XLU Options History — July 2009

In July 2009, XLU traded between $13.46 and $14.78. ATM implied volatility averaged 20.0%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.9% (HV 20d: 21.8%). Max pain ranged from $13.50 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2009-07-15: Highest Volume — 67,684 contracts
  • 2009-07-15: Largest IV spike — 53.3% change
  • 2009-07-07: Highest IV Rank — 6.5%
  • 2009-07-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.09$13.46$14.78$14.13$14.47
Max Pain$13.84$13.50$14.00$13.50$14.00
ATM IV20.0%14.8%24.6%19.1%19.8%
Expected Move5.8%4.9%6.7%5.5%5.7%
HV 20d21.8%19.5%24.2%20.3%19.5%
HV 60d22.6%21.4%23.3%21.4%23.2%
IV Rank3.7%0.7%6.5%3.2%3.6%
IV Percentile15.1%1.6%35.3%9.1%15.5%
Term Structure2.3%0.6%3.6%1.4%2.8%
VWIV20.4%16.4%23.9%19.9%16.4%
Skew 25d3.2%1.8%5.6%2.0%3.5%
Skew 10d7.9%-1.9%14.2%4.3%10.3%
Call IV 25d18.8%16.0%22.1%17.9%17.6%
Put IV 25d22.0%19.5%26.2%20.0%21.1%
Bid-Ask Spread %13.229.9016.9915.4614.03
Gamma HHI0.270.230.450.240.25
Net GEX21.0M16.0M32.1M23.7M20.9M
Net DEX-458.6M-720.4M-224.6M-487.7M-595.9M
Net VEX-2.2M-2.5M-1.9M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0711.634.230.15
Total Volume15,372.2731,21067,68415,3581,396
Total OI1,096,2821,023,1161,173,3641,085,8961,129,822

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$14.13$13.5019.1%5.5%20.3%3.2%19.9%2.0%1.4%23.7M-487.7M-2.4M4.2315.462,93812,420743,126342,770
2009-07-02$13.72$13.5021.6%6.2%23.0%4.7%21.1%1.8%1.0%19.1M-325.9M-2.5M0.6616.998,8285,810742,866345,114
2009-07-06$13.80$14.0021.6%6.4%23.1%4.7%22.2%3.0%1.0%20.6M-360.3M-2.4M2.0611.982,2264,596745,670346,456
2009-07-07$13.53$14.0024.6%6.7%24.2%6.5%21.2%3.8%1.7%17.0M-247.0M-2.3M0.5214.913,0061,568746,232345,120
2009-07-08$13.46$14.0023.1%6.6%24.2%5.5%23.9%4.1%1.7%16.7M-235.8M-2.3M0.4011.988,4743,364747,068345,270
2009-07-09$13.47$14.0020.6%6.6%23.5%4.1%22.9%3.6%1.1%16.4M-238.2M-2.3M0.5410.92788422751,412346,556
2009-07-10$13.46$14.0020.3%6.4%22.3%3.9%22.8%3.5%2.0%16.0M-224.6M-2.3M0.2512.261,724432751,542346,538
2009-07-13$13.69$14.0022.7%6.5%22.8%5.3%21.8%3.3%0.6%18.8M-312.8M-2.2M1.2013.429,88011,814751,800346,604
2009-07-14$13.79$14.0014.8%6.0%21.8%0.7%21.5%2.0%2.0%21.2M-359.6M-2.2M1.0712.688,5089,088760,940355,674
2009-07-15$14.07$13.5022.8%5.9%22.8%5.4%20.5%3.0%2.3%26.7M-475.6M-2.2M0.7812.3237,95829,726767,556358,038
2009-07-16$14.07$13.5020.5%5.9%22.8%4.1%20.7%2.9%3.1%26.5M-484.3M-2.3M1.2013.082,0702,492790,302383,062
2009-07-17$14.01$13.5019.9%5.7%21.4%3.7%19.9%3.3%2.7%32.1M-426.3M-2.2M0.7514.084,9663,742758,080376,896
2009-07-20$14.12$13.5018.7%5.4%19.7%3.0%18.6%3.2%3.6%19.5M-443.9M-2.1M2.8413.013,96211,234679,548344,078
2009-07-21$14.26$13.5017.1%4.9%19.9%2.1%18.9%3.9%3.5%19.7M-500.5M-2.0M1.7313.269,31616,076682,530340,586
2009-07-22$14.18$14.0019.3%5.5%19.6%3.3%19.1%3.8%2.3%20.1M-481.1M-2.1M0.359.904,1261,432691,272343,748
2009-07-23$14.55$14.0018.8%5.4%21.3%3.0%18.7%3.1%3.0%18.6M-598.0M-1.9M0.0711.1953,2803,812689,346367,902
2009-07-24$14.78$14.0017.7%5.1%21.2%2.4%18.5%2.6%2.2%21.7M-720.4M-2.0M1.1316.507,1428,102747,424370,028
2009-07-27$14.74$14.0019.2%5.5%21.1%3.2%19.7%3.1%2.7%21.0M-698.2M-1.9M1.7612.415,71010,026734,518369,612
2009-07-28$14.51$14.0018.9%5.4%21.9%3.1%20.7%2.8%3.5%22.3M-611.3M-2.0M2.1913.311,5983,496735,956372,386
2009-07-29$14.44$14.0018.5%5.3%21.8%2.9%20.1%3.1%3.4%22.7M-596.2M-2.0M2.4616.435621,382737,030374,710
2009-07-30$14.65$14.0019.7%5.7%21.9%3.6%19.4%5.6%2.7%21.8M-666.6M-1.9M11.6310.641,48017,218737,254375,762
2009-07-31$14.47$14.0019.8%5.7%19.5%3.6%16.4%3.5%2.8%20.9M-595.9M-2.0M0.1514.031,212184737,594392,228