XLU Options History — March 2011

In March 2011, XLU traded between $15.44 and $16.41. ATM implied volatility averaged 13.3%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.7% (HV 20d: 12.6%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-03-22: Highest Volume — 107,102 contracts
  • 2011-03-10: Largest IV spike — 48.2% change
  • 2011-03-16: Highest IV Rank — 46.9%
  • 2011-03-16: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.87$15.44$16.41$15.88$15.94
Max Pain$15.80$15.50$16.00$16.00$15.50
ATM IV13.3%10.5%19.4%11.4%10.5%
Expected Move3.9%3.0%5.6%3.3%3.0%
HV 20d12.6%8.6%15.3%9.5%14.5%
HV 60d9.8%8.2%11.1%8.2%11.0%
IV Rank21.4%9.6%46.9%13.5%9.6%
IV Percentile37.9%9.5%86.9%17.9%9.5%
Term Structure0.5%-4.0%1.8%0.4%1.1%
VWIV14.2%11.2%21.0%12.3%11.5%
Skew 25d3.6%0.3%6.6%5.4%0.9%
Skew 10d8.7%1.0%30.9%10.2%3.7%
Call IV 25d12.4%8.3%18.0%10.5%11.9%
Put IV 25d16.0%12.4%23.5%15.9%12.8%
Bid-Ask Spread %70.7147.82110.4852.1063.19
Gamma HHI0.270.180.400.380.23
Net GEX17.0M-3.8M37.2M22.1M17.0M
Net DEX-70.6M-256.2M80.9M-89.5M-83.0M
Net VEX-1.8M-2.1M-1.4M-1.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0711.310.070.18
Total Volume30,270.4351,808107,10211,4643,138
Total OI669,119.13526,806833,420526,806715,652

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$15.88$16.0011.4%3.3%9.5%13.5%12.3%5.4%0.4%22.1M-89.5M-1.4M0.0752.1010,712752376,706150,100
2011-03-02$15.93$16.0010.8%3.1%8.9%11.1%13.2%4.2%-0.7%24.5M-103.3M-1.5M2.4354.344,68011,374384,838150,302
2011-03-03$16.10$16.0012.7%3.7%9.0%19.0%12.4%0.5%-4.0%27.8M-132.7M-1.5M0.8493.8112,29410,310386,526158,036
2011-03-04$16.00$16.0010.9%3.5%8.8%11.1%13.8%6.6%1.3%28.2M-125.0M-1.5M3.8267.631,4305,468396,140166,534
2011-03-07$16.07$16.0011.2%3.6%8.6%12.4%11.2%3.5%0.5%28.1M-142.7M-1.5M0.7165.5418,95813,378396,550171,254
2011-03-08$16.27$16.0012.9%3.3%9.3%19.6%11.8%4.4%1.8%30.5M-197.9M-1.7M0.4965.3921,07810,392413,380184,286
2011-03-09$16.41$16.0010.6%3.9%9.7%10.1%13.3%3.9%1.2%29.5M-256.2M-1.7M0.1396.1566,9128,636427,032194,508
2011-03-10$16.24$16.0015.7%4.5%10.6%31.6%14.7%5.0%0.3%30.5M-211.9M-2.0M1.0966.488,0208,742481,660202,336
2011-03-11$16.30$16.0011.3%3.3%10.6%13.2%16.2%3.8%1.8%37.2M-233.2M-1.9M1.1679.658,3249,642473,936209,598
2011-03-14$16.03$16.0014.8%4.2%12.2%27.6%16.8%3.1%0.4%35.4M-147.9M-1.8M3.6257.9912,50445,294478,632214,348
2011-03-15$15.72$16.0017.5%5.0%14.0%39.0%19.4%4.9%0.1%12.5M-19.7M-1.8M11.3160.224,59851,988480,692240,080
2011-03-16$15.53$16.0019.4%5.6%14.6%46.9%20.3%5.5%-0.5%-1.3M75.9M-1.7M1.1662.3137,33043,376477,038274,054
2011-03-17$15.46$16.0017.4%5.0%14.6%38.7%21.0%5.1%0.8%-132.6K80.9M-2.0M0.22106.5953,73012,020512,480310,876
2011-03-18$15.44$16.0015.3%4.4%14.6%29.7%16.1%3.3%1.5%-3.8M75.4M-2.0M0.4261.5529,65412,504518,362315,058
2011-03-21$15.62$15.5013.4%3.8%15.3%21.7%12.8%2.6%1.6%6.1M9.3M-1.9M0.2251.158,4081,812404,426249,890
2011-03-22$15.65$15.5013.9%4.0%15.2%23.7%15.2%2.9%1.0%7.5M8.9M-1.9M0.2649.3884,91822,184410,324251,404
2011-03-23$15.65$15.5014.1%4.1%15.2%24.9%13.5%4.1%0.3%7.2M9.3M-2.0M0.3097.163,6281,098424,160272,616
2011-03-24$15.70$15.5013.4%3.9%15.3%21.9%12.6%3.1%1.0%8.0M-2.8M-2.0M0.20105.008,3701,642423,334273,258
2011-03-25$15.70$15.5013.5%3.9%15.0%22.0%13.7%3.0%0.7%9.1M-17.3M-2.0M0.4755.241,234574429,728274,214
2011-03-28$15.66$15.5013.6%3.9%14.6%22.7%12.7%2.7%0.2%7.6M5.6M-2.0M0.15110.481,900278429,852274,290
2011-03-29$15.79$15.5010.6%3.0%14.4%9.9%11.4%3.2%1.8%10.6M-37.4M-2.1M0.2057.214,076810430,768274,342
2011-03-30$15.97$15.5011.3%3.2%15.0%12.8%11.3%0.3%-0.3%16.7M-89.4M-2.1M0.1847.8215,3502,700431,892274,248
2011-03-31$15.94$15.5010.5%3.0%14.5%9.6%11.5%0.9%1.1%17.0M-83.0M-2.1M0.1863.192,648490439,578276,074