XLU Options History — September 2009

In September 2009, XLU traded between $14.39 and $15.03. ATM implied volatility averaged 18.3%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.9% (HV 20d: 11.4%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2009-09-17: Highest Volume — 2,907,774 contracts
  • 2009-09-08: Largest IV spike — 10.8% change
  • 2009-09-02: Highest IV Rank — 4.4%
  • 2009-09-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.64$14.39$15.03$14.50$14.66
Max Pain$14.38$13.00$15.00$13.00$14.50
ATM IV18.3%16.5%21.2%20.8%18.3%
Expected Move5.3%4.7%6.1%6.0%5.2%
HV 20d11.4%10.5%12.7%11.8%10.5%
HV 60d16.8%14.1%18.9%18.8%14.1%
IV Rank2.7%1.7%4.4%4.2%2.7%
IV Percentile7.5%2.8%22.2%19.0%9.1%
Term Structure1.9%0.7%3.1%0.7%1.5%
VWIV18.7%16.1%23.1%22.5%18.2%
Skew 25d3.6%1.5%5.4%3.0%1.5%
Skew 10d8.4%2.0%13.9%8.8%4.4%
Call IV 25d16.7%13.6%19.7%19.7%17.7%
Put IV 25d20.4%18.3%22.8%22.7%19.2%
Bid-Ask Spread %14.759.2373.6111.9915.28
Gamma HHI0.430.300.770.300.37
Net GEX19.0M9.8M27.3M23.0M17.8M
Net DEX-447.0M-842.8M-114.2M-610.0M-159.0M
Net VEX-1.1M-1.4M-875.3K-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.0016.6515.760.05
Total Volume160,305.4297722,907,77419,84640,096
Total OI851,770355,1081,141,1981,071,502563,052

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$14.50$13.0020.8%6.0%11.8%4.2%22.5%3.0%0.7%23.0M-610.0M-1.3M15.7611.991,18418,662695,260376,242
2009-09-02$14.40$13.0021.2%6.1%11.8%4.4%23.1%2.9%1.6%23.7M-563.9M-1.3M16.659.231,87231,174695,056383,174
2009-09-03$14.39$13.0019.6%5.6%11.8%3.5%20.5%3.7%1.7%21.6M-565.1M-1.3M0.619.872,3081,400695,976423,884
2009-09-04$14.46$15.0017.6%5.7%11.5%2.3%20.4%4.3%2.5%24.5M-611.5M-1.2M0.3711.3211,1604,162697,568389,320
2009-09-08$14.49$15.0019.5%5.6%11.5%3.4%21.1%5.0%2.5%23.7M-631.2M-1.1M0.0312.2121,128632699,684392,116
2009-09-09$14.47$15.0018.3%5.5%11.5%2.7%19.5%4.1%2.6%25.7M-650.8M-1.1M1.4810.771,0041,488718,946392,306
2009-09-10$14.47$15.0018.4%5.3%11.3%2.8%20.7%4.4%2.5%25.4M-661.1M-1.1M3.4813.581,8186,318719,478393,296
2009-09-11$14.47$14.5018.4%5.3%11.3%2.8%18.7%3.7%2.5%27.3M-641.1M-1.1M0.5614.9725,31414,230720,276399,180
2009-09-14$14.68$14.5018.3%5.2%12.4%2.7%18.1%4.2%2.4%21.1M-752.0M-1.0M0.829.909,3847,662738,250402,948
2009-09-15$14.79$14.5017.7%5.1%11.4%2.4%18.1%3.0%2.2%13.8M-793.6M-922.6K0.3012.077,4482,210719,744405,474
2009-09-16$15.03$14.5017.2%4.9%12.4%2.1%17.4%3.4%2.3%13.1M-842.8M-875.3K0.1812.3312,7802,276719,396406,774
2009-09-17$14.93$14.5017.5%5.0%12.7%2.3%18.2%3.1%2.3%20.9M-733.9M-1.0M0.0011.002,901,2346,540724,198407,620
2009-09-18$14.84$14.5016.9%4.9%12.7%1.9%16.9%3.0%3.1%10.8M-136.9M-910.5K0.1612.3111,0581,736270,070412,226
2009-09-21$14.77$14.5016.7%4.8%10.8%1.8%17.0%2.9%1.4%9.8M-116.0M-905.6K0.3173.614,3201,324245,538109,570
2009-09-22$14.73$14.5018.2%5.2%10.8%2.7%16.8%2.6%1.2%10.1M-114.2M-919.9K0.029.6635,946678249,566113,182
2009-09-23$14.68$14.5018.2%5.2%10.6%2.7%16.1%4.2%1.2%12.0M-119.9M-983.8K0.0112.85142,812882285,168113,718
2009-09-24$14.64$14.5018.3%5.2%10.6%2.8%18.0%3.8%2.0%17.8M-166.3M-1.3M1.1912.115,1826,166424,134114,312
2009-09-25$14.60$14.5018.5%5.3%10.7%2.9%18.9%4.6%1.1%17.5M-154.1M-1.3M1.1813.928,80010,360427,378118,522
2009-09-28$14.72$14.5017.8%5.1%11.1%2.5%16.4%4.0%2.1%19.0M-179.7M-1.4M0.239.292,350544435,214126,560
2009-09-29$14.76$14.5016.5%4.7%10.7%1.7%17.1%5.4%1.2%19.7M-184.3M-1.4M1.0611.44374398435,908126,886
2009-09-30$14.66$14.5018.3%5.2%10.5%2.7%18.2%1.5%1.5%17.8M-159.0M-1.3M0.0515.2838,1161,980435,948127,104