XLU Options History — January 2011

In January 2011, XLU traded between $15.71 and $16.07. ATM implied volatility averaged 10.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 3.5% (HV 20d: 6.7%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2011-01-20: Highest Volume — 61,006 contracts
  • 2011-01-31: Largest IV spike — 29.4% change
  • 2011-01-06: Highest IV Rank — 11.4%
  • 2011-01-10: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.86$15.71$16.07$15.74$15.86
Max Pain$15.63$15.50$16.00$15.50$16.00
ATM IV10.3%8.2%12.0%9.4%10.6%
Expected Move3.0%2.4%3.9%2.7%3.0%
HV 20d6.7%5.3%8.1%7.3%8.1%
HV 60d8.5%8.4%8.6%8.4%8.5%
IV Rank4.6%0.0%11.4%0.0%10.1%
IV Percentile3.3%0.0%13.1%0.0%6.0%
Term Structure1.9%0.7%6.2%6.2%1.2%
VWIV11.7%8.9%15.1%11.4%10.9%
Skew 25d3.0%0.4%4.8%1.1%4.1%
Skew 10d5.6%-1.6%9.7%6.4%5.7%
Call IV 25d9.5%6.8%11.6%10.5%9.4%
Put IV 25d12.6%10.9%14.8%11.6%13.5%
Bid-Ask Spread %78.0815.15106.8975.7379.92
Gamma HHI0.520.300.940.410.30
Net GEX18.5M1.8M72.4M8.9M1.8M
Net DEX-52.5M-119.6M-16.9M-35.9M-27.4M
Net VEX-554.2K-624.5K-480.5K-616.3K-590.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0210.873.070.02
Total Volume11,393.91,54461,00632,81820,828
Total OI458,929.1202,662621,824562,016232,856

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$15.74$15.509.4%2.7%7.3%0.0%11.4%1.1%6.2%8.9M-35.9M-616.3K3.0775.738,05424,764266,482295,534
2011-01-04$15.82$15.5010.3%3.0%7.3%3.9%11.5%1.6%1.3%15.8M-62.2M-571.6K1.5967.511,0521,668272,870283,390
2011-01-05$15.72$15.5011.8%3.4%7.3%10.5%11.4%1.4%1.8%10.8M-37.4M-581.7K0.2991.583,206930266,244284,096
2011-01-06$15.73$15.5012.0%3.4%7.1%11.4%11.7%0.4%2.1%8.4M-31.8M-613.4K0.3466.193,2741,102267,148283,970
2011-01-07$15.79$15.5011.0%3.3%7.1%6.8%13.1%3.3%1.5%14.6M-48.1M-624.5K0.2750.591,390378268,872283,952
2011-01-10$15.71$15.5011.4%3.9%7.3%8.6%13.2%3.2%1.7%2.5M-16.9M-557.3K5.2061.677724,012268,780284,190
2011-01-11$15.72$15.509.7%3.7%7.1%1.4%11.2%3.4%1.7%6.3M-22.7M-576.2K0.2675.053,416902268,904287,880
2011-01-12$15.81$15.5010.0%3.0%7.3%2.6%12.2%3.0%1.5%20.9M-51.8M-561.2K0.6161.201,228746268,048287,968
2011-01-13$15.79$15.5010.5%3.0%6.5%4.6%15.1%4.4%0.8%21.9M-52.8M-550.2K10.8771.397508,156268,270288,512
2011-01-14$15.87$15.5010.5%3.0%6.0%4.8%10.9%4.0%1.3%18.9M-66.7M-494.5K0.52101.662,2421,176268,510294,930
2011-01-18$15.91$15.5010.7%3.1%5.3%5.6%12.9%2.8%1.0%51.2M-87.9M-493.7K1.12101.309801,096267,170294,830
2011-01-19$15.87$15.5010.1%2.9%5.5%3.0%12.6%2.7%1.8%44.2M-81.1M-481.0K3.24100.251,0863,522267,120295,234
2011-01-20$15.99$15.5011.2%3.2%6.0%7.7%15.1%3.1%0.7%72.4M-113.0M-480.5K1.3015.1526,57834,428266,830298,018
2011-01-21$15.97$15.5010.4%3.0%5.9%4.5%11.0%4.8%1.3%57.0M-119.6M-560.6K0.2191.9419,7244,184289,916331,908
2011-01-24$16.07$15.509.1%2.6%6.1%0.0%9.0%4.2%3.3%2.6M-43.4M-513.0K0.47106.895,4402,58088,540114,122
2011-01-25$16.04$16.0010.2%2.9%6.2%4.6%10.2%2.4%2.3%2.3M-40.0M-526.1K0.1963.105,2821,00091,924115,568
2011-01-26$15.98$16.008.7%2.5%6.4%0.0%8.9%4.1%2.9%3.2M-39.9M-528.8K0.8990.388,9267,98494,082115,998
2011-01-27$16.04$16.009.2%2.6%6.2%2.0%10.4%3.8%2.5%3.7M-45.8M-569.6K0.6692.588,1405,338101,556122,154
2011-01-28$15.82$16.008.2%2.4%8.1%0.0%11.6%3.1%1.7%2.1M-25.8M-593.8K2.2497.594761,068105,236126,970
2011-01-31$15.86$16.0010.6%3.0%8.1%10.1%10.9%4.1%1.2%1.8M-27.4M-590.7K0.0279.9220,490338105,140127,716