XLU Options History — April 2011

In April 2011, XLU traded between $15.74 and $16.58. ATM implied volatility averaged 11.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.5% (HV 20d: 11.9%). 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 1.08.

Notable Days

  • 2011-04-29: Highest Volume — 49,878 contracts
  • 2011-04-11: Largest IV spike — 21.7% change
  • 2011-04-13: Highest IV Rank — 29.7%
  • 2011-04-12: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.07$15.74$16.58$16.06$16.58
Max Pain$15.63$15.50$16.00$15.50$16.00
ATM IV11.4%9.3%15.3%10.4%10.0%
Expected Move3.4%2.9%4.1%3.0%2.9%
HV 20d11.9%9.5%14.6%14.6%11.3%
HV 60d11.6%11.1%12.1%11.1%11.7%
IV Rank13.5%4.6%29.7%9.2%7.5%
IV Percentile21.5%2.8%58.3%8.3%5.2%
Term Structure2.2%1.0%3.4%1.4%2.9%
VWIV12.0%10.2%15.5%10.7%10.6%
Skew 25d2.5%0.2%4.0%0.2%4.0%
Skew 10d6.4%2.3%8.8%2.9%6.2%
Call IV 25d10.9%7.7%12.6%11.7%8.4%
Put IV 25d13.4%11.4%15.4%11.8%12.3%
Bid-Ask Spread %81.2552.44124.0369.1052.44
Gamma HHI0.290.210.410.240.40
Net GEX25.7M12.7M43.4M19.2M39.8M
Net DEX-147.3M-351.2M-35.3M-110.1M-351.2M
Net VEX-2.2M-2.3M-2.0M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.027.920.360.80
Total Volume19,634.21,09849,8781,09849,878
Total OI754,934.1714,302810,052714,302785,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$16.06$15.5010.4%3.0%14.6%9.2%10.7%0.2%1.4%19.2M-110.1M-2.2M0.3669.10808290438,318275,984
2011-04-04$16.05$15.5010.3%3.5%14.5%9.0%13.8%3.3%1.0%19.8M-120.7M-2.1M3.58124.031,1824,230438,610276,236
2011-04-05$15.98$15.5010.5%3.3%13.8%9.5%11.1%3.6%2.3%17.5M-94.6M-2.1M0.2659.762,988782439,326280,376
2011-04-06$16.10$15.5010.6%3.3%13.7%10.1%11.1%2.6%1.9%21.6M-126.0M-2.1M0.0268.9329,144670440,750281,050
2011-04-07$16.04$15.5011.7%3.4%13.3%14.8%12.5%1.9%2.3%21.3M-119.2M-2.1M0.5779.3318,42010,482464,834281,522
2011-04-08$15.99$15.509.3%3.6%13.2%4.6%12.2%2.9%1.4%22.4M-120.6M-2.2M0.1368.0714,9441,884482,966291,766
2011-04-11$15.79$15.5011.3%3.8%12.6%13.0%13.9%2.9%1.7%13.3M-45.7M-2.1M0.32117.4915,7625,074486,602293,310
2011-04-12$15.74$15.5013.7%4.1%10.6%23.1%15.5%3.2%1.5%12.7M-35.3M-2.0M2.2673.119442,130497,350291,870
2011-04-13$15.82$15.5015.3%3.9%9.6%29.7%13.4%2.9%1.3%15.8M-43.5M-2.1M0.04112.4724,242952496,356293,030
2011-04-14$15.88$15.5012.4%3.6%9.5%17.8%13.4%2.5%2.6%21.2M-80.4M-2.1M0.1567.1524,1283,730516,892293,160
2011-04-15$16.09$15.5011.8%3.4%10.3%15.1%11.5%2.1%2.8%28.4M-156.9M-2.2M0.5779.4421,00811,982513,708293,644
2011-04-18$15.92$15.5013.1%3.7%10.6%20.4%13.6%2.2%1.6%22.6M-105.5M-2.2M1.23106.061,8242,242485,638239,674
2011-04-19$15.91$15.5011.3%3.3%10.6%13.2%11.3%1.8%3.3%23.4M-84.4M-2.1M0.78105.6910,9708,560486,624240,934
2011-04-20$16.14$15.5011.3%3.2%11.6%13.0%10.8%2.7%3.4%32.6M-162.3M-2.2M0.12115.1316,4941,900488,140235,268
2011-04-21$16.12$15.5010.5%3.0%11.6%9.8%10.6%2.1%3.3%29.6M-172.1M-2.2M0.0580.8828,2341,314489,924235,066
2011-04-25$16.14$16.0011.6%3.3%11.6%14.2%11.5%2.1%2.4%33.4M-171.8M-2.2M1.5059.563,9305,898500,232235,622
2011-04-26$16.23$16.0012.1%3.5%11.6%16.2%10.3%3.1%2.4%36.9M-226.3M-2.2M7.9261.401,91615,172510,932241,094
2011-04-27$16.40$16.0010.9%3.1%11.8%11.5%11.0%1.0%1.7%39.6M-282.0M-2.2M0.9266.2717,26615,840510,690254,574
2011-04-28$16.50$16.0010.2%2.9%11.3%8.4%10.2%3.7%2.5%43.4M-337.2M-2.2M0.0958.6514,2461,224523,916267,018
2011-04-29$16.58$16.0010.0%2.9%11.3%7.5%10.6%4.0%2.9%39.8M-351.2M-2.3M0.8052.4427,74422,134518,274267,402