XLU Options History — November 2009

In November 2009, XLU traded between $14.14 and $15.01. ATM implied volatility averaged 19.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 16.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2009-11-06: Highest Volume — 39,398 contracts
  • 2009-11-12: Largest IV spike — 17.5% change
  • 2009-11-02: Highest IV Rank — 20.0%
  • 2009-11-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.64$14.14$15.01$14.17$14.88
Max Pain$14.18$14.00$15.00$15.00$14.00
ATM IV19.6%17.2%23.2%23.2%19.6%
Expected Move5.7%4.9%6.7%6.7%5.6%
HV 20d16.3%14.2%17.5%14.6%15.9%
HV 60d13.7%12.9%14.5%12.9%14.5%
IV Rank12.9%7.7%20.0%20.0%14.4%
IV Percentile24.6%5.2%44.8%44.8%29.0%
Term Structure-0.2%-1.2%1.5%0.4%-0.5%
VWIV20.6%17.0%23.9%22.7%20.0%
Skew 25d2.9%0.8%3.9%2.5%3.0%
Skew 10d5.5%2.0%7.5%5.0%6.4%
Call IV 25d18.7%16.1%22.8%22.3%18.4%
Put IV 25d21.6%18.1%24.8%24.8%21.4%
Bid-Ask Spread %6.904.2212.146.795.59
Gamma HHI0.340.260.440.280.27
Net GEX27.2M12.9M42.1M12.9M29.2M
Net DEX-156.5M-260.6M-13.4M-13.4M-212.2M
Net VEX-1.3M-1.6M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.238.230.500.32
Total Volume10,809.83,36439,39810,04410,686
Total OI863,010.6778,038905,826876,806792,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$14.17$15.0023.2%6.7%14.6%20.0%22.7%2.5%0.4%12.9M-13.4M-1.4M0.506.796,7163,328635,752241,054
2009-11-03$14.14$15.0022.3%6.4%14.2%18.0%22.2%1.9%1.4%14.2M-22.1M-1.3M0.716.315,1423,628636,710215,560
2009-11-04$14.23$14.5022.5%6.5%14.5%18.5%22.2%0.9%1.5%17.4M-56.0M-1.4M2.4412.142,6746,526637,680215,926
2009-11-05$14.47$15.0021.2%6.1%15.8%15.8%21.9%0.8%1.2%22.2M-121.3M-1.5M0.976.2410,81010,482637,786220,916
2009-11-06$14.46$14.0019.0%6.1%15.7%11.2%23.9%3.5%-1.2%21.2M-97.9M-1.4M1.059.3219,22020,178640,842228,032
2009-11-09$14.72$14.0019.4%5.9%16.6%12.1%20.7%3.4%-0.8%31.4M-210.4M-1.6M1.437.853,9105,592667,238232,624
2009-11-10$14.79$14.0017.7%5.5%16.4%8.5%20.0%3.6%-0.4%35.1M-218.8M-1.5M0.796.4510,2228,028658,788235,026
2009-11-11$14.76$14.0017.3%5.5%16.5%7.7%19.5%3.2%-0.4%33.9M-204.4M-1.5M2.206.712,9806,542662,930239,822
2009-11-12$14.55$14.0020.3%5.8%16.9%14.0%22.7%3.9%-0.4%24.9M-117.4M-1.4M4.667.641,4106,568658,688241,444
2009-11-13$14.68$14.0020.2%5.8%17.2%13.8%20.3%3.3%-0.9%29.9M-161.6M-1.4M0.968.612,0341,948658,726243,878
2009-11-16$14.88$14.0019.4%5.5%17.2%11.9%22.3%3.6%-0.3%42.1M-248.1M-1.4M8.235.721,1389,368659,342244,500
2009-11-17$14.80$14.0019.0%5.4%17.0%11.2%20.1%3.3%-0.8%39.9M-220.2M-1.4M0.377.083,0541,142659,494246,332
2009-11-18$14.74$14.0019.9%5.7%17.0%13.1%20.7%3.7%-0.8%35.8M-182.1M-1.3M1.876.021,1742,190660,696242,370
2009-11-19$14.56$14.0019.7%5.7%17.5%12.7%20.0%3.3%-0.8%15.6M-107.0M-1.2M1.056.551,7341,828660,264242,776
2009-11-20$14.63$14.0019.1%5.5%16.6%11.5%18.1%3.0%-0.5%27.8M-122.8M-1.2M0.346.208,1522,802659,988242,670
2009-11-23$14.81$14.0018.0%5.2%16.5%10.6%18.0%2.8%0.0%26.0M-180.9M-1.2M0.685.355,7803,914572,918205,120
2009-11-24$14.84$14.0017.2%4.9%16.4%8.7%17.0%2.8%0.1%27.7M-199.6M-1.2M0.235.629,1962,138575,358207,238
2009-11-25$15.01$14.0017.6%5.0%16.2%9.5%19.1%1.8%-0.4%32.0M-260.6M-1.2M0.844.224,8244,050581,322207,930
2009-11-27$14.76$14.0019.7%5.7%17.4%14.8%19.7%3.0%-0.9%25.4M-173.9M-1.2M0.567.523,2581,830579,820210,366
2009-11-30$14.88$14.0019.6%5.6%15.9%14.4%20.0%3.0%-0.5%29.2M-212.2M-1.2M0.325.598,0982,588581,158211,128