XLU Options History — August 2008

In August 2008, XLU traded between $18.30 and $19.09. ATM implied volatility averaged 19.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.8% (HV 20d: 18.5%). Max pain ranged from $18.50 to $20.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.21.

Notable Days

  • 2008-08-14: Highest Volume — 52,072 contracts
  • 2008-08-12: Largest IV spike — 54.0% change
  • 2008-08-12: Highest IV Rank — 62.4%
  • 2008-08-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.66$18.30$19.09$18.50$18.83
Max Pain$19.17$18.50$20.00$19.00$18.50
ATM IV19.3%15.9%24.5%21.7%16.3%
Expected Move5.7%4.7%6.8%6.2%4.7%
HV 20d18.5%12.5%20.9%20.3%12.5%
HV 60d18.7%18.5%19.0%18.7%18.5%
IV Rank37.0%18.9%62.4%48.1%23.0%
IV Percentile32.6%2.0%83.7%56.7%4.4%
Term Structure0.7%-1.7%2.2%0.8%1.6%
VWIV19.7%15.9%23.3%15.9%16.4%
Skew 25d3.5%0.3%6.9%0.3%3.4%
Skew 10d7.1%-10.3%13.8%-10.3%4.7%
Call IV 25d17.7%11.9%22.8%20.0%15.2%
Put IV 25d21.2%18.1%26.0%20.2%18.6%
Bid-Ask Spread %28.7617.7647.9827.5525.22
Gamma HHI0.300.150.750.330.19
Net GEX968.4K-2.3M9.4M1.9M-2.3M
Net DEX30.2M2.9M46.9M35.1M20.8M
Net VEX-326.1K-388.1K-249.2K-307.4K-343.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.210.1825.892.940.79
Total Volume5,114.76252252,0722,806758
Total OI158,680.19136,244195,222136,244178,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$18.50$19.0021.7%6.2%20.3%48.1%15.9%0.3%0.8%1.9M35.1M-307.4K2.9427.557122,09479,07057,174
2008-08-04$18.30$20.0021.7%6.8%20.4%47.9%23.3%3.1%-0.8%1.3M46.1M-283.3K0.7647.981,26896079,56857,956
2008-08-05$18.45$20.0021.1%6.6%20.5%45.2%23.0%4.2%-1.7%2.2M35.7M-296.3K0.9024.761,1141,00879,86257,850
2008-08-06$18.55$20.0022.9%6.4%20.0%53.9%22.7%3.1%-0.5%2.0M38.6M-286.4K0.1838.735,12492080,18258,414
2008-08-07$18.53$20.0021.3%6.5%19.9%46.2%21.1%3.0%-0.6%3.0M36.5M-289.4K0.7024.0735224884,94658,636
2008-08-08$18.59$20.0020.4%6.3%20.1%41.7%20.8%3.0%0.1%4.4M25.5M-303.3K4.4430.953641,61685,11258,714
2008-08-11$18.79$20.0015.9%6.2%20.7%18.9%22.9%3.1%0.4%6.0M12.2M-305.1K1.0330.5479481685,36858,602
2008-08-12$18.57$20.0024.5%6.4%20.9%62.4%23.3%3.5%-0.4%3.5M39.3M-272.4K2.9134.6532093085,98458,950
2008-08-13$18.57$20.0020.7%6.3%20.0%43.0%22.7%3.7%0.3%3.7M33.2M-281.3K2.3234.745341,23886,16059,180
2008-08-14$18.41$20.0019.6%5.6%19.5%37.2%19.6%3.0%2.0%2.0M46.9M-249.2K0.9924.7326,22225,85086,37858,266
2008-08-15$18.48$18.5019.5%5.6%19.6%36.8%18.6%4.2%1.9%9.4M43.0M-364.8K0.6826.10464316112,02083,202
2008-08-18$18.50$18.5018.7%5.4%18.3%34.5%18.8%3.5%0.7%-1.0M37.8M-347.9K25.8926.7065216,88278,95877,852
2008-08-19$18.60$18.5018.1%5.2%18.5%31.2%17.5%4.3%1.5%-2.1M44.4M-374.5K0.4928.871,49073079,27690,404
2008-08-20$18.67$18.5019.3%5.5%16.6%40.1%18.5%3.6%0.0%-2.0M37.8M-376.5K0.3427.291,21040879,62490,866
2008-08-21$18.85$18.5016.5%4.7%17.1%24.4%17.6%4.1%2.2%-1.9M23.2M-371.8K1.0224.5858659680,01090,952
2008-08-22$18.93$18.5017.4%5.0%16.5%29.1%17.3%6.9%0.9%-1.5M12.9M-388.1K0.3222.4739612680,25091,018
2008-08-25$18.73$18.5018.6%5.3%17.0%35.8%20.3%3.2%0.1%-2.0M31.6M-357.1K19.2728.723146,05080,59490,970
2008-08-26$18.93$18.5016.5%4.7%17.4%24.2%16.4%3.0%2.0%-2.2M19.7M-352.9K0.3430.051,20041480,75095,888
2008-08-27$19.07$18.5016.7%4.8%16.1%25.5%19.9%3.1%1.5%-2.0M10.1M-356.3K0.4817.7669433481,33896,108
2008-08-28$19.09$18.5017.3%5.0%15.7%28.9%17.6%4.6%1.9%-1.9M2.9M-339.6K0.6927.5877253481,27496,206
2008-08-29$18.83$18.5016.3%4.7%12.5%23.0%16.4%3.4%1.6%-2.3M20.8M-343.9K0.7925.2242433481,76696,586