XLU Options History — November 2008

In November 2008, XLU traded between $13.11 and $15.06. ATM implied volatility averaged 49.7%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 22.0% (HV 20d: 71.7%). Max pain ranged from $15.50 to $17.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.68.

Notable Days

  • 2008-11-04: Highest Volume — 18,546 contracts
  • 2008-11-04: Largest IV drop — 20.3% change
  • 2008-11-20: Highest IV Rank — 28.7%
  • 2008-11-20: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.37$13.11$15.06$14.61$15.06
Max Pain$16.34$15.50$17.50$16.00$15.50
ATM IV49.7%41.3%61.7%54.2%43.0%
Expected Move14.1%11.9%17.7%15.6%12.3%
HV 20d71.7%60.3%85.3%85.3%60.3%
HV 60d59.5%55.2%64.3%55.2%64.3%
IV Rank21.8%16.9%28.7%24.4%17.9%
IV Percentile92.3%85.3%97.6%95.2%85.7%
Term Structure-2.0%-7.4%9.3%-4.6%-0.2%
VWIV48.7%36.1%67.5%50.9%41.0%
Skew 25d12.6%2.4%16.9%11.6%15.7%
Skew 10d29.4%9.6%46.1%35.0%46.1%
Call IV 25d43.5%36.5%52.6%46.8%36.5%
Put IV 25d56.1%48.8%69.5%58.4%52.1%
Bid-Ask Spread %32.9916.42105.5952.0225.86
Gamma HHI0.150.110.190.140.13
Net GEX-446.3K-664.5K-99.4K-435.0K-449.8K
Net DEX59.6M49.9M67.9M51.6M49.9M
Net VEX-199.4K-230.0K-171.6K-207.5K-205.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.1013.260.220.57
Total Volume4,239.68470418,5462,2921,038
Total OI138,290.842125,294148,854125,294140,590

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$14.61$16.0054.2%15.6%85.3%24.4%50.9%11.6%-4.6%-435.0K51.6M-207.5K0.2252.021,87841454,52470,770
2008-11-04$14.88$16.0043.2%12.4%84.2%18.0%43.6%11.5%-5.1%-450.4K52.4M-197.9K11.5653.881,47617,07055,40671,042
2008-11-05$14.61$15.5045.7%13.1%84.3%19.5%39.6%2.4%9.3%-499.1K55.2M-230.0K1.31105.5936447656,51277,018
2008-11-06$13.92$15.5049.5%14.2%82.2%21.6%48.1%11.5%-0.4%-462.4K67.6M-185.9K0.6449.8764040856,72277,138
2008-11-07$14.53$17.5048.3%13.2%81.7%20.9%45.5%11.9%-3.2%-514.0K62.2M-202.6K0.1022.646386656,70877,198
2008-11-10$14.18$17.5049.2%14.0%71.6%21.5%50.3%10.7%-5.6%-461.1K66.7M-180.1K2.1322.9046498657,22877,202
2008-11-11$14.18$17.5050.7%13.8%71.6%22.4%46.0%13.7%-3.5%-467.9K66.7M-181.3K0.4216.441,05644257,58477,872
2008-11-12$13.71$17.5057.9%14.8%66.9%26.5%51.7%12.9%-5.1%-418.5K67.8M-171.6K13.2616.422042,70658,27478,096
2008-11-13$14.75$17.0048.8%14.0%71.0%21.2%49.5%15.8%-7.4%-462.7K58.4M-209.1K0.3929.173,1141,22858,32078,662
2008-11-14$14.40$16.5049.2%14.1%71.7%21.5%41.9%9.5%-4.1%-378.5K56.0M-206.6K0.8126.1464251860,13477,102
2008-11-17$14.38$16.5049.5%14.2%65.4%21.7%51.3%13.8%-4.7%-361.2K58.2M-197.6K1.7126.883,8606,61259,89277,360
2008-11-18$14.22$16.0053.4%15.3%64.5%23.9%53.2%14.9%-4.2%-356.1K61.6M-200.6K0.8520.602,1401,82062,90082,676
2008-11-19$13.91$16.0056.5%16.2%63.1%25.7%53.7%11.7%-2.7%-325.6K62.2M-203.1K0.2521.591,46436264,30282,846
2008-11-20$13.11$16.0061.7%17.7%65.9%28.7%67.5%16.9%0.4%-426.1K67.9M-179.4K4.1943.518363,50064,99882,858
2008-11-21$14.41$16.0052.9%15.2%74.0%23.6%56.6%15.8%-1.8%-99.4K59.6M-209.7K5.6329.121,6249,14865,07283,782
2008-11-24$14.56$16.0046.5%13.3%72.3%19.9%45.7%12.6%1.2%-633.7K56.1M-205.8K0.3520.711,54454059,12280,000
2008-11-25$14.85$16.0042.9%12.3%64.2%17.8%52.6%13.5%2.8%-614.2K55.6M-205.5K3.4321.321,8526,35460,12480,184
2008-11-26$14.80$16.0041.3%11.9%63.0%16.9%36.1%12.9%1.2%-664.5K56.5M-209.7K3.0122.057662,30461,45485,854
2008-11-28$15.06$15.5043.0%12.3%60.3%17.9%41.0%15.7%-0.2%-449.8K49.9M-205.3K0.5725.8666237661,53679,054