XLU Options History — October 2009 In October 2009, XLU traded between $14.20 and $15.05. ATM implied volatility averaged 19.1%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.8% (HV 20d: 13.3%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.70.
Notable Days 2009-10-01 : Highest Volume — 109,850 contracts2009-10-30 : Largest IV spike — 20.9% change2009-10-30 : Highest IV Rank — 21.4%2009-10-30 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.62 $14.20 $15.05 $14.41 $14.20 Max Pain $14.59 $14.50 $15.00 $14.50 $15.00 ATM IV 19.1% 16.9% 23.9% 20.4% 23.9% Expected Move 5.6% 5.0% 6.9% 5.8% 6.9% HV 20d 13.3% 11.5% 15.2% 12.0% 15.2% HV 60d 13.6% 12.4% 14.9% 14.6% 13.1% IV Rank 6.9% 1.9% 21.4% 4.0% 21.4% IV Percentile 17.3% 3.6% 46.4% 23.8% 46.4% Term Structure 1.3% 0.1% 2.2% 0.6% 0.1% VWIV 19.3% 17.4% 21.7% 19.5% 21.7% Skew 25d 2.6% 1.0% 5.1% 1.5% 5.1% Skew 10d 6.7% -0.8% 12.7% -0.8% 9.7% Call IV 25d 18.5% 16.6% 20.9% 19.6% 20.0% Put IV 25d 21.1% 18.6% 25.1% 21.0% 25.1% Bid-Ask Spread % 12.78 8.72 19.97 15.03 19.97 Gamma HHI 0.40 0.33 0.52 0.33 0.38 Net GEX 26.6M 14.8M 43.1M 14.8M 17.9M Net DEX -196.7M -324.2M -60.1M -115.3M -60.1M Net VEX -1.6M -1.8M -1.3M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.70 0.03 16.17 0.03 4.20 Total Volume 26,456.909 1,986 109,850 109,850 66,318 Total OI 766,912.364 598,156 830,214 598,156 816,082
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2009-10-01 $14.41 $14.50 20.4% 5.8% 12.0% 4.0% 19.5% 1.5% 0.6% 14.8M -115.3M -1.3M 0.03 15.03 106,666 3,184 469,866 128,290 2009-10-02 $14.26 $14.50 20.4% 5.8% 12.6% 4.0% 20.9% 2.1% 0.9% 18.3M -121.1M -1.4M 0.12 14.14 36,866 4,502 564,758 130,558 2009-10-05 $14.41 $14.50 20.1% 6.0% 13.1% 3.8% 20.8% 4.3% 0.6% 23.1M -163.6M -1.5M 0.09 16.70 37,098 3,198 598,592 134,306 2009-10-06 $14.53 $14.50 19.2% 5.8% 13.4% 3.3% 21.3% 3.6% 1.5% 26.9M -199.6M -1.6M 0.92 11.42 1,658 1,522 617,306 143,618 2009-10-07 $14.54 $14.50 18.8% 5.8% 13.4% 3.0% 20.1% 3.4% 1.1% 23.9M -184.8M -1.6M 0.80 11.82 3,736 2,972 601,094 144,462 2009-10-08 $14.54 $14.50 18.4% 5.7% 13.4% 2.8% 19.8% 3.3% 1.6% 25.2M -191.6M -1.6M 2.46 16.54 12,710 31,242 602,520 144,412 2009-10-09 $14.63 $14.50 16.9% 5.6% 13.5% 1.9% 19.5% 3.2% 1.6% 28.0M -216.7M -1.6M 16.17 9.24 1,496 24,194 614,124 151,998 2009-10-12 $14.78 $14.50 18.9% 5.4% 13.0% 3.1% 18.6% 3.3% 1.1% 32.7M -253.8M -1.7M 0.22 12.53 11,560 2,554 622,476 164,144 2009-10-13 $14.67 $14.50 18.7% 5.8% 13.0% 3.0% 19.6% 1.7% 2.1% 24.7M -209.2M -1.6M 0.14 12.09 10,662 1,494 615,308 165,506 2009-10-14 $14.68 $14.50 19.7% 5.6% 11.5% 3.5% 18.2% 3.4% 1.1% 29.0M -217.8M -1.6M 1.01 12.00 23,698 23,926 618,158 165,830 2009-10-15 $14.79 $14.50 18.3% 5.3% 11.8% 2.8% 18.6% 3.5% 1.2% 35.2M -251.2M -1.7M 0.17 12.86 14,868 2,460 633,640 187,234 2009-10-16 $14.85 $14.50 17.7% 5.1% 11.7% 7.6% 17.6% 2.9% 1.0% 43.1M -266.6M -1.7M 0.16 9.91 19,758 3,202 642,578 187,636 2009-10-19 $15.05 $14.50 18.0% 5.2% 12.5% 8.0% 17.7% 1.9% 1.5% 30.7M -324.2M -1.8M 0.43 14.13 14,306 6,202 581,592 157,372 2009-10-20 $14.90 $14.50 17.5% 5.0% 13.1% 7.1% 17.4% 2.2% 1.3% 30.4M -271.1M -1.7M 4.83 8.72 2,292 11,076 588,286 160,588 2009-10-21 $14.93 $14.50 17.9% 5.1% 13.0% 7.8% 17.4% 1.8% 1.9% 29.0M -267.3M -1.7M 0.07 13.64 31,784 2,310 580,712 171,060 2009-10-22 $14.96 $14.50 17.8% 5.1% 12.9% 7.7% 18.1% 1.1% 1.9% 31.3M -293.0M -1.8M 0.30 12.27 10,138 3,078 610,176 171,218 2009-10-23 $14.71 $14.50 18.6% 5.3% 14.3% 9.2% 18.3% 1.6% 2.2% 28.3M -210.2M -1.7M 0.46 9.04 4,180 1,936 613,902 171,926 2009-10-26 $14.52 $14.50 19.4% 5.6% 14.8% 10.6% 18.9% 1.6% 1.4% 23.9M -144.3M -1.5M 0.58 9.86 5,098 2,972 610,814 172,922 2009-10-27 $14.48 $15.00 19.4% 5.6% 14.7% 10.6% 19.6% 1.0% 1.0% 24.4M -141.2M -1.5M 0.86 10.49 1,070 916 631,706 179,666 2009-10-28 $14.34 $15.00 20.7% 5.9% 15.0% 14.7% 20.8% 1.7% 0.9% 21.4M -100.5M -1.4M 2.40 12.34 2,184 5,238 633,376 180,086 2009-10-29 $14.46 $15.00 19.8% 5.7% 14.1% 12.8% 19.7% 2.9% 1.2% 23.2M -123.7M -1.5M 0.95 16.48 13,206 12,522 613,690 178,484 2009-10-30 $14.20 $15.00 23.9% 6.9% 15.2% 21.4% 21.7% 5.1% 0.1% 17.9M -60.1M -1.3M 4.20 19.97 12,756 53,562 625,506 190,576
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