XLU Options History — December 2008

In December 2008, XLU traded between $13.94 and $14.71. ATM implied volatility averaged 40.6%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 11.5% (HV 20d: 52.0%). Max pain ranged from $15.00 to $18.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2008-12-04: Highest Volume — 7,108 contracts
  • 2008-12-02: Largest IV drop — 12.9% change
  • 2008-12-01: Highest IV Rank — 24.9%
  • 2008-12-01: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.29$13.94$14.71$14.06$14.52
Max Pain$17.14$15.00$18.50$15.00$16.00
ATM IV40.6%28.3%55.0%55.0%28.3%
Expected Move11.5%8.1%15.8%15.8%8.1%
HV 20d52.0%27.6%66.0%64.5%27.6%
HV 60d64.6%62.9%65.8%65.6%62.9%
IV Rank16.5%9.4%24.9%24.9%9.4%
IV Percentile81.7%71.4%94.4%94.4%71.4%
Term Structure-0.1%-6.5%3.9%-6.5%2.7%
VWIV38.8%26.1%53.5%47.9%29.4%
Skew 25d9.3%4.6%18.0%13.4%5.2%
Skew 10d18.3%4.0%36.5%27.0%6.6%
Call IV 25d36.2%28.6%46.1%46.1%28.7%
Put IV 25d45.5%33.9%59.5%59.5%33.9%
Bid-Ask Spread %23.8716.4434.4925.1316.44
Gamma HHI0.200.120.370.120.16
Net GEX-805.2K-2.0M-205.5K-580.5K-205.5K
Net DEX56.6M27.8M78.2M59.6M27.8M
Net VEX-162.2K-188.9K-133.1K-185.2K-139.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.1014.800.101.99
Total Volume2,974.5451627,1081,5583,040
Total OI136,364.36499,308163,556141,194102,148

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$14.06$15.0055.0%15.8%64.5%24.9%47.9%13.4%-6.5%-580.5K59.6M-185.2K0.1025.131,41814061,94079,254
2008-12-02$14.43$15.0047.9%13.7%65.1%20.7%49.3%14.9%-2.3%-570.4K59.8M-181.6K0.3429.5347816262,35679,224
2008-12-03$14.68$15.0047.9%13.7%65.0%20.7%40.6%14.3%-5.2%-492.6K54.9M-186.4K0.3921.025,0441,95062,76079,332
2008-12-04$14.14$15.0051.7%14.8%66.0%22.9%53.5%12.9%-2.5%-649.2K65.8M-174.1K14.8020.194506,65862,90081,128
2008-12-05$14.23$18.5052.9%13.7%63.7%23.6%49.9%18.0%0.2%-811.0K66.1M-188.4K0.4519.8537216663,20287,108
2008-12-08$14.46$18.5048.1%13.0%62.1%20.9%45.4%11.1%-1.7%-814.5K62.4M-188.9K2.0023.935381,07863,33887,056
2008-12-09$14.26$18.5046.8%12.8%61.6%20.1%43.1%7.9%-0.9%-936.5K66.9M-181.0K3.3624.014461,49863,57087,752
2008-12-10$14.47$18.5044.2%12.5%61.9%18.6%44.8%10.5%-0.2%-928.5K65.7M-179.5K0.7224.633,0122,17463,66089,030
2008-12-11$14.36$18.5041.6%11.9%60.6%17.1%41.2%8.1%0.8%-1.0M67.6M-179.1K0.8127.512,1201,71466,51091,030
2008-12-12$14.45$18.5040.7%11.7%54.6%16.5%41.3%12.3%0.7%-1.1M70.3M-176.7K0.6333.951,09468867,34092,140
2008-12-15$14.22$18.5044.5%12.8%54.2%18.7%42.5%8.1%-0.8%-1.2M71.5M-164.7K2.2720.726461,46667,38891,306
2008-12-16$14.71$18.5038.9%11.2%55.5%15.5%38.0%8.6%1.3%-1.0M63.6M-170.4K2.8934.495401,56067,50092,574
2008-12-17$14.27$18.5038.1%10.9%56.6%15.0%26.1%9.8%1.4%-1.4M71.6M-156.1K7.4726.018146,07867,77892,514
2008-12-18$14.38$18.5036.3%10.4%56.0%14.0%36.3%6.9%1.6%-1.5M74.4M-153.0K0.1020.985,83259868,07695,480
2008-12-19$14.29$18.5033.2%9.5%51.2%12.2%33.2%4.6%3.9%-2.0M78.2M-148.1K0.6320.992,9841,89265,61895,568
2008-12-22$14.10$17.5035.3%10.1%38.6%13.4%33.6%6.7%-0.2%-494.6K43.8M-139.7K0.2321.221,79040445,31258,670
2008-12-23$13.94$16.0032.4%9.3%38.5%11.8%30.6%6.0%1.4%-502.1K38.2M-134.6K0.3922.162,09282646,20453,104
2008-12-24$14.01$16.0031.8%9.1%37.8%11.4%31.8%7.2%2.3%-404.7K35.7M-137.8K0.2721.731283447,60652,412
2008-12-26$14.04$16.0032.6%9.3%37.8%11.8%33.5%5.5%0.8%-392.7K34.0M-135.5K0.2523.9853213447,65452,076
2008-12-29$14.07$16.0033.2%9.5%37.1%12.2%30.7%7.6%-0.2%-397.6K35.0M-133.1K0.2322.6572616447,81652,106
2008-12-30$14.29$16.0030.9%8.9%28.5%10.8%30.0%5.4%1.7%-315.3K32.3M-134.2K1.3524.008341,12648,31652,160
2008-12-31$14.52$16.0028.3%8.1%27.6%9.4%29.4%5.2%2.7%-205.5K27.8M-139.4K1.9916.441,0182,02248,95653,192