XLU Options History — March 2010

In March 2010, XLU traded between $14.69 and $15.20. ATM implied volatility averaged 14.2%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.2% (HV 20d: 11.9%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.57.

Notable Days

  • 2010-03-18: Highest Volume — 324,700 contracts
  • 2010-03-25: Largest IV spike — 15.9% change
  • 2010-03-01: Highest IV Rank — 12.4%
  • 2010-03-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.92$14.69$15.20$14.78$14.83
Max Pain$15.11$15.00$15.50$15.00$15.00
ATM IV14.2%11.6%16.5%16.5%11.6%
Expected Move4.0%3.3%4.7%4.7%3.3%
HV 20d11.9%10.1%16.5%16.5%10.4%
HV 60d13.9%13.5%14.6%14.6%13.9%
IV Rank6.5%0.0%12.4%12.4%0.0%
IV Percentile7.5%0.0%16.7%14.7%0.0%
Term Structure1.4%-0.9%3.5%-0.9%2.2%
VWIV14.9%12.7%17.3%17.0%13.2%
Skew 25d3.5%2.2%4.7%2.5%3.3%
Skew 10d7.9%4.6%11.4%5.2%9.0%
Call IV 25d12.8%9.8%15.5%15.5%10.3%
Put IV 25d16.3%13.6%18.4%17.9%13.6%
Bid-Ask Spread %9.974.6526.096.405.99
Gamma HHI0.230.180.450.280.18
Net GEX-1.2M-13.7M6.7M-5.4M-2.0M
Net DEX14.9M-40.3M47.5M47.5M25.5M
Net VEX-963.5K-1.2M-864.4K-864.4K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0830.2630.262.25
Total Volume31,713.9135,030324,70048,5807,198
Total OI454,657.652337,194527,130467,974421,722

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$14.78$15.0016.5%4.7%16.5%12.4%17.0%2.5%-0.9%-5.4M47.5M-864.4K30.266.401,55447,026253,098214,876
2010-03-02$14.82$15.0016.1%4.6%16.4%11.2%16.9%2.7%-0.7%-4.3M38.5M-896.4K2.846.104,53212,870254,738219,698
2010-03-03$14.80$15.0015.7%4.5%16.1%9.9%17.3%3.7%-0.4%-4.4M41.0M-899.4K3.7014.296,62024,478257,390221,304
2010-03-04$14.83$15.0015.6%4.5%15.9%9.7%17.3%4.7%-0.3%-3.8M37.8M-919.7K3.9211.603,61014,166262,352223,920
2010-03-05$14.98$15.5015.6%4.2%12.9%9.6%14.7%4.3%1.6%-937.3K10.9M-909.5K1.208.504,6565,602263,326221,794
2010-03-08$14.98$15.5015.7%4.2%12.8%10.1%16.0%3.9%1.7%-710.9K13.6M-881.7K2.515.362,6206,572263,070219,782
2010-03-09$14.96$15.5015.7%4.2%11.9%9.9%17.1%4.7%1.6%-725.9K15.3M-879.7K1.445.665,5047,932265,104222,344
2010-03-10$14.96$15.5016.2%4.3%11.6%12.2%15.5%4.6%1.6%-550.8K16.9M-900.7K0.4426.093,5041,526266,370223,960
2010-03-11$15.02$15.5014.8%4.2%11.3%7.7%15.6%4.1%1.6%962.3K6.6M-903.4K2.118.273,3507,066269,412224,758
2010-03-12$14.92$15.0014.5%4.2%11.6%8.0%16.0%4.5%1.8%-844.5K25.2M-898.2K2.756.872,2766,266270,740228,386
2010-03-15$14.97$15.0014.5%4.1%11.5%8.0%16.9%4.1%2.2%-265.3K16.9M-896.0K2.217.712,8166,226271,100232,586
2010-03-16$15.15$15.0014.5%4.2%10.6%8.2%14.1%3.3%2.0%3.2M-16.7M-909.1K0.569.8612,5827,038270,868237,544
2010-03-17$15.20$15.0013.2%3.8%10.4%3.2%12.7%2.4%2.9%5.3M-40.3M-882.7K1.1820.7210,13811,922276,246240,342
2010-03-18$15.13$15.0013.2%3.8%10.6%3.3%13.5%3.5%3.5%6.7M-36.2M-867.5K0.0814.64300,58424,116278,114249,016
2010-03-19$14.98$15.0013.5%3.9%10.3%4.4%14.0%2.9%2.3%-13.7M32.6M-1.0M1.7619.8510,58218,582253,732268,218
2010-03-22$14.88$15.0012.7%3.6%10.4%1.3%14.3%2.9%1.4%-221.3K6.2M-1.0M1.544.6511,08217,108171,068166,126
2010-03-23$14.94$15.0012.0%3.5%10.1%0.0%12.7%2.8%1.6%-26225.0K-1.1M0.775.466,9865,386179,512178,628
2010-03-24$14.79$15.0012.3%3.5%10.9%1.0%14.0%2.9%1.5%-921.9K19.0M-1.1M0.704.975,4203,790185,510182,550
2010-03-25$14.69$15.0014.2%4.1%11.1%9.2%13.7%3.1%1.3%-1.6M33.8M-1.0M3.227.774,73015,226187,792184,240
2010-03-26$14.72$15.0014.1%4.0%10.7%8.5%14.0%3.3%1.5%-2.3M37.8M-1.1M1.0110.276,1926,240189,894198,160
2010-03-29$14.90$15.0012.2%3.5%10.4%0.6%12.8%2.2%1.7%-666.9K4.1M-1.1M0.659.718,9485,818193,198199,202
2010-03-30$14.87$15.0011.9%3.4%10.4%0.0%14.0%4.2%1.9%-920.2K7.2M-1.1M15.068.603,05045,930194,702200,634
2010-03-31$14.83$15.0011.6%3.3%10.4%0.0%13.2%3.3%2.2%-2.0M25.5M-1.2M2.255.992,2184,980195,976225,746