XLU Options History — April 2010

In April 2010, XLU traded between $14.91 and $15.30. ATM implied volatility averaged 12.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.7% (HV 20d: 12.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.46.

Notable Days

  • 2010-04-13: Highest Volume — 60,652 contracts
  • 2010-04-26: Largest IV spike — 13.3% change
  • 2010-04-30: Highest IV Rank — 22.6%
  • 2010-04-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.12$14.91$15.30$15.04$15.22
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV12.8%11.5%15.1%11.6%15.1%
Expected Move3.8%3.3%4.3%3.3%4.3%
HV 20d12.0%11.1%13.1%11.5%12.2%
HV 60d13.5%12.7%14.2%14.0%13.1%
IV Rank7.2%0.0%22.6%0.0%22.6%
IV Percentile7.1%0.0%25.0%0.4%25.0%
Term Structure2.1%1.7%2.8%2.3%1.9%
VWIV13.9%11.9%16.1%11.9%14.5%
Skew 25d2.9%2.2%3.4%2.4%2.4%
Skew 10d7.0%4.5%9.0%5.0%4.9%
Call IV 25d12.1%11.0%13.9%11.0%13.7%
Put IV 25d15.0%13.4%16.3%13.4%16.1%
Bid-Ask Spread %10.484.8323.546.1916.13
Gamma HHI0.170.160.190.170.17
Net GEX352.0K-1.8M1.9M-159.9K757.4K
Net DEX-21.9M-51.7M22.8M-10.2M-39.4M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.029.719.711.87
Total Volume14,697.3333,61060,6529,53019,928
Total OI446,362.381424,300471,272424,300463,962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$15.04$15.0011.6%3.3%11.5%0.0%11.9%2.4%2.3%-159.9K-10.2M-1.2M9.716.198908,640196,750227,550
2010-04-05$15.13$15.0011.8%3.9%11.1%0.9%14.0%3.2%1.7%801.2K-28.4M-1.2M1.535.745,8068,870197,238230,606
2010-04-06$15.25$15.0011.7%3.9%11.4%0.5%13.0%3.4%2.0%1.9M-51.7M-1.2M1.425.385,9188,376202,462228,734
2010-04-07$15.10$15.0012.2%4.0%12.0%2.9%14.5%3.3%1.8%1.0M-28.1M-1.2M2.2623.544,2209,530200,488229,634
2010-04-08$15.01$15.0011.7%3.9%12.3%0.4%15.1%3.2%1.9%714.1K-9.5M-1.2M8.2213.822,38819,620200,488229,634
2010-04-09$15.12$15.0011.5%3.8%12.5%0.0%16.1%3.0%1.8%294.9K-23.2M-1.2M7.588.501,87614,212200,930242,620
2010-04-12$15.16$15.0012.9%3.9%12.2%7.3%14.9%3.0%1.7%586.1K-33.0M-1.2M3.094.839963,078201,476249,476
2010-04-13$15.08$15.0012.2%4.0%12.4%3.8%13.7%3.0%1.8%432.1K-20.2M-1.2M0.2011.2250,62410,028201,556249,182
2010-04-14$15.10$15.0012.0%3.9%11.6%2.8%13.8%3.2%1.7%869.2K-23.5M-1.2M0.845.628,2966,952209,478253,624
2010-04-15$15.09$15.0013.4%3.8%11.6%9.9%12.9%3.2%2.0%994.5K-22.4M-1.2M0.2512.048,1702,080211,522256,284
2010-04-16$14.91$15.0013.6%3.9%12.2%11.0%14.4%3.4%2.1%646.4K22.8M-1.2M1.778.183,3485,942215,450255,822
2010-04-19$14.93$15.0012.9%3.7%11.7%7.5%13.9%3.2%2.3%-1.8M14.3M-1.2M0.7814.638,3526,538200,096229,658
2010-04-20$15.12$15.0012.6%3.6%12.3%5.8%12.3%3.0%2.4%-245.5K-18.1M-1.2M0.409.159,1843,662204,132232,732
2010-04-21$15.13$15.0012.4%3.6%12.2%5.5%12.2%2.5%2.6%1.6K-21.0M-1.2M1.216.921,6341,976206,644234,342
2010-04-22$15.19$15.0012.8%3.7%11.5%7.5%12.6%2.6%2.6%669.4K-31.0M-1.2M1.2711.331,8362,330207,496234,984
2010-04-23$15.30$15.0011.5%3.3%11.3%0.2%14.4%2.3%2.8%1.4M-48.9M-1.2M4.6712.664,66221,758208,226236,236
2010-04-26$15.25$15.0013.0%3.7%11.5%9.6%14.7%2.2%2.5%454.6K-43.5M-1.2M1.788.714,4948,018209,080246,034
2010-04-27$14.99$15.0014.7%4.2%12.6%20.2%15.4%2.4%1.9%-1.5M2.7M-1.2M0.8217.557,4646,102210,322242,172
2010-04-28$15.14$15.0014.4%4.1%13.1%18.1%14.6%2.8%2.3%-326.9K-22.8M-1.2M1.9811.301,5823,140212,566245,326
2010-04-29$15.16$15.0013.9%4.0%13.0%15.0%12.9%2.8%2.3%-99.2K-25.1M-1.2M0.026.685,988136212,292246,306
2010-04-30$15.22$15.0015.1%4.3%12.2%22.6%14.5%2.4%1.9%757.4K-39.4M-1.3M1.8716.136,95412,974217,604246,358