XLU Options History — August 2010

In August 2010, XLU traded between $15.20 and $15.64. ATM implied volatility averaged 17.3%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.0% (HV 20d: 16.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2010-08-04: Highest Volume — 58,148 contracts
  • 2010-08-19: Largest IV spike — 16.6% change
  • 2010-08-19: Highest IV Rank — 45.9%
  • 2010-08-19: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.40$15.20$15.64$15.50$15.40
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV17.3%14.2%20.9%15.5%18.6%
Expected Move5.1%4.2%6.0%4.5%5.3%
HV 20d16.3%13.5%19.6%19.5%14.2%
HV 60d19.9%17.8%21.4%21.4%17.8%
IV Rank28.3%13.5%45.9%19.8%34.7%
IV Percentile49.2%19.0%87.3%26.2%66.3%
Term Structure1.0%-0.8%2.4%1.5%-0.1%
VWIV18.6%15.2%21.0%15.2%18.8%
Skew 25d4.2%2.9%5.3%3.2%3.9%
Skew 10d9.1%5.6%17.5%6.2%7.2%
Call IV 25d16.0%13.9%18.1%14.3%17.1%
Put IV 25d20.2%16.7%22.9%17.6%21.0%
Bid-Ask Spread %15.8910.0933.6914.1933.69
Gamma HHI0.160.140.190.190.17
Net GEX1.6M-2.9M5.5M5.0M1.1M
Net DEX-41.2M-106.5M-2.3M-66.4M-28.5M
Net VEX-1.6M-1.7M-1.5M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.097.680.090.55
Total Volume15,898.6363,02658,14810,84222,604
Total OI643,794558,378700,466558,378658,504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$15.50$15.0015.5%4.5%19.5%19.8%15.2%3.2%1.5%5.0M-66.4M-1.5M0.0914.199,976866270,806287,572
2010-08-03$15.43$15.0015.2%4.4%19.6%18.0%15.4%3.1%2.1%4.9M-54.6M-1.5M0.2016.8812,6062,486273,352287,678
2010-08-04$15.49$15.0015.0%4.3%16.9%17.2%15.5%3.0%2.1%5.5M-81.0M-1.5M7.6821.466,70251,446281,240288,304
2010-08-05$15.46$15.0014.7%4.2%16.9%15.8%17.0%2.9%2.4%3.5M-52.3M-1.6M2.7230.083,5809,742285,948338,022
2010-08-06$15.49$15.0014.2%4.9%16.8%13.5%18.5%4.3%1.3%2.2M-69.8M-1.6M0.9316.741,5681,458288,788343,848
2010-08-09$15.55$15.0014.9%4.9%16.8%16.7%17.2%4.0%1.1%2.7M-86.2M-1.5M1.1312.584,3824,930289,358340,632
2010-08-10$15.64$15.0014.8%4.8%16.9%16.3%17.7%3.7%1.5%4.1M-106.5M-1.5M3.8910.091,7186,690291,982344,416
2010-08-11$15.32$15.0016.6%5.2%18.6%25.0%20.9%5.1%1.1%1.5M-30.4M-1.6M6.0018.702,17413,042291,884346,326
2010-08-12$15.29$15.0018.1%5.2%18.6%32.4%18.6%5.3%1.3%1.9M-10.5M-1.6M1.2417.0913,02616,180292,192351,490
2010-08-13$15.35$15.0018.3%5.3%17.3%33.3%21.0%5.3%1.7%2.2M-23.1M-1.6M1.3612.178,90012,104303,954366,634
2010-08-16$15.35$15.0018.0%5.2%16.5%31.9%18.1%5.1%1.5%2.1M-19.0M-1.7M0.3714.897,3282,738304,668372,694
2010-08-17$15.50$15.0017.7%5.1%16.6%30.1%18.1%4.4%1.7%3.1M-78.2M-1.6M0.3911.402,282898308,832374,378
2010-08-18$15.41$15.0017.9%5.1%15.6%31.5%19.4%4.5%2.0%3.1M-50.3M-1.6M3.8215.592,3428,950309,862374,398
2010-08-19$15.20$15.0020.9%6.0%15.6%45.9%21.0%5.1%-0.8%-409.8K-2.3M-1.6M2.8511.587,24420,654310,100377,766
2010-08-20$15.23$15.0020.1%5.8%15.6%41.8%20.0%4.8%0.6%-703.1K-10.4M-1.6M2.0613.462,3644,866311,620388,846
2010-08-23$15.34$15.0017.9%5.1%15.6%31.2%19.3%4.4%0.4%-1.8M-16.3M-1.6M3.2410.236,93622,452286,244355,878
2010-08-24$15.36$15.0017.9%5.1%14.6%31.2%21.0%5.2%1.0%-452.9K-12.1M-1.6M3.5511.013,57412,672287,894358,642
2010-08-25$15.35$15.0018.5%5.3%14.5%34.3%19.9%4.4%0.2%-1.2M-10.7M-1.6M1.6311.494,1586,784288,874363,734
2010-08-26$15.28$15.0019.0%5.5%13.5%36.8%19.6%4.3%-0.1%-2.9M-6.4M-1.6M1.0815.265,5645,992290,114364,930
2010-08-27$15.57$15.0017.2%4.9%14.9%27.7%17.7%3.0%-0.3%2.3M-74.7M-1.5M0.5216.285,1282,648292,188362,986
2010-08-30$15.34$15.0019.0%5.5%14.1%36.8%19.4%3.2%-0.8%-2.0M-17.3M-1.5M0.6114.794,9683,048292,790363,100
2010-08-31$15.40$15.0018.6%5.3%14.2%34.7%18.8%3.9%-0.1%1.1M-28.5M-1.5M0.5533.6914,6008,004293,684364,820