XLU Options History — February 2010

In February 2010, XLU traded between $14.29 and $14.98. ATM implied volatility averaged 17.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.4% (HV 20d: 16.4%). Max pain ranged from $14.50 to $15.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.81.

Notable Days

  • 2010-02-02: Highest Volume — 51,702 contracts
  • 2010-02-04: Largest IV spike — 22.2% change
  • 2010-02-16: Highest IV Rank — 22.9%
  • 2010-02-08: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.63$14.29$14.98$14.86$14.57
Max Pain$14.71$14.50$15.50$15.50$15.00
ATM IV17.8%14.2%20.0%15.5%17.6%
Expected Move5.3%4.1%6.0%4.4%5.0%
HV 20d16.4%14.6%18.1%14.6%15.7%
HV 60d15.3%14.8%15.8%15.0%14.8%
IV Rank16.3%5.4%22.9%9.4%15.7%
IV Percentile29.2%5.6%52.8%11.1%24.6%
Term Structure0.1%-1.8%3.2%2.3%-1.4%
VWIV18.5%14.3%21.2%16.5%17.7%
Skew 25d3.7%2.0%4.7%2.1%3.2%
Skew 10d7.3%4.0%10.7%4.7%5.0%
Call IV 25d16.8%14.0%19.4%15.5%15.3%
Put IV 25d20.5%16.0%23.9%17.6%18.5%
Bid-Ask Spread %10.514.5433.236.4733.23
Gamma HHI0.330.230.430.230.29
Net GEX-6.0M-10.5M-1.8M-2.7M-6.3M
Net DEX87.1M28.9M141.5M48.0M77.9M
Net VEX-880.9K-943.4K-828.3K-916.7K-854.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.5113.231.205.55
Total Volume16,901.5792,10851,70219,0288,684
Total OI463,472.211421,046495,862421,046460,642

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-02-01$14.86$15.5015.5%4.4%14.6%9.4%16.5%2.1%2.3%-2.7M48.0M-916.7K1.206.478,66410,364231,622189,424
2010-02-02$14.98$15.0014.2%4.1%15.0%5.4%14.3%2.0%3.2%-1.8M28.9M-943.4K9.444.544,95446,748236,820195,316
2010-02-03$14.88$15.0014.2%4.1%14.7%5.4%14.8%2.1%3.0%-3.4M51.4M-941.3K2.295.794,1849,574237,912209,810
2010-02-04$14.48$15.0017.3%5.0%16.8%14.8%16.7%3.1%2.4%-4.9M108.6M-884.3K2.887.113,4409,914240,354210,916
2010-02-05$14.46$15.0017.4%5.9%16.8%15.0%20.5%4.7%-0.9%-5.3M116.5M-880.6K1.4612.339,07813,210240,422215,996
2010-02-08$14.29$15.0017.9%6.0%17.1%16.7%21.2%4.5%-0.4%-6.1M141.5M-844.0K1.436.753,1724,530245,642222,668
2010-02-09$14.44$14.5017.4%5.9%17.1%15.2%18.9%4.7%-0.4%-6.2M123.9M-874.0K0.918.482,2962,092245,982225,112
2010-02-10$14.38$14.5016.5%5.8%17.1%12.3%20.3%4.4%-0.5%-6.6M134.8M-851.0K0.676.753,2762,188246,462225,192
2010-02-11$14.46$14.5020.0%5.7%16.6%22.8%19.2%4.6%0.0%-7.0M120.3M-851.9K0.516.574,5622,316247,638223,746
2010-02-12$14.40$14.5019.8%5.7%16.6%22.3%21.2%4.0%-0.3%-7.3M134.2M-828.3K4.938.221,6608,182250,168223,812
2010-02-16$14.65$14.5020.0%5.7%18.1%22.9%18.6%4.4%-0.7%-7.3M93.0M-873.3K1.118.6013,39614,830250,818228,484
2010-02-17$14.60$14.5019.7%5.7%17.3%22.1%19.5%4.0%-0.4%-10.5M104.6M-892.2K0.697.734,0642,786251,662241,650
2010-02-18$14.68$14.5019.2%5.5%17.4%20.5%19.7%3.9%-0.4%-9.5M90.9M-877.9K1.0611.011,0241,084253,388242,018
2010-02-19$14.88$14.5017.8%5.1%17.7%16.4%18.7%3.8%0.8%-5.6M48.1M-908.9K1.358.6611,36815,310253,420242,442
2010-02-22$14.80$14.5017.5%5.0%16.0%15.3%18.5%4.4%-0.4%-4.2M44.5M-869.9K0.538.9810,4065,542232,534206,562
2010-02-23$14.70$14.5019.1%5.5%15.9%20.3%18.9%3.4%-1.7%-6.0M62.6M-880.5K13.2311.281,76623,372240,028209,978
2010-02-24$14.71$14.5018.9%5.4%15.8%19.7%18.9%3.6%-1.8%-6.6M64.4M-864.6K1.7310.0417,37030,064240,604216,494
2010-02-25$14.69$14.5018.1%5.2%15.7%17.1%17.8%3.4%-1.3%-5.9M60.9M-899.3K2.4527.111,6424,018253,018217,216
2010-02-26$14.57$15.0017.6%5.0%15.7%15.7%17.7%3.2%-1.4%-6.3M77.9M-854.2K5.5533.231,3267,358252,092208,550