XLU Options History — June 2011

In June 2011, XLU traded between $16.36 and $16.76. ATM implied volatility averaged 14.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.7% (HV 20d: 9.5%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2011-06-16: Highest Volume — 1,361,050 contracts
  • 2011-06-02: Largest IV spike — 54.5% change
  • 2011-06-08: Highest IV Rank — 53.1%
  • 2011-06-02: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.56$16.36$16.76$16.76$16.74
Max Pain$16.43$16.00$16.50$16.00$16.50
ATM IV14.2%10.5%18.4%10.5%11.6%
Expected Move3.9%3.0%4.7%3.0%3.3%
HV 20d9.5%8.4%11.0%10.5%9.6%
HV 60d10.8%10.2%12.2%12.2%10.4%
IV Rank35.7%11.3%53.1%11.3%23.3%
IV Percentile54.7%13.1%89.7%13.1%31.0%
Term Structure1.3%-2.7%3.7%-0.5%2.2%
VWIV14.5%10.4%18.6%15.2%10.4%
Skew 25d3.3%1.4%4.5%3.6%2.0%
Skew 10d8.4%3.2%19.6%9.0%6.4%
Call IV 25d12.9%10.4%15.1%12.4%10.4%
Put IV 25d16.2%12.4%19.4%16.1%12.4%
Bid-Ask Spread %33.3912.62112.6012.6254.38
Gamma HHI0.280.170.400.280.21
Net GEX30.6M7.9M50.1M41.3M18.0M
Net DEX-191.1M-372.9M-43.5M-372.9M-155.5M
Net VEX-1.9M-2.1M-1.7M-2.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.038.961.620.21
Total Volume84,518.9091,5981,361,0505,1929,278
Total OI818,966.909582,2201,020,742918,040638,024

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$16.76$16.0010.5%3.0%10.5%11.3%15.2%3.6%-0.5%41.3M-372.9M-2.1M1.6212.621,9783,214569,082348,958
2011-06-02$16.73$16.0016.3%4.7%10.5%39.0%15.7%3.5%-2.7%39.9M-339.0M-2.1M1.0016.6310,10210,102568,128350,376
2011-06-03$16.55$16.5015.7%4.0%11.0%36.4%12.9%3.6%1.1%38.5M-275.0M-2.1M0.0622.2928,8881,652576,212356,940
2011-06-06$16.52$16.5018.4%4.2%10.8%49.7%14.0%4.5%1.4%40.7M-229.0M-2.1M0.8014.8811,0028,828587,786357,834
2011-06-07$16.54$16.5016.6%4.1%10.8%50.8%13.4%3.9%1.4%42.1M-270.5M-2.1M1.5116.513,8685,844591,464363,260
2011-06-08$16.55$16.5016.9%4.1%9.2%53.1%14.8%3.7%1.2%46.8M-261.6M-2.0M1.0249.3922,98023,380590,984365,090
2011-06-09$16.59$16.5013.9%4.0%9.2%35.7%14.2%3.8%1.8%44.2M-276.9M-2.1M0.2616.817,3501,890612,704386,084
2011-06-10$16.50$16.5013.7%3.9%8.4%34.8%18.6%3.4%1.6%44.4M-238.3M-2.1M8.9666.242,98826,776617,088386,866
2011-06-13$16.56$16.5014.1%4.0%8.5%36.9%15.4%3.5%2.0%48.5M-266.2M-2.0M0.4216.993,3641,414614,038392,882
2011-06-14$16.59$16.5014.5%4.2%8.5%39.9%15.9%3.3%1.3%50.1M-282.0M-2.0M0.0522.18107,1224,938614,994392,464
2011-06-15$16.42$16.5014.9%4.3%8.6%42.4%15.4%3.7%1.6%46.2M-194.5M-1.9M0.8255.1430,25224,902623,856396,886
2011-06-16$16.55$16.5016.1%4.6%9.2%49.4%17.1%4.3%1.0%47.3M-238.5M-1.9M0.0329.241,327,76633,284585,446393,016
2011-06-17$16.47$16.5014.9%4.3%9.1%41.9%14.7%3.3%2.1%29.5M-78.0M-1.8M0.5761.4532,12018,214426,788400,746
2011-06-20$16.59$16.5013.7%3.9%9.6%34.4%14.2%3.0%1.6%12.1M-99.9M-1.7M0.9448.075,7705,452318,558263,662
2011-06-21$16.59$16.5013.6%3.9%9.0%33.9%15.7%3.7%1.5%12.3M-107.4M-1.7M1.3314.016,2228,270323,934265,992
2011-06-22$16.49$16.0013.2%3.8%9.1%31.2%13.2%3.0%1.3%10.6M-81.5M-1.7M1.0813.107,1887,736325,482272,976
2011-06-23$16.36$16.5012.5%3.6%9.5%27.0%15.2%2.9%1.4%7.9M-43.5M-1.7M1.9540.867,12013,872331,378280,590
2011-06-24$16.39$16.5012.8%3.7%9.5%29.2%13.1%3.0%1.3%9.6M-57.8M-1.7M0.4322.5011,3304,864334,934287,850
2011-06-27$16.48$16.5013.8%4.0%9.8%35.1%14.4%3.0%0.9%11.8M-86.9M-1.7M1.1712.823,7324,378340,292291,408
2011-06-28$16.59$16.5013.8%4.0%9.7%35.2%13.6%3.4%0.8%13.8M-114.7M-1.7M0.0715.911,496102341,354294,460
2011-06-29$16.73$16.5010.6%3.0%9.6%15.3%11.5%1.4%3.7%16.9M-134.0M-1.7M1.81112.602,9865,402341,904294,502
2011-06-30$16.74$16.5011.6%3.3%9.6%23.3%10.4%2.0%2.2%18.0M-155.5M-1.7M0.2154.387,6781,600342,278295,746