XLU Options History — October 2010

In October 2010, XLU traded between $15.74 and $16.11. ATM implied volatility averaged 12.6%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.6% (HV 20d: 10.0%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-10-19: Highest Volume — 77,760 contracts
  • 2010-10-14: Largest IV spike — 45.5% change
  • 2010-10-14: Highest IV Rank — 19.9%
  • 2010-10-04: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.90$15.74$16.11$15.78$15.86
Max Pain$15.71$15.50$16.00$15.50$16.00
ATM IV12.6%9.8%14.7%11.3%12.7%
Expected Move3.9%3.2%4.8%3.2%3.7%
HV 20d10.0%7.0%12.4%12.0%7.0%
HV 60d13.7%12.1%15.1%14.9%12.1%
IV Rank10.1%0.0%19.9%0.0%13.4%
IV Percentile10.2%0.0%27.0%0.0%11.9%
Term Structure2.4%1.8%4.1%3.1%2.3%
VWIV14.4%12.8%17.5%12.8%14.7%
Skew 25d3.2%2.2%4.4%3.3%2.6%
Skew 10d6.3%4.7%8.8%8.8%5.7%
Call IV 25d12.6%11.0%14.2%11.0%12.3%
Put IV 25d15.8%13.8%18.6%14.3%15.0%
Bid-Ask Spread %37.5018.5680.1528.4951.09
Gamma HHI0.270.210.430.230.23
Net GEX10.3M7.4M20.3M7.4M10.2M
Net DEX-102.8M-150.7M-51.7M-65.5M-83.7M
Net VEX-1.3M-1.5M-1.2M-1.3M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.143.540.250.61
Total Volume18,339.5241,24877,76013,2642,500
Total OI589,519.619503,318656,080503,318654,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$15.78$15.5011.3%3.2%12.0%0.0%12.8%3.3%3.1%7.4M-65.5M-1.3M0.2528.4910,6482,616262,990240,328
2010-10-04$15.74$15.5014.7%4.8%11.9%16.5%16.8%4.4%1.8%7.4M-80.3M-1.3M1.4620.367,66211,168270,696241,622
2010-10-05$15.92$15.5012.4%4.2%12.4%5.5%15.2%3.7%1.9%9.0M-112.2M-1.3M0.8620.497,0206,070275,132249,614
2010-10-06$15.85$15.5011.5%4.2%12.4%1.0%17.5%4.1%2.1%8.3M-101.4M-1.3M3.3721.793,02210,190278,512255,484
2010-10-07$15.88$15.5011.3%4.2%11.9%0.1%14.2%4.0%2.5%8.5M-105.6M-1.3M1.0223.601,5661,594278,618258,872
2010-10-08$15.93$15.5011.5%4.1%11.8%1.2%14.4%3.8%2.4%9.3M-114.7M-1.3M0.5025.474,9342,470279,116259,754
2010-10-11$15.93$15.5013.6%4.2%11.7%10.9%15.6%3.5%2.2%10.0M-119.6M-1.3M0.5224.6215,9368,354282,610260,460
2010-10-12$15.87$15.5011.3%4.1%11.8%0.0%15.1%3.6%2.0%11.3M-85.6M-1.3M1.5123.138,79213,318287,666264,788
2010-10-13$15.93$15.509.8%4.0%11.6%0.0%14.5%3.5%1.9%13.1M-111.3M-1.2M1.0927.7234,43437,410286,268274,888
2010-10-14$15.90$15.5014.2%4.1%11.6%19.9%14.7%3.1%2.2%13.6M-88.8M-1.4M1.1021.401,7461,924313,682302,056
2010-10-15$15.95$15.5013.5%3.9%10.5%16.7%13.9%3.3%2.0%20.3M-123.7M-1.4M0.3921.999,3943,688313,392302,004
2010-10-18$15.95$15.5012.7%3.6%9.6%13.2%13.4%2.8%1.8%8.7M-122.6M-1.4M3.5418.565,82820,642294,634277,210
2010-10-19$15.98$16.0013.2%3.8%9.3%15.2%13.7%3.0%4.1%7.5M-107.4M-1.4M0.3180.1559,46818,292297,308291,618
2010-10-20$16.11$16.0013.0%3.7%9.4%14.7%13.4%2.5%2.7%13.4M-150.7M-1.5M0.4459.4014,9946,566343,874304,412
2010-10-21$16.04$16.0012.7%3.6%8.4%12.9%13.0%2.5%3.0%11.4M-136.9M-1.4M0.5358.835,8723,086342,748299,072
2010-10-22$15.94$16.0013.0%3.7%7.1%14.6%13.8%2.7%2.7%10.7M-110.9M-1.5M1.1060.539641,056344,590300,500
2010-10-25$15.90$16.0013.2%3.8%7.1%15.2%13.8%2.7%2.1%10.4M-105.1M-1.4M0.1452.149,5481,334344,958298,572
2010-10-26$15.86$16.0013.0%3.7%7.2%14.5%14.2%2.3%2.4%8.9M-102.8M-1.3M1.1423.875,4226,164346,746299,170
2010-10-27$15.79$16.0012.9%3.7%7.3%14.1%14.6%2.2%1.9%7.6M-51.7M-1.4M1.4260.277,51210,678340,902304,836
2010-10-28$15.84$16.0012.6%3.6%7.2%12.8%13.5%2.5%2.3%8.5M-78.6M-1.4M0.6663.66754494345,022311,058
2010-10-29$15.86$16.0012.7%3.7%7.0%13.4%14.7%2.6%2.3%10.2M-83.7M-1.4M0.6151.091,550950345,858308,272