.

Notable Days

  • 2008-07-31: Highest Volume — 23,300 contracts
  • 2008-07-07: Largest IV spike — 10.7% change
  • 2008-07-17: Highest IV Rank — 59.3%
  • 2008-07-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.65$18.80$20.45$20.45$19.04
Max Pain$19.91$19.50$20.50$20.50$19.50
ATM IV21.4%18.8%23.9%18.8%20.1%
Expected Move6.2%5.4%6.9%5.4%5.8%
HV 20d19.9%16.4%22.1%22.1%18.3%
HV 60d17.2%16.3%18.1%16.6%18.0%
IV Rank46.7%33.4%59.3%33.4%40.0%
IV Percentile55.4%29.8%76.2%29.8%43.7%
Term Structure0.7%-0.8%2.1%2.1%1.6%
VWIV21.0%17.4%23.4%17.5%20.6%
Skew 25d4.1%2.8%6.2%4.3%2.8%
Skew 10d8.7%-1.7%17.3%8.4%1.2%
Call IV 25d19.5%16.1%21.8%16.1%16.9%
Put IV 25d23.6%19.7%25.6%20.5%19.7%
Bid-Ask Spread %41.2823.4069.3923.4052.93
Gamma HHI0.230.170.300.280.17
Net GEX-16.7K-2.5M1.9M1.5M-261.1K
Net DEX23.9M-14.3M78.0M-14.3M24.0M
Net VEX-366.4K-435.9K-234.0K-434.3K-318.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.1612.975.450.16
Total Volume5,404.45575023,3004,37023,300
Total OI132,385110,968162,098135,556113,168

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$20.45$20.5018.8%5.4%22.1%33.4%17.5%4.3%2.1%1.5M-14.3M-434.3K5.4523.406783,69271,57463,982
2008-07-02$20.40$20.5020.1%5.8%21.7%39.9%20.0%2.9%1.0%1.6M-8.5M-427.4K2.4231.151,2443,01071,91263,374
2008-07-03$20.19$20.5019.3%5.5%21.4%35.9%17.4%3.7%1.9%1.5M4.4M-421.3K0.8133.6167454472,28265,362
2008-07-07$19.99$20.5021.4%6.6%19.6%46.4%21.8%2.9%-0.4%1.4M15.7M-396.3K1.1949.062,9203,47272,45065,462
2008-07-08$20.10$20.0019.4%6.4%18.8%36.6%22.4%3.7%0.4%1.6M15.1M-408.4K0.2334.901,35430675,03268,224
2008-07-09$20.34$20.0020.3%6.1%19.4%40.7%19.9%4.7%0.7%1.9M-1.4M-417.8K1.9043.664,2328,04875,50268,246
2008-07-10$20.39$20.0021.1%6.0%19.4%45.0%21.6%4.5%1.2%1.8M-5.9M-435.9K0.5338.9150226878,21074,662
2008-07-11$20.23$20.0022.7%6.5%19.5%53.2%21.0%4.3%0.7%854.9K11.9M-418.1K12.9739.846188,01475,06874,888
2008-07-14$20.09$20.5023.1%6.6%19.3%54.8%22.6%3.4%0.7%-1.3M40.1M-234.0K0.9240.2351447457,41263,028
2008-07-15$19.95$20.0022.7%6.5%19.4%53.0%23.4%4.5%0.6%-1.2M41.1M-391.4K2.7369.391,8825,14475,61482,192
2008-07-16$19.55$20.0022.5%6.5%20.2%52.1%21.8%4.8%0.5%-2.5M66.7M-359.1K2.6047.302,3906,22276,96282,658
2008-07-17$19.25$20.0023.9%6.9%20.7%59.3%22.9%5.1%0.3%-1.9M78.0M-342.7K5.8239.862,20812,85878,30482,318
2008-07-18$19.27$20.0022.3%6.4%20.7%51.0%22.3%4.0%-0.2%-2.4M70.5M-353.3K1.9941.423,4726,90478,96483,134
2008-07-21$19.61$19.5021.5%6.2%21.2%47.1%21.6%6.2%0.1%4.7K8.6M-371.1K0.6039.981,08265455,35055,618
2008-07-22$19.54$19.5020.4%5.9%20.5%41.5%19.8%3.3%1.1%-10.5K9.5M-367.0K0.1940.2392618056,07055,764
2008-07-23$19.07$19.5022.2%6.4%21.9%50.6%20.0%4.4%0.9%-510.1K25.2M-340.2K1.1555.061,4141,62856,68455,890
2008-07-24$19.04$19.5022.3%6.4%21.2%51.0%21.0%3.1%0.6%-493.2K27.5M-339.0K0.2535.411,84246657,21655,908
2008-07-25$18.80$19.5021.6%6.2%19.1%47.5%20.5%5.6%0.2%-653.5K31.9M-326.9K0.2837.361,16233058,00056,082
2008-07-28$18.85$19.5023.0%6.6%19.1%54.4%22.6%4.7%-0.8%-644.4K32.5M-322.2K6.4452.883382,17658,25056,294
2008-07-29$18.88$19.5021.8%6.2%16.4%48.4%20.0%4.6%0.3%-524.1K31.6M-306.3K0.2227.8661613458,29454,330
2008-07-30$19.25$19.5021.3%6.1%18.1%46.2%21.4%2.9%1.1%-157.3K21.5M-329.2K0.3733.7173227458,48254,254
2008-07-31$19.04$19.5020.1%5.8%18.3%40.0%20.6%2.8%1.6%-261.1K24.0M-318.5K0.1652.9320,1403,16058,96254,206