XLU Options History — August 2009

In August 2009, XLU traded between $14.30 and $14.88. ATM implied volatility averaged 20.1%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.3% (HV 20d: 16.8%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2009-08-04: Highest Volume — 77,992 contracts
  • 2009-08-13: Largest IV spike — 23.1% change
  • 2009-08-17: Highest IV Rank — 5.3%
  • 2009-08-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.56$14.30$14.88$14.62$14.62
Max Pain$13.19$13.00$14.00$14.00$13.00
ATM IV20.1%17.3%22.7%20.0%21.4%
Expected Move6.0%5.2%6.6%5.7%6.1%
HV 20d16.8%12.7%19.6%19.6%12.7%
HV 60d21.2%18.7%23.4%23.3%18.8%
IV Rank3.8%2.2%5.3%3.8%4.5%
IV Percentile16.9%5.2%29.0%16.7%24.6%
Term Structure1.3%-0.7%3.6%2.5%-0.4%
VWIV21.5%19.1%24.4%19.6%22.0%
Skew 25d4.2%2.1%6.3%4.1%3.9%
Skew 10d9.7%0.5%15.7%13.4%12.4%
Call IV 25d18.5%14.4%20.3%17.8%18.0%
Put IV 25d22.7%20.3%25.0%21.8%21.9%
Bid-Ask Spread %11.606.2343.219.059.69
Gamma HHI0.260.240.300.250.30
Net GEX23.1M17.4M29.8M21.2M21.9M
Net DEX-644.9M-821.8M-555.2M-642.4M-650.1M
Net VEX-1.6M-2.1M-1.2M-1.9M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.116.670.113.32
Total Volume15,929.8171477,9927,8843,076
Total OI1,118,699.2381,046,9621,167,5601,130,7561,070,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$14.62$14.0020.0%5.7%19.6%3.8%19.6%4.1%2.5%21.2M-642.4M-1.9M0.119.057,080804738,406392,350
2009-08-04$14.40$14.0020.3%5.8%18.9%3.9%20.8%3.6%2.9%21.6M-566.9M-2.0M0.4814.6452,77625,216744,076392,216
2009-08-05$14.30$14.0019.8%5.7%19.1%3.6%21.6%2.5%3.6%24.7M-557.5M-2.1M0.2043.2111,3202,220782,044385,516
2009-08-06$14.32$14.0019.4%5.6%19.0%3.4%19.7%2.1%3.4%23.9M-555.2M-1.9M6.677.396,65444,368750,498380,458
2009-08-07$14.46$13.0019.1%6.6%19.1%3.2%23.4%4.7%-0.1%21.6M-593.5M-1.9M1.128.022,2482,508747,818413,248
2009-08-10$14.49$13.0019.0%6.3%18.4%3.2%21.8%4.0%1.0%23.4M-615.8M-1.8M1.0612.3318,27019,292743,470392,596
2009-08-11$14.50$13.0018.6%6.2%18.3%2.9%21.2%4.2%0.4%24.3M-601.2M-1.8M0.1212.081,650196745,308396,746
2009-08-12$14.57$13.0017.3%6.3%17.2%2.2%21.4%4.1%0.4%24.6M-647.6M-1.7M0.6311.712,2741,432741,338392,912
2009-08-13$14.52$13.0021.3%6.1%17.3%4.5%23.9%4.7%1.0%25.3M-637.5M-1.7M6.5914.174923,240741,826392,954
2009-08-14$14.52$13.0021.6%6.2%17.1%4.7%22.0%4.3%0.3%26.1M-642.8M-1.7M0.4911.691,638810742,452394,900
2009-08-17$14.32$13.0022.7%6.5%17.9%5.3%23.4%4.7%1.2%27.2M-558.6M-1.7M0.599.302,7581,630742,982395,032
2009-08-18$14.35$13.0022.5%6.4%17.5%5.2%22.8%4.5%0.7%28.4M-566.6M-1.6M1.818.12254460744,644395,074
2009-08-19$14.46$13.0021.4%6.1%17.6%4.5%22.1%3.9%1.9%29.8M-630.0M-1.5M0.1710.442,370400743,274394,612
2009-08-20$14.57$13.0021.2%6.1%15.2%4.5%24.4%3.4%1.3%25.9M-667.0M-1.5M0.689.3330,72620,792741,236393,762
2009-08-21$14.86$13.0019.7%5.6%15.8%3.6%21.1%3.4%2.3%19.4M-821.8M-1.3M0.2510.463,748944757,392409,192
2009-08-24$14.88$13.0019.8%5.7%15.8%3.6%20.8%5.1%0.3%17.4M-738.0M-1.2M0.4511.074,6962,110686,174360,788
2009-08-25$14.79$13.0019.0%5.4%14.7%3.2%20.1%4.4%1.5%18.3M-727.1M-1.2M0.166.2319,3403,170688,346361,354
2009-08-26$14.78$13.0018.3%5.2%14.6%2.7%19.1%3.5%2.4%20.3M-727.6M-1.2M0.698.3213,4449,256700,626363,878
2009-08-27$14.78$13.0019.0%5.4%13.6%3.2%21.1%6.3%0.7%19.9M-691.8M-1.3M2.058.062,4144,940692,336372,422
2009-08-28$14.74$13.0020.0%5.7%12.7%3.8%19.6%5.9%-0.7%19.9M-704.1M-1.2M0.208.232,926584693,698374,508
2009-08-31$14.62$13.0021.4%6.1%12.7%4.5%22.0%3.9%-0.4%21.9M-650.1M-1.2M3.329.697122,364695,158375,064