XLU Options History — January 2009

In January 2009, XLU traded between $14.10 and $15.06. ATM implied volatility averaged 30.9%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.1% (HV 20d: 22.8%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.48.

Notable Days

  • 2009-01-30: Highest Volume — 37,798 contracts
  • 2009-01-30: Largest IV spike — 28.5% change
  • 2009-01-14: Highest IV Rank — 16.0%
  • 2009-01-20: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.56$14.10$15.06$14.86$14.49
Max Pain$14.57$14.50$16.00$16.00$14.50
ATM IV30.9%24.3%39.8%26.5%31.5%
Expected Move8.7%7.0%10.2%7.6%9.0%
HV 20d22.8%19.7%28.1%28.1%21.7%
HV 60d51.2%41.8%62.5%62.5%42.0%
IV Rank10.8%7.0%16.0%8.3%11.2%
IV Percentile70.8%55.6%80.2%68.7%71.4%
Term Structure2.3%0.2%4.2%3.0%2.4%
VWIV30.6%24.3%34.6%26.9%32.3%
Skew 25d7.8%2.4%10.0%2.4%8.3%
Skew 10d17.2%6.7%25.3%6.7%16.3%
Call IV 25d26.8%21.0%30.5%27.8%27.3%
Put IV 25d34.6%29.2%39.9%30.2%35.6%
Bid-Ask Spread %19.8214.6827.3624.9427.36
Gamma HHI0.190.140.640.150.16
Net GEX-101.8K-610.4K2.2M-111.8K-610.4K
Net DEX19.5M6.9M34.1M22.1M16.7M
Net VEX-144.2K-161.7K-126.5K-132.0K-160.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.3237.731.7737.73
Total Volume5,177.91,14037,7983,58237,798
Total OI94,576.265,330114,906102,71885,136

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$14.86$16.0026.5%7.6%28.1%8.3%26.9%2.4%3.0%-111.8K22.1M-132.0K1.7724.941,2942,28849,47453,244
2009-01-05$15.06$14.5029.4%8.2%24.8%10.0%28.8%6.9%1.3%-80.7K20.3M-135.7K0.6914.945,8904,05050,08053,768
2009-01-06$14.85$14.5029.6%8.7%25.5%10.1%30.4%7.3%0.2%192.8K17.8M-142.8K3.5917.254121,47855,47653,384
2009-01-07$14.73$14.5032.5%9.2%25.2%11.8%32.6%6.7%2.1%234.0K21.8M-147.9K1.0116.2756657455,72252,628
2009-01-08$14.65$14.5031.4%9.2%24.6%11.2%32.3%8.5%1.1%232.3K22.3M-145.0K3.4317.703761,28855,94653,680
2009-01-09$14.54$14.5032.3%9.4%24.3%11.7%32.1%7.3%0.8%279.0K23.1M-144.8K8.3819.083502,93456,21253,488
2009-01-12$14.54$14.5037.5%9.4%24.1%14.7%33.4%8.3%0.7%195.1K24.9M-143.7K0.3516.401,01636056,28455,762
2009-01-13$14.27$14.5032.7%9.1%25.0%11.9%32.2%8.3%1.8%-74.7K30.7M-135.8K1.1019.661,4121,55256,61856,166
2009-01-14$14.10$14.5039.8%10.1%24.7%16.0%34.0%10.0%1.4%-371.1K34.1M-135.9K2.9516.008022,36457,10856,626
2009-01-15$14.17$14.5034.4%9.9%21.4%12.9%34.6%9.3%3.6%-342.0K34.0M-133.0K1.3414.6849866657,35257,554
2009-01-16$14.45$14.5031.3%9.0%19.8%11.1%31.2%8.6%3.4%2.2M26.7M-137.2K6.5015.731,2848,34257,45056,968
2009-01-20$14.20$14.5035.6%10.2%20.6%13.6%33.0%8.8%0.4%-552.9K17.4M-126.5K0.4320.292,26897624,72040,610
2009-01-21$14.36$14.5029.6%8.5%20.9%10.1%29.3%8.2%3.0%-485.8K15.6M-130.9K1.0916.443,5323,83626,34840,656
2009-01-22$14.36$14.5029.0%8.3%20.2%9.7%31.3%7.6%4.2%-479.5K15.2M-152.5K1.0218.9067468829,61243,770
2009-01-23$14.38$14.5030.2%8.7%19.7%10.5%31.7%8.0%3.1%-466.6K15.2M-151.2K0.3421.971,26243230,19443,802
2009-01-26$14.73$14.5029.5%8.5%21.2%10.1%28.1%8.1%3.3%-378.4K8.2M-155.3K0.3222.0298631231,26844,010
2009-01-27$14.80$14.5025.5%7.3%21.2%7.7%27.7%7.4%3.3%-368.1K6.9M-153.3K11.5925.453824,42831,69844,204
2009-01-28$14.89$14.5024.3%7.0%21.2%7.0%26.4%8.1%3.5%-468.7K7.5M-158.5K5.3425.707283,88831,86048,392
2009-01-29$14.79$14.5024.5%7.0%21.0%7.2%24.3%7.2%3.8%-549.2K8.9M-161.7K0.7125.5592065232,22452,030
2009-01-30$14.49$14.5031.5%9.0%21.7%11.2%32.3%8.3%2.4%-610.4K16.7M-160.5K37.7327.3697636,82232,77852,358