XLU Options History — July 2010

In July 2010, XLU traded between $14.06 and $15.57. ATM implied volatility averaged 17.3%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.3% (HV 20d: 19.7%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.76.

Notable Days

  • 2010-07-28: Highest Volume — 64,818 contracts
  • 2010-07-07: Largest IV drop — 16.9% change
  • 2010-07-01: Highest IV Rank — 55.1%
  • 2010-07-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$14.06$15.57$14.06$15.19
Max Pain$14.93$14.50$15.00$15.00$15.00
ATM IV17.3%14.7%22.8%22.8%17.0%
Expected Move5.1%4.4%6.5%6.5%4.9%
HV 20d19.7%17.6%21.9%21.9%18.6%
HV 60d21.5%20.3%22.1%20.3%21.9%
IV Rank28.5%15.5%55.1%55.1%26.6%
IV Percentile43.1%21.8%92.9%92.9%38.9%
Term Structure1.8%0.6%2.8%0.6%2.8%
VWIV18.1%15.2%23.7%23.7%16.7%
Skew 25d5.0%3.4%6.3%5.1%3.4%
Skew 10d10.5%7.0%16.4%10.6%7.0%
Call IV 25d15.6%12.9%21.0%21.0%15.5%
Put IV 25d20.6%16.8%26.2%26.2%18.9%
Bid-Ask Spread %17.8012.4325.6612.4322.36
Gamma HHI0.200.170.320.210.17
Net GEX1.6M-7.0M11.2M-6.3M3.1M
Net DEX11.5M-64.0M148.9M143.7M-11.8M
Net VEX-1.4M-1.6M-1.2M-1.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.0611.964.071.22
Total Volume15,575.2381,87664,8189,24817,790
Total OI518,105.429455,324583,748506,912552,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$14.06$15.0022.8%6.5%21.9%55.1%23.7%5.1%0.6%-6.3M143.7M-1.2M4.0712.431,8247,424212,050294,862
2010-07-02$14.08$15.0021.5%6.2%19.1%48.7%21.5%4.6%0.6%-7.0M148.9M-1.2M0.8819.654,1803,686212,262299,752
2010-07-06$14.24$15.0022.1%6.3%19.4%51.5%21.8%6.2%1.3%-6.2M126.8M-1.2M0.9517.955,4765,214212,574299,646
2010-07-07$14.69$15.0018.3%5.5%21.8%33.4%19.7%6.3%1.4%-293.3K50.9M-1.3M1.6518.3510,55817,428213,562306,484
2010-07-08$14.80$14.5015.5%4.9%21.7%19.8%17.4%5.6%2.1%1.3M37.6M-1.4M0.2116.009,0941,918216,136314,444
2010-07-09$14.90$14.5014.7%4.8%20.2%15.5%17.6%5.5%1.6%3.4M8.9M-1.3M0.8912.9014,24012,640222,794308,108
2010-07-12$14.95$14.5016.7%4.9%20.2%25.6%17.0%5.1%1.7%4.6M958.7K-1.4M1.2716.105,1046,468231,050318,526
2010-07-13$15.00$15.0017.1%5.1%20.1%27.5%17.9%5.5%1.5%5.7M-11.5M-1.4M1.7315.612,9165,058233,592323,006
2010-07-14$15.01$15.0014.9%5.0%19.0%16.8%17.2%5.5%1.6%6.1M-11.9M-1.4M0.4915.558,2464,030229,710322,408
2010-07-15$15.11$15.0017.3%4.9%19.0%28.1%18.0%4.8%1.8%11.2M-47.3M-1.3M0.5616.995,9543,330233,412324,660
2010-07-16$14.85$15.0017.2%4.9%19.7%28.0%17.0%5.4%2.3%4.0M34.5M-1.4M0.5515.9810,7565,882233,882327,406
2010-07-19$15.07$15.0017.1%4.9%20.3%27.4%17.6%4.8%2.1%391.4K7.2M-1.4M0.8420.7617,19214,374197,960257,364
2010-07-20$15.21$15.0017.3%5.0%20.4%28.3%17.9%4.7%1.4%1.2M-24.7M-1.4M0.8815.513,7703,332207,750261,414
2010-07-21$14.97$15.0017.5%5.0%19.0%29.2%18.4%4.9%2.0%1.4M15.2M-1.4M2.6213.992,5206,612209,716262,032
2010-07-22$15.21$15.0017.4%5.0%19.2%29.1%18.1%4.8%2.0%1.2M-22.9M-1.4M11.9622.491,69020,216210,366267,934
2010-07-23$15.24$15.0017.2%4.9%19.0%27.9%17.5%4.4%2.2%446.8K-10.1M-1.4M1.5820.767261,150210,614285,560
2010-07-26$15.35$15.0015.2%4.4%19.0%18.1%17.1%4.3%2.1%1.8M-26.1M-1.4M3.0115.411,6084,842210,696281,400
2010-07-27$15.57$15.0015.6%4.5%19.4%19.9%15.2%3.9%2.0%2.3M-64.0M-1.4M0.7516.604,2603,208210,760284,184
2010-07-28$15.50$15.0015.8%4.5%17.6%21.3%16.7%3.6%2.0%1.4M-62.2M-1.3M0.0622.7461,4103,408212,172284,084
2010-07-29$15.26$15.0015.9%4.6%18.6%21.7%16.8%6.2%2.2%4.1M-40.4M-1.6M0.7725.664,2663,280301,148282,600
2010-07-30$15.19$15.0017.0%4.9%18.6%26.6%16.7%3.4%2.8%3.1M-11.8M-1.5M1.2222.368,0309,760269,930282,204