XLU Options History — May 2009

In May 2009, XLU traded between $12.81 and $13.66. ATM implied volatility averaged 21.1%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.0% (HV 20d: 19.1%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2009-05-13: Highest Volume — 70,582 contracts
  • 2009-05-28: Largest IV drop — 30.7% change
  • 2009-05-11: Highest IV Rank — 8.6%
  • 2009-05-08: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.26$12.81$13.66$13.27$13.38
Max Pain$13.60$13.00$14.00$13.00$13.50
ATM IV21.1%14.3%27.0%20.8%14.3%
Expected Move6.1%4.1%7.5%6.0%4.1%
HV 20d19.1%14.1%25.9%15.2%25.9%
HV 60d25.6%23.7%27.0%26.9%23.7%
IV Rank4.3%0.0%8.6%5.0%0.0%
IV Percentile24.9%0.0%42.5%27.4%0.0%
Term Structure0.6%-3.5%3.4%2.6%3.4%
VWIV22.1%15.8%27.7%23.7%16.3%
Skew 25d6.4%3.8%10.3%7.1%7.5%
Skew 10d13.4%3.8%18.8%18.8%13.8%
Call IV 25d20.0%17.0%23.4%17.7%17.0%
Put IV 25d26.4%22.6%29.4%24.8%24.5%
Bid-Ask Spread %11.738.1016.9416.2214.18
Gamma HHI0.380.300.490.480.33
Net GEX9.6M3.9M16.8M3.9M16.8M
Net DEX-157.3M-222.5M-93.6M-132.0M-214.8M
Net VEX-1.4M-1.5M-1.3M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0610.130.630.34
Total Volume16,706.61,91270,5822,1125,010
Total OI623,159.8527,602694,360527,602694,360

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$13.27$13.0020.8%6.0%15.2%5.0%23.7%7.1%2.6%3.9M-132.0M-1.3M0.6316.221,298814313,044214,558
2009-05-04$13.46$14.0023.4%7.2%15.9%6.5%26.2%6.0%-0.4%3.9M-159.5M-1.3M0.2816.947,0642,004313,868215,172
2009-05-05$13.44$13.5022.5%6.9%15.5%6.0%22.8%6.4%0.5%4.6M-165.3M-1.3M0.1413.711,920276323,830216,912
2009-05-06$13.36$14.0020.9%6.9%15.6%5.0%24.0%7.6%-0.2%4.5M-153.0M-1.3M0.1212.845,756716320,322216,886
2009-05-07$13.43$14.0021.2%7.1%15.4%5.2%15.8%6.6%-0.1%4.5M-166.4M-1.3M5.2310.762,79814,626322,862217,176
2009-05-08$13.63$14.0023.1%7.5%16.0%6.3%25.3%5.6%-3.5%4.2M-192.6M-1.3M0.1712.8242,7127,262324,764228,582
2009-05-11$13.56$14.0027.0%7.1%15.2%8.6%24.8%5.2%-0.7%6.2M-200.2M-1.4M0.3013.1117,2305,100361,134232,888
2009-05-12$13.66$13.5025.6%7.0%14.1%7.8%25.0%6.4%-0.8%6.8M-222.5M-1.4M1.119.732,1842,426376,570236,606
2009-05-13$13.29$13.5025.6%6.5%17.6%7.8%22.7%5.7%1.1%6.5M-159.2M-1.4M0.0610.0366,5364,046376,842237,094
2009-05-14$13.29$13.5021.4%6.1%17.6%5.4%21.9%5.5%0.5%11.6M-182.3M-1.5M0.2712.4216,2244,330438,924237,406
2009-05-15$12.97$13.5022.4%6.4%19.7%4.3%23.7%6.8%0.7%12.3M-118.4M-1.5M1.3311.768,86011,754450,226239,572
2009-05-18$12.97$13.5020.9%6.0%19.3%3.4%21.6%5.8%1.1%11.6M-112.0M-1.4M0.508.205,3442,648436,796218,714
2009-05-19$13.21$13.5022.0%6.3%20.2%4.1%20.3%3.8%-1.0%13.7M-163.4M-1.4M0.2312.7014,0583,282438,694220,328
2009-05-20$12.96$13.5021.0%6.0%21.0%3.5%21.1%4.7%0.3%12.2M-125.0M-1.4M0.268.1013,0443,396445,574222,744
2009-05-21$12.81$13.5015.6%4.5%21.5%0.3%19.0%7.6%1.9%11.5M-93.6M-1.4M0.6510.822,3981,552453,822224,060
2009-05-22$12.91$13.5019.6%5.6%21.6%2.6%19.9%6.8%0.2%11.9M-113.8M-1.4M0.779.421,7041,320447,912225,410
2009-05-26$13.29$13.5018.4%5.3%23.7%1.6%20.4%6.3%2.3%16.5M-169.3M-1.4M0.1110.3113,2141,390448,448226,152
2009-05-27$13.02$13.5020.9%6.0%25.0%3.2%19.7%6.3%1.6%12.9M-121.2M-1.3M0.3810.541,382530446,110226,804
2009-05-28$13.29$13.5014.5%4.2%25.9%0.0%27.7%10.3%2.5%14.9M-182.2M-1.4M10.139.913,40834,516444,922227,108
2009-05-29$13.38$13.5014.3%4.1%25.9%0.0%16.3%7.5%3.4%16.8M-214.8M-1.3M0.3414.183,7261,284445,854248,506