XLU Options History — June 2009

In June 2009, XLU traded between $13.42 and $14.09. ATM implied volatility averaged 21.8%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 4.0% (HV 20d: 25.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-06-18: Highest Volume — 282,372 contracts
  • 2009-06-02: Largest IV spike — 55.6% change
  • 2009-06-16: Highest IV Rank — 8.2%
  • 2009-06-16: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$13.42$14.09$13.81$13.95
Max Pain$13.39$13.00$14.00$13.50$13.50
ATM IV21.8%13.6%27.7%14.6%19.1%
Expected Move6.4%4.2%7.9%4.2%5.5%
HV 20d25.7%21.1%27.5%26.7%21.1%
HV 60d22.3%21.0%23.7%23.5%21.3%
IV Rank4.7%0.0%8.2%0.2%3.2%
IV Percentile24.7%0.0%43.3%0.8%9.1%
Term Structure0.1%-4.5%2.0%2.0%1.5%
VWIV23.0%18.4%26.1%18.4%19.0%
Skew 25d4.1%0.1%9.0%7.7%0.6%
Skew 10d9.6%-5.4%18.5%11.7%1.7%
Call IV 25d21.6%18.0%25.9%18.0%19.0%
Put IV 25d25.7%19.4%30.2%25.7%19.6%
Bid-Ask Spread %15.476.5526.146.5515.17
Gamma HHI0.280.210.370.280.24
Net GEX20.8M15.4M31.7M16.3M22.1M
Net DEX-344.5M-522.0M-200.3M-308.5M-425.9M
Net VEX-2.0M-2.6M-1.2M-1.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.042.980.230.69
Total Volume61,426.2732,910282,37212,9045,270
Total OI966,201.273695,5921,231,786695,5921,082,280

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$13.81$13.5014.6%4.2%26.7%0.2%18.4%7.7%2.0%16.3M-308.5M-1.3M0.236.5510,5002,404447,128248,464
2009-06-02$13.65$13.5022.8%6.5%26.7%5.0%24.3%1.5%-4.5%17.3M-254.0M-1.3M2.9812.395,40016,118452,424270,072
2009-06-03$13.42$13.5015.3%4.4%27.4%0.6%22.0%9.0%1.6%15.4M-210.5M-1.3M1.428.231,9102,704449,288260,294
2009-06-04$13.54$13.5020.8%6.0%27.5%3.8%21.0%6.7%0.8%17.2M-227.9M-1.3M0.888.781,5441,366450,246260,578
2009-06-05$13.56$13.0013.6%6.3%27.5%0.0%22.6%6.6%-0.4%20.6M-262.2M-1.3M0.9620.485,1384,956451,122261,470
2009-06-08$13.47$13.0020.3%6.3%27.0%3.9%23.0%6.7%-0.2%16.7M-224.8M-1.3M0.8714.8311,4209,928450,756262,464
2009-06-09$13.44$13.0018.4%6.1%27.0%2.8%23.9%6.4%0.4%17.9M-200.3M-1.2M0.1815.126,2121,124456,658267,290
2009-06-10$13.65$13.0022.9%6.7%27.5%5.4%22.5%6.3%1.1%16.0M-229.5M-1.2M0.2116.41226,75047,404444,516266,478
2009-06-11$13.91$13.0023.8%6.8%26.3%6.0%23.2%4.1%0.0%28.3M-486.9M-1.9M2.5426.1435,34689,746694,450307,076
2009-06-12$14.09$13.0025.1%7.2%26.6%6.7%24.1%4.5%-0.5%22.8M-522.0M-2.1M0.1814.82119,99221,736697,318385,436
2009-06-15$13.80$13.5025.3%7.3%26.1%6.9%26.1%3.6%0.4%25.5M-377.7M-2.1M0.0718.04112,4767,308719,266399,346
2009-06-16$13.71$13.5027.7%7.9%26.3%8.2%25.5%5.0%-1.6%28.4M-409.1M-2.5M0.2624.896,1201,594825,924405,862
2009-06-17$13.75$13.5026.6%7.6%25.7%7.6%25.8%2.3%-3.4%23.7M-371.8M-2.4M0.6016.1713,9208,370813,832402,344
2009-06-18$14.06$14.0024.4%7.0%25.5%6.3%25.2%4.7%0.8%31.7M-503.0M-2.4M0.1219.99251,40430,968821,362409,422
2009-06-19$13.73$13.5025.0%7.2%26.7%6.6%24.4%2.4%1.2%18.1M-333.2M-2.6M1.3714.4321,16628,970793,654436,750
2009-06-22$13.70$13.5025.6%7.3%26.8%7.0%25.3%2.2%-0.2%18.4M-343.7M-2.6M0.0417.44162,4625,712729,606312,218
2009-06-23$13.57$13.5024.1%6.9%25.3%6.2%24.1%2.0%1.3%18.4M-309.4M-2.6M1.2814.759,29611,922740,854315,938
2009-06-24$13.69$13.5023.7%6.8%24.0%5.9%24.2%3.5%0.5%18.4M-319.6M-2.5M0.3117.976,9062,166726,972326,858
2009-06-25$13.92$13.5021.8%6.2%23.7%4.8%21.9%3.1%0.1%20.4M-409.7M-2.5M0.9715.934,1764,052733,426328,328
2009-06-26$13.87$13.5018.8%5.4%23.7%3.0%19.5%1.0%1.0%20.9M-387.6M-2.5M1.1110.7313,90215,438733,170330,830
2009-06-29$14.05$13.5019.5%5.6%21.4%3.5%19.3%0.1%0.3%22.8M-461.6M-2.5M0.6911.003,5982,484742,468342,190
2009-06-30$13.95$13.5019.1%5.5%21.1%3.2%19.0%0.6%1.5%22.1M-425.9M-2.4M0.6915.173,1242,146740,682341,598