XLU Options History — April 2009

In April 2009, XLU traded between $12.65 and $13.07. ATM implied volatility averaged 28.5%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.9% (HV 20d: 21.6%). Max pain ranged from $12.50 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2009-04-16: Highest Volume — 158,198 contracts
  • 2009-04-20: Largest IV spike — 15.5% change
  • 2009-04-02: Highest IV Rank — 11.9%
  • 2009-04-02: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.86$12.65$13.07$12.82$12.93
Max Pain$12.71$12.50$13.00$12.50$13.00
ATM IV28.5%22.8%32.8%31.5%22.8%
Expected Move8.3%6.5%9.4%9.0%6.5%
HV 20d21.6%12.9%29.7%29.7%12.9%
HV 60d27.0%26.3%27.6%27.4%26.3%
IV Rank9.5%6.1%11.9%11.2%6.1%
IV Percentile48.5%35.3%62.7%57.1%35.3%
Term Structure0.7%-0.7%2.3%1.8%2.3%
VWIV29.3%22.4%36.3%31.8%22.4%
Skew 25d5.8%4.0%8.0%5.7%5.2%
Skew 10d13.8%8.2%21.0%9.6%11.6%
Call IV 25d26.5%21.6%30.0%29.3%21.7%
Put IV 25d32.2%26.9%36.6%35.0%26.9%
Bid-Ask Spread %16.7411.5621.9815.3921.20
Gamma HHI0.500.440.620.530.49
Net GEX20.0M2.9M45.3M24.2M3.7M
Net DEX-274.7M-479.2M-62.5M-378.5M-87.2M
Net VEX-1.4M-1.8M-1.3M-1.8M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0113.160.430.40
Total Volume21,2841,514158,1981,5143,574
Total OI715,681.905484,158895,448848,800525,188

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$12.82$12.5031.5%9.0%29.7%11.2%31.8%5.7%1.8%24.2M-378.5M-1.8M0.4315.391,062452650,484198,316
2009-04-02$12.99$12.5032.8%9.4%27.3%11.9%30.8%6.0%0.7%22.9M-425.5M-1.7M0.0312.5833,370848651,264198,554
2009-04-03$13.07$12.5030.0%9.1%27.2%10.3%31.4%7.0%0.2%26.2M-467.6M-1.7M0.3511.5668,23023,604682,542198,986
2009-04-06$12.96$12.5030.3%9.4%26.1%10.5%33.6%6.9%-0.4%31.6M-429.2M-1.7M0.0412.495,934252683,176202,024
2009-04-07$12.90$12.5028.6%9.2%26.3%9.5%36.3%6.4%0.8%33.2M-409.8M-1.6M4.4912.475282,372678,428202,040
2009-04-08$13.03$12.5028.2%9.0%26.1%9.3%29.1%8.0%0.4%29.7M-460.9M-1.6M0.3113.241,856574678,596204,160
2009-04-09$13.04$12.5030.2%8.7%26.1%10.4%30.6%7.0%0.1%31.4M-475.4M-1.6M1.2513.672,2842,856679,602204,464
2009-04-13$12.87$12.5030.0%8.6%26.7%10.3%30.8%4.9%-0.7%39.5M-418.8M-1.5M0.2518.4312,4783,118680,132206,288
2009-04-14$12.70$12.5031.5%9.0%26.0%11.2%32.7%4.8%1.1%45.3M-338.9M-1.5M6.0718.521,2447,550674,880208,598
2009-04-15$12.82$12.5029.6%8.5%25.7%10.1%30.5%5.7%-0.3%40.8M-426.9M-1.4M0.7418.4820,75615,336671,758212,942
2009-04-16$12.91$12.5027.6%7.9%23.2%8.9%28.6%4.4%1.7%37.4M-479.2M-1.4M0.0119.87157,350848669,566225,882
2009-04-17$12.89$12.5026.9%7.7%22.7%8.5%27.2%5.5%0.4%28.6M-389.8M-1.3M0.3119.2724,3807,464596,084222,524
2009-04-20$12.74$13.0031.1%8.9%22.1%10.9%29.4%5.8%-0.1%3.1M-78.9M-1.3M0.6716.721,314878298,962191,914
2009-04-21$12.79$13.0027.6%7.9%17.1%8.9%27.7%5.3%0.5%2.9M-72.5M-1.3M0.1015.531,916196291,834192,324
2009-04-22$12.65$13.0028.7%8.2%15.8%9.6%27.7%5.1%0.6%3.3M-64.4M-1.3M0.4015.443,9541,578301,368192,422
2009-04-23$12.70$13.0028.1%8.0%15.8%9.2%27.1%5.8%1.1%3.5M-66.0M-1.3M0.0519.439,284446304,736193,282
2009-04-24$12.68$13.0027.9%8.0%15.1%9.1%27.6%4.0%0.7%3.7M-62.5M-1.3M0.8519.61910776309,368193,312
2009-04-27$12.77$13.0026.3%7.5%15.0%8.2%28.1%5.3%0.4%3.3M-72.5M-1.3M13.1616.581,57620,742307,028200,544
2009-04-28$12.82$13.0025.3%7.3%13.2%7.6%27.4%5.6%1.8%3.2M-75.8M-1.3M0.3721.982,458908308,230213,558
2009-04-29$12.91$13.0023.8%6.8%13.0%6.8%24.3%6.9%1.1%3.5M-87.5M-1.3M0.1619.141,478230310,034213,926
2009-04-30$12.93$13.0022.8%6.5%12.9%6.1%22.4%5.2%2.3%3.7M-87.2M-1.3M0.4021.202,5461,028311,254213,934