XLU Options History — November 2010

In November 2010, XLU traded between $15.38 and $16.03. ATM implied volatility averaged 14.8%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.5% (HV 20d: 9.3%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2010-11-19: Highest Volume — 30,608 contracts
  • 2010-11-11: Largest IV spike — 38.1% change
  • 2010-11-16: Highest IV Rank — 37.0%
  • 2010-11-16: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.69$15.38$16.03$15.71$15.38
Max Pain$15.48$15.00$16.00$16.00$15.50
ATM IV14.8%11.0%18.0%15.4%17.4%
Expected Move4.4%3.5%5.2%4.4%5.0%
HV 20d9.3%7.8%10.7%7.9%10.2%
HV 60d11.4%10.0%12.4%12.2%10.0%
IV Rank22.7%5.4%37.0%25.4%34.4%
IV Percentile38.4%0.4%71.4%41.7%69.0%
Term Structure-0.3%-2.1%2.6%1.8%-1.5%
VWIV15.5%12.1%19.8%14.7%16.9%
Skew 25d2.7%1.6%4.8%3.9%1.6%
Skew 10d8.7%0.6%33.2%8.3%33.2%
Call IV 25d14.0%12.0%16.0%12.3%15.9%
Put IV 25d16.7%13.9%19.1%16.2%17.5%
Bid-Ask Spread %80.4540.5599.5263.5781.91
Gamma HHI0.240.210.270.230.25
Net GEX3.9M-6.8M14.8M7.3M-5.7M
Net DEX-41.7M-148.7M44.9M-45.6M31.8M
Net VEX-1.1M-1.4M-819.6K-1.4M-838.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.184.270.890.59
Total Volume11,043.3332,28830,6084,8703,136
Total OI669,637.429651,832710,704655,626668,788

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$15.71$16.0015.4%4.4%7.9%25.4%14.7%3.9%1.8%7.3M-45.6M-1.4M0.8963.572,5802,290346,912308,714
2010-11-02$15.89$16.0013.2%3.8%8.0%15.5%13.5%2.4%2.6%10.8M-107.8M-1.4M0.5160.202,2061,124346,828308,638
2010-11-03$15.86$16.0012.7%3.6%7.8%13.0%12.8%2.1%2.5%10.8M-101.0M-1.3M2.3063.912,4605,654347,594308,432
2010-11-04$16.03$16.0012.1%3.5%8.7%10.7%12.1%1.9%2.5%14.8M-140.9M-1.3M0.3966.832,448948347,834303,998
2010-11-05$16.02$15.0011.5%4.2%8.6%7.6%15.7%2.3%-0.3%13.6M-148.7M-1.2M2.6865.699462,534348,204303,950
2010-11-08$15.94$15.0011.4%4.2%8.9%7.5%13.5%2.4%-0.5%10.7M-116.3M-1.1M0.5188.568,6284,426348,312304,594
2010-11-09$15.88$15.0011.4%4.2%8.8%7.2%14.4%2.3%-0.5%8.8M-96.8M-1.1M0.3983.123,0581,204352,170307,832
2010-11-10$15.81$15.0011.0%4.5%8.9%5.4%13.5%3.4%0.4%6.0M-77.7M-1.1M0.4194.049,9844,094354,022308,118
2010-11-11$15.80$15.0015.2%4.3%8.9%24.2%14.7%2.4%-0.3%7.3M-71.8M-1.1M0.2495.965,1561,212360,974311,510
2010-11-12$15.67$15.5016.8%4.8%9.2%31.5%18.4%4.8%1.1%3.8M-33.9M-1.1M3.3782.131,9866,700364,832312,312
2010-11-15$15.72$15.5017.7%5.1%9.3%35.7%15.5%3.7%-1.8%7.8M-32.6M-1.1M0.3099.1310,3663,118364,412315,364
2010-11-16$15.54$15.5018.0%5.2%10.0%37.0%17.4%3.0%-2.1%278.2K-90.0K-1.1M0.3099.308,8222,630373,278317,406
2010-11-17$15.54$15.5017.3%5.0%9.4%34.0%19.8%2.5%-1.2%37.9K21.3M-1.0M1.9899.525,67211,212378,536318,214
2010-11-18$15.63$15.5016.3%4.7%9.7%29.4%16.9%2.6%-0.9%465.5K-16.8M-986.2K2.0799.344,1008,488380,566328,554
2010-11-19$15.56$15.5015.4%4.4%9.6%25.4%15.7%2.7%-0.9%-2.6M16.9M-1.0M2.9962.207,67022,938378,450332,254
2010-11-22$15.61$15.5015.2%4.4%9.7%24.4%14.6%3.3%-2.0%3.7M-39.3M-846.3K0.7373.114,4023,220356,744297,142
2010-11-23$15.44$15.5015.3%4.4%10.3%24.6%15.4%1.6%-1.2%-3.3M13.3M-856.2K1.3189.209,91212,988358,218298,076
2010-11-24$15.54$15.5015.0%4.3%10.6%23.4%14.6%2.1%-0.9%-1.9M-64.8K-867.9K0.1890.8412,8162,366361,720306,956
2010-11-26$15.43$15.5016.3%4.7%10.7%29.3%16.6%2.3%-1.8%-4.7M25.1M-851.9K4.2740.554341,854359,242306,954
2010-11-29$15.40$15.5016.7%4.8%10.7%31.3%18.9%3.0%-1.6%-6.8M44.9M-819.6K0.9990.2913,13012,998358,988306,744
2010-11-30$15.38$15.5017.4%5.0%10.2%34.4%16.9%1.6%-1.5%-5.7M31.8M-838.0K0.5981.911,9701,166361,348307,440