XLU Options History — May 2010

In May 2010, XLU traded between $14.10 and $15.41. ATM implied volatility averaged 22.3%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.7% (HV 20d: 19.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.25.

Notable Days

  • 2010-05-25: Highest Volume — 63,538 contracts
  • 2010-05-06: Largest IV spike — 30.6% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.71$14.10$15.41$15.41$14.38
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV22.3%13.1%32.1%13.1%21.1%
Expected Move6.5%3.8%9.2%3.8%6.1%
HV 20d19.6%12.8%22.8%12.8%22.7%
HV 60d14.7%12.1%16.2%12.1%16.2%
IV Rank60.3%10.2%100.0%10.2%47.0%
IV Percentile78.6%9.1%100.0%9.1%82.9%
Term Structure-1.0%-4.8%2.0%2.0%-1.4%
VWIV23.5%13.5%34.4%13.5%25.4%
Skew 25d5.9%1.8%8.3%1.8%5.4%
Skew 10d11.8%4.8%18.5%4.8%9.8%
Call IV 25d19.9%13.1%26.5%13.1%19.2%
Put IV 25d25.8%14.9%34.8%14.9%24.6%
Bid-Ask Spread %11.877.3525.1811.507.35
Gamma HHI0.180.150.210.200.17
Net GEX-4.8M-10.2M621.4K621.4K-9.6M
Net DEX79.5M-66.7M188.0M-66.7M159.5M
Net VEX-1.3M-1.5M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.2811.530.650.28
Total Volume23,368.72,78063,5383,74211,766
Total OI514,253.1473,412561,346473,412544,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$15.41$15.0013.1%3.8%12.8%10.2%13.5%1.8%2.0%621.4K-66.7M-1.2M0.6511.502,2641,478215,704257,708
2010-05-04$15.15$15.0016.5%4.7%14.0%30.9%15.9%3.0%1.7%-1.5M-15.6M-1.3M3.269.956522,128216,646258,042
2010-05-05$15.04$15.0016.4%4.7%13.8%30.2%16.7%3.3%1.7%-2.1M3.5M-1.3M2.239.791,8704,170216,764258,144
2010-05-06$14.63$15.0021.4%6.1%16.9%61.1%21.4%3.7%0.7%-4.2M68.8M-1.3M2.3325.189,93023,154216,326258,746
2010-05-07$14.55$15.0025.7%7.7%16.6%87.7%27.1%5.9%-2.5%-3.9M83.9M-1.3M2.8320.6415,77444,710221,792270,838
2010-05-10$15.00$15.0021.0%6.3%20.2%58.6%22.0%5.8%-1.2%-2.4M17.7M-1.4M1.4111.879,10412,840219,614277,738
2010-05-11$15.03$15.0019.8%6.2%20.1%51.3%20.8%5.8%-0.8%-2.1M12.2M-1.4M0.8321.114,5763,806225,398281,476
2010-05-12$15.15$15.0018.3%5.9%20.4%41.9%19.4%5.7%-0.8%-694.8K-9.4M-1.3M0.4010.034,9721,968217,038273,732
2010-05-13$15.09$15.0020.7%5.9%20.4%57.1%20.0%5.3%-0.5%-1.5M-248.3K-1.3M11.5311.594,15247,866216,194272,774
2010-05-14$14.96$15.0022.4%6.4%20.2%67.3%24.6%7.1%-1.3%-3.8M54.6M-1.5M9.8310.271,89218,600216,926312,696
2010-05-17$14.98$15.0022.4%6.4%20.2%67.6%25.2%6.7%-1.2%-4.1M53.4M-1.4M3.779.471,3224,988217,552320,524
2010-05-18$14.84$15.0023.3%6.7%19.9%73.1%24.3%7.1%-1.4%-5.5M82.6M-1.4M1.888.922,4824,664217,536322,056
2010-05-19$14.69$15.0025.7%7.4%20.2%87.9%27.8%8.0%-2.1%-6.8M111.0M-1.4M0.678.7022,88615,390218,056321,702
2010-05-20$14.24$15.0032.1%9.2%22.5%100.0%34.4%8.3%-4.8%-8.4M179.3M-1.4M2.6112.176,96418,188221,024329,100
2010-05-21$14.31$15.0027.3%7.8%22.3%76.6%29.5%8.2%-1.7%-7.7M176.5M-1.3M3.6410.323,98214,484224,704336,642
2010-05-24$14.18$15.0028.2%8.1%22.4%81.0%27.3%7.8%-3.1%-5.8M155.1M-1.3M1.8311.886,97812,786204,916295,976
2010-05-25$14.10$15.0025.8%7.4%21.9%69.7%26.7%7.5%-1.6%-6.8M175.6M-1.2M9.009.036,35657,182209,056298,548
2010-05-26$14.10$15.0024.5%7.0%21.3%63.3%24.8%5.9%-2.0%-8.9M188.0M-1.3M4.849.797,29235,318210,890333,472
2010-05-27$14.37$15.0020.3%5.8%22.8%43.1%23.5%6.0%-0.7%-10.2M161.0M-1.3M1.097.868,8089,632211,590342,794
2010-05-28$14.38$15.0021.1%6.1%22.7%47.0%25.4%5.4%-1.4%-9.6M159.5M-1.3M0.287.359,1702,596209,734334,894