XLU Options History — September 2010

In September 2010, XLU traded between $15.43 and $15.81. ATM implied volatility averaged 15.3%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.3% (HV 20d: 15.0%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-09-16: Highest Volume — 377,382 contracts
  • 2010-09-07: Largest IV spike — 28.3% change
  • 2010-09-07: Highest IV Rank — 42.5%
  • 2010-09-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.69$15.43$15.81$15.74$15.69
Max Pain$15.43$15.00$15.50$15.00$15.50
ATM IV15.3%12.1%20.2%18.1%14.3%
Expected Move4.3%3.5%5.2%5.2%4.1%
HV 20d15.0%11.8%16.6%16.1%11.8%
HV 60d16.8%15.0%18.2%18.2%15.0%
IV Rank18.5%3.0%42.5%32.3%13.6%
IV Percentile30.1%4.0%83.3%58.7%21.8%
Term Structure1.9%-3.3%3.4%-3.3%2.4%
VWIV15.2%11.9%19.4%19.4%12.4%
Skew 25d4.5%2.5%17.2%3.9%3.1%
Skew 10d10.0%6.9%20.9%7.7%8.0%
Call IV 25d15.2%10.8%52.3%15.2%12.3%
Put IV 25d19.7%14.6%69.5%19.1%15.4%
Bid-Ask Spread %29.0912.01193.3313.9328.11
Gamma HHI0.210.190.230.190.21
Net GEX5.9M-6.2M11.3M3.9M6.6M
Net DEX-90.7M-144.5M7.4M-115.9M-71.7M
Net VEX-1.3M-1.4M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.032.260.940.28
Total Volume30,682.7624,716377,38226,0305,058
Total OI588,585.238463,918677,292665,076502,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$15.74$15.0018.1%5.2%16.1%32.3%19.4%3.9%-3.3%3.9M-115.9M-1.4M0.9413.9313,38612,644293,288371,788
2010-09-02$15.74$15.0017.1%4.9%16.0%27.1%17.9%2.5%-0.7%7.1M-122.8M-1.4M1.4326.212,2883,274299,526362,148
2010-09-03$15.81$15.0015.8%4.2%16.1%20.9%14.9%4.4%3.2%6.3M-127.6M-1.4M1.4114.974,2025,934299,720362,928
2010-09-07$15.73$15.5020.2%4.9%16.2%42.5%16.8%4.7%2.2%6.8M-119.0M-1.4M1.7321.4714,35824,854300,760366,210
2010-09-08$15.65$15.5019.5%5.0%16.2%39.1%15.9%4.5%2.1%4.9M-100.1M-1.4M1.3120.836,5648,590303,724371,384
2010-09-09$15.81$15.5014.4%4.1%14.6%14.3%16.6%3.6%2.8%9.5M-144.5M-1.3M0.2016.073,918798306,106367,746
2010-09-10$15.72$15.5016.3%4.7%14.8%23.3%15.0%4.3%2.6%7.9M-126.3M-1.4M1.5324.582,6924,114306,212368,002
2010-09-13$15.78$15.5014.7%4.2%14.8%15.8%16.8%4.4%2.7%9.5M-140.8M-1.3M1.2112.013,7924,598306,456368,814
2010-09-14$15.76$15.5014.1%4.0%14.8%12.6%15.9%4.0%2.6%7.6M-137.8M-1.3M1.3313.836,1328,126306,304370,988
2010-09-15$15.66$15.5016.5%4.7%14.6%24.2%16.9%4.2%1.9%11.3M-126.2M-1.3M1.2617.727,1749,044305,100366,362
2010-09-16$15.61$15.5015.1%4.3%14.6%17.7%15.3%3.7%3.4%6.6M-91.0M-1.3M0.0327.18365,76211,620297,996370,020
2010-09-17$15.43$15.5013.7%3.9%14.2%11.0%11.9%17.2%2.0%-6.2M7.4M-1.3M2.26193.338,84419,964246,474375,238
2010-09-20$15.63$15.5014.5%4.2%14.9%14.7%14.7%3.8%1.9%3.5M-45.7M-1.3M1.1422.206,5227,454231,242232,676
2010-09-21$15.55$15.5014.4%4.1%14.9%14.3%14.1%4.5%1.2%3.4M-35.6M-1.3M0.4926.286,3583,120236,480234,528
2010-09-22$15.66$15.5015.0%4.3%15.1%17.2%14.3%4.2%1.1%4.5M-56.9M-1.3M0.4730.4212,9086,010239,484235,440
2010-09-23$15.48$15.5015.0%4.3%15.7%17.0%15.4%3.8%1.8%3.4M-32.4M-1.3M0.6521.253,6702,394247,404235,396
2010-09-24$15.73$15.5013.7%3.9%16.6%11.0%13.7%3.3%2.5%5.5M-69.4M-1.3M0.1622.3913,0722,134247,774235,564
2010-09-27$15.76$15.5012.2%3.5%15.2%3.7%13.1%3.1%1.8%7.3M-84.0M-1.3M0.8319.593,0822,548259,386236,214
2010-09-28$15.77$15.5012.1%3.5%14.0%3.0%14.0%4.3%2.6%7.3M-85.3M-1.3M0.3023.356,7402,012259,928236,766
2010-09-29$15.74$15.5014.1%4.1%14.0%13.0%14.4%3.2%2.3%7.2M-78.9M-1.3M1.2815.083,7604,824259,682236,948
2010-09-30$15.69$15.5014.3%4.1%11.8%13.6%12.4%3.1%2.4%6.6M-71.7M-1.3M0.2828.113,9521,106262,172239,912