XLU Options History — May 2011

In May 2011, XLU traded between $16.54 and $17.09. ATM implied volatility averaged 13.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.4% (HV 20d: 10.7%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-05-10: Highest Volume — 87,414 contracts
  • 2011-05-10: Largest IV drop — 21.9% change
  • 2011-05-23: Highest IV Rank — 28.4%
  • 2011-05-17: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.85$16.54$17.09$16.54$16.93
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV13.1%9.7%14.9%11.0%13.3%
Expected Move3.9%3.2%4.3%3.2%3.8%
HV 20d10.7%9.3%11.6%11.2%10.2%
HV 60d12.0%11.6%12.4%11.6%11.9%
IV Rank21.5%6.4%28.4%11.9%24.7%
IV Percentile41.1%4.0%56.7%18.3%45.2%
Term Structure0.8%-1.0%2.7%2.6%-1.0%
VWIV14.4%11.2%17.4%11.2%14.3%
Skew 25d2.8%1.6%4.8%2.7%2.2%
Skew 10d7.2%4.0%10.6%5.8%5.3%
Call IV 25d12.3%10.3%13.6%10.3%11.9%
Put IV 25d15.2%12.7%17.0%13.0%14.1%
Bid-Ask Spread %21.4811.5243.9411.5213.63
Gamma HHI0.290.230.390.370.27
Net GEX34.5M28.9M38.9M37.2M38.9M
Net DEX-421.8M-525.3M-305.7M-329.5M-452.0M
Net VEX-2.3M-2.6M-2.1M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.135.970.531.37
Total Volume17,412.7622,02087,4143,8106,222
Total OI895,709.333817,580946,356817,580916,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$16.54$16.0011.0%3.2%11.2%11.9%11.2%2.7%2.6%37.2M-329.5M-2.4M0.5311.522,4941,316529,218288,362
2011-05-03$16.69$16.0012.3%3.5%11.5%17.0%11.2%1.8%1.2%36.7M-385.2M-2.3M1.2014.7314,10616,988530,346289,104
2011-05-04$16.67$16.0012.0%3.4%11.3%16.0%11.6%2.8%2.7%38.6M-367.7M-2.3M0.8121.6312,44010,112533,962303,934
2011-05-05$16.55$16.0012.5%3.6%11.6%18.1%13.0%1.6%2.1%36.5M-305.7M-2.4M3.4211.791,7746,070526,838313,260
2011-05-06$16.64$16.0012.4%4.1%11.5%17.7%14.5%2.9%0.2%37.6M-337.2M-2.3M5.9717.171,2647,540527,568316,498
2011-05-09$16.68$16.0012.4%4.0%11.4%17.8%13.5%1.7%0.8%34.8M-346.4M-2.4M0.2615.7329,2087,690527,568323,278
2011-05-10$16.93$16.009.7%3.7%10.9%6.4%15.1%2.0%1.3%32.0M-441.4M-2.3M0.1318.6477,4469,968530,082330,250
2011-05-11$16.86$16.0011.2%3.9%11.0%12.6%15.1%3.5%1.8%34.8M-443.0M-2.6M1.2118.1512,66615,370597,720332,844
2011-05-12$17.04$16.0013.4%3.8%11.2%21.8%13.7%2.2%1.4%30.3M-519.2M-2.4M0.8041.756,1024,872587,450339,874
2011-05-13$16.95$16.0013.9%4.0%11.6%23.7%14.4%3.0%1.5%32.7M-451.2M-2.5M1.2139.875,2886,396585,448341,618
2011-05-16$16.98$16.0014.6%4.2%11.0%26.9%14.7%3.3%0.6%32.2M-458.4M-2.5M0.5215.288,7344,520586,812344,830
2011-05-17$17.09$16.0014.9%4.3%9.8%28.2%15.3%2.8%0.2%28.9M-522.0M-2.4M2.7542.093,0108,286589,964343,924
2011-05-18$17.02$16.0014.7%4.2%10.1%27.2%15.6%2.9%0.7%30.0M-504.5M-2.4M0.2523.4219,1044,842588,756348,988
2011-05-19$17.09$16.0013.9%4.0%9.3%24.0%16.1%2.3%0.6%31.0M-525.3M-2.4M2.1817.813,0966,764589,948351,236
2011-05-20$17.07$16.0013.5%3.9%9.3%25.7%14.7%3.1%1.4%32.3M-524.8M-2.3M1.2518.588,64210,764592,686353,670
2011-05-23$16.90$16.0014.1%4.0%10.4%28.4%14.4%3.5%-0.3%34.3M-406.7M-2.4M0.6943.945,4063,738565,398338,806
2011-05-24$16.82$16.0013.9%4.0%10.6%27.4%15.0%3.3%-0.0%35.3M-400.5M-2.3M2.0022.914,0288,070565,936337,716
2011-05-25$16.81$16.0013.8%3.9%10.1%26.9%17.0%4.8%-0.0%34.7M-371.3M-2.3M0.6212.363,7722,320566,644344,330
2011-05-26$16.77$16.0013.3%3.8%10.1%24.8%14.8%3.4%-0.2%37.3M-377.4M-2.3M0.4418.201,406614568,124345,690
2011-05-27$16.81$16.0013.3%3.8%10.0%24.9%17.4%3.6%-0.8%38.5M-387.7M-2.3M1.2811.891,4121,808568,354346,094
2011-05-31$16.93$16.0013.3%3.8%10.2%24.7%14.3%2.2%-1.0%38.9M-452.0M-2.1M1.3713.632,6223,600568,550348,218