XLU Options History — July 2011

In July 2011, XLU traded between $16.52 and $16.97. ATM implied volatility averaged 12.5%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.2% (HV 20d: 10.3%). Max pain ranged from $16.50 to $16.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-07-21: Highest Volume — 68,034 contracts
  • 2011-07-11: Largest IV spike — 46.4% change
  • 2011-07-29: Highest IV Rank — 64.0%
  • 2011-07-29: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.79$16.52$16.97$16.94$16.59
Max Pain$16.50$16.50$16.50$16.50$16.50
ATM IV12.5%7.7%16.2%9.5%16.2%
Expected Move3.7%2.7%4.6%2.7%4.6%
HV 20d10.3%9.5%11.1%9.5%11.1%
HV 60d10.2%9.9%10.6%10.6%10.2%
IV Rank36.2%0.0%64.0%9.4%64.0%
IV Percentile42.7%0.0%84.5%4.0%84.5%
Term Structure1.7%-0.2%3.8%1.6%1.3%
VWIV13.1%10.8%17.7%11.7%17.7%
Skew 25d2.8%-4.9%5.4%4.0%3.7%
Skew 10d8.4%5.1%12.8%5.1%7.9%
Call IV 25d11.2%8.1%14.7%8.1%14.7%
Put IV 25d14.1%7.6%18.3%12.1%18.3%
Bid-Ask Spread %64.6731.61101.8256.4557.25
Gamma HHI0.230.190.260.240.22
Net GEX18.2M10.1M22.8M21.5M13.5M
Net DEX-163.1M-214.9M-74.5M-200.5M-102.3M
Net VEX-1.6M-1.7M-1.4M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.084.981.070.54
Total Volume11,848.81,56468,03418,1046,310
Total OI630,849.1575,972654,156641,766637,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$16.94$16.509.5%2.7%9.5%9.4%11.7%4.0%1.6%21.5M-200.5M-1.6M1.0756.458,7409,364344,978296,788
2011-07-05$16.84$16.509.6%3.4%9.8%9.9%12.2%3.2%1.8%20.4M-184.1M-1.6M0.6231.612,0281,250349,510297,500
2011-07-06$16.86$16.507.7%3.4%9.8%0.0%12.8%3.4%1.7%21.6M-188.2M-1.6M4.9848.632,25811,236347,436295,960
2011-07-07$16.95$16.5011.0%3.2%9.9%25.4%11.5%2.7%2.2%22.5M-214.9M-1.6M2.3244.254,0969,512349,130295,420
2011-07-08$16.89$16.509.8%3.3%10.0%16.3%13.7%3.6%1.9%22.8M-193.2M-1.6M0.9656.735,7785,560350,254293,876
2011-07-11$16.70$16.5014.4%4.0%10.6%50.7%13.0%3.3%1.2%19.9M-153.9M-1.6M1.5157.796,0149,104350,866295,940
2011-07-12$16.77$16.5013.1%3.6%10.6%40.8%16.2%3.5%1.2%21.3M-162.1M-1.6M0.9668.673,8203,678352,870296,850
2011-07-13$16.73$16.5015.5%4.1%10.7%59.1%13.7%3.4%1.4%20.4M-147.4M-1.6M1.3160.022,3203,048354,614297,004
2011-07-14$16.66$16.5014.3%4.1%10.1%50.0%13.4%4.3%1.0%19.2M-132.9M-1.6M0.4955.451,050514355,958298,198
2011-07-15$16.68$16.5014.1%4.1%9.7%48.8%13.5%3.7%1.6%18.2M-145.4M-1.5M0.1334.9033,2524,212355,762298,018
2011-07-18$16.52$16.5013.8%4.0%10.2%46.2%13.6%2.8%1.7%10.1M-74.5M-1.5M0.3466.496,4482,206316,838259,134
2011-07-19$16.66$16.5013.9%4.0%10.3%46.7%13.5%4.2%0.7%13.7M-127.3M-1.5M0.3490.551,434484321,844260,968
2011-07-20$16.73$16.5011.8%3.4%10.4%31.4%11.9%2.7%3.8%14.5M-140.0M-1.5M0.0861.986,642564322,914260,066
2011-07-21$16.95$16.5012.1%3.5%11.1%33.2%10.8%-4.9%2.9%17.3M-212.4M-1.4M0.3085.7652,42615,608322,584260,074
2011-07-22$16.90$16.5012.5%3.6%10.6%36.7%12.7%3.2%1.5%17.8M-179.5M-1.7M0.9578.923,3203,146362,142271,764
2011-07-25$16.97$16.5012.8%3.7%10.7%38.4%11.7%1.8%2.2%18.4M-186.9M-1.6M0.2282.401,316294362,220272,410
2011-07-26$16.92$16.5012.7%3.6%10.7%37.6%12.6%2.2%2.2%17.5M-174.2M-1.6M1.1769.531,6941,988362,480272,530
2011-07-27$16.86$16.5012.4%3.6%10.6%35.9%11.8%-0.1%-0.2%16.6M-174.7M-1.7M0.56101.822,4321,352362,304274,168
2011-07-28$16.75$16.5013.5%3.9%10.5%43.6%15.0%5.4%1.4%16.8M-167.9M-1.6M0.3484.131,854624363,058274,678
2011-07-29$16.59$16.5016.2%4.6%11.1%64.0%17.7%3.7%1.3%13.5M-102.3M-1.6M0.5457.254,1062,204363,026274,848