XLU Options History — September 2008

In September 2008, XLU traded between $16.36 and $18.60. ATM implied volatility averaged 25.9%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 1.4% (HV 20d: 27.3%). Max pain ranged from $18.50 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 6.90.

Notable Days

  • 2008-09-16: Highest Volume — 33,574 contracts
  • 2008-09-15: Largest IV spike — 88.1% change
  • 2008-09-15: Highest IV Rank — 100.0%
  • 2008-09-15: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.46$16.36$18.60$18.60$16.61
Max Pain$18.57$18.50$19.00$18.50$18.50
ATM IV25.9%18.1%39.4%19.1%37.8%
Expected Move7.4%5.3%11.3%5.5%10.8%
HV 20d27.3%12.7%41.1%12.7%41.1%
HV 60d22.3%17.8%27.4%17.9%27.4%
IV Rank57.0%33.2%100.0%39.0%94.3%
IV Percentile75.8%18.3%100.0%33.7%99.6%
Term Structure-1.1%-20.9%3.1%0.4%-5.6%
VWIV23.7%16.2%33.5%19.3%33.5%
Skew 25d5.1%-16.7%12.2%3.8%7.1%
Skew 10d9.2%-1.2%18.0%8.7%7.6%
Call IV 25d21.8%16.7%34.9%16.7%27.5%
Put IV 25d26.9%18.3%39.5%20.5%34.6%
Bid-Ask Spread %62.3722.64133.4822.9642.57
Gamma HHI0.280.190.460.240.19
Net GEX-4.1M-7.9M-2.0M-2.6M-2.0M
Net DEX99.7M46.4M173.6M46.4M74.1M
Net VEX-296.6K-374.4K-220.7K-330.6K-224.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.901.0219.7511.504.94
Total Volume9,663.7141,19833,57415,0222,816
Total OI184,179.905112,758239,588178,864117,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$18.60$18.5019.1%5.5%12.7%39.0%19.3%3.8%0.4%-2.6M46.4M-330.6K11.5022.961,20213,82082,05496,810
2008-09-03$18.30$18.5018.3%5.3%13.7%34.6%21.5%2.2%-0.0%-3.5M72.5M-332.9K12.7322.641,74022,14882,960103,420
2008-09-04$18.07$18.5020.2%5.8%14.2%45.2%23.0%4.2%0.1%-5.3M97.9M-346.4K5.3725.591,87010,03483,866125,028
2008-09-05$17.70$19.0023.4%6.1%15.9%63.1%19.1%3.3%0.9%-5.7M127.5M-317.8K7.3528.972,21616,29684,698128,504
2008-09-08$18.14$19.0021.2%6.0%18.5%50.7%21.5%4.5%0.8%-5.7M110.3M-339.1K7.6246.041,49811,42284,954134,528
2008-09-09$17.57$18.5021.0%6.2%20.9%49.7%16.8%4.2%0.1%-6.3M131.9M-325.3K19.7563.522364,66085,774134,764
2008-09-10$17.77$19.0018.1%6.0%21.2%33.2%20.4%3.3%1.0%-6.3M135.4M-315.0K3.7532.194521,69485,870134,200
2008-09-11$17.91$18.5019.9%5.7%21.5%43.5%20.1%5.5%1.7%-6.0M119.1M-322.9K19.3335.3256810,98086,088133,274
2008-09-12$18.24$18.5020.9%6.0%22.5%49.1%20.9%5.4%1.5%-5.9M101.3M-346.0K1.0227.177,2327,38686,338136,584
2008-09-15$17.61$18.5039.4%11.3%25.6%100.0%29.5%4.6%2.0%-3.2M100.6M-374.4K5.23133.481,6168,44492,960136,864
2008-09-16$17.34$18.5025.5%7.3%26.0%48.8%23.8%6.6%-0.8%-5.2M152.5M-281.5K5.2990.545,34028,23493,730136,828
2008-09-17$16.50$18.5028.7%8.2%30.5%60.9%25.1%12.2%-4.1%-3.4M173.6M-260.5K4.7097.451,7007,99896,250143,338
2008-09-18$17.11$18.5028.0%8.0%33.8%58.3%27.6%9.3%-1.6%-3.6M143.2M-298.9K1.28106.022,6503,39897,118141,640
2008-09-19$17.50$18.5025.3%7.3%34.9%48.2%26.7%7.1%0.5%-7.9M142.9M-300.6K4.8351.861,1385,49298,068141,180
2008-09-22$17.07$18.5033.2%9.5%35.5%77.5%16.2%-16.7%-20.9%-2.5M55.8M-267.3K6.69114.037865,25838,28075,502
2008-09-23$16.77$18.5027.9%8.0%35.8%57.7%26.7%6.6%-1.2%-2.3M62.6M-255.2K1.8452.086461,18638,82274,422
2008-09-24$16.93$18.5028.7%8.2%35.7%60.8%27.9%10.5%0.4%-2.3M65.4M-244.8K1.9359.929401,81439,07473,684
2008-09-25$17.26$18.5026.5%7.6%36.5%52.5%24.6%5.9%-0.7%-2.5M55.7M-262.3K4.2085.402681,12639,84473,986
2008-09-26$17.27$18.5028.6%8.2%36.5%60.5%27.2%5.9%-0.2%-2.5M55.7M-262.6K12.6171.50881,11039,97874,358
2008-09-29$16.36$18.5031.3%9.0%40.3%70.4%26.4%11.6%3.1%-2.1M70.2M-220.7K2.88100.561,4004,03640,00274,964
2008-09-30$16.61$18.5037.8%10.8%41.1%94.3%33.5%7.1%-5.6%-2.0M74.1M-224.6K4.9442.574742,34240,69276,480