XLU Options History — September 2011

In September 2011, XLU traded between $16.40 and $17.14. ATM implied volatility averaged 22.5%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.5% (HV 20d: 21.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2011-09-15: Highest Volume — 1,037,668 contracts
  • 2011-09-22: Largest IV spike — 19.8% change
  • 2011-09-12: Highest IV Rank — 62.4%
  • 2011-09-23: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.78$16.40$17.14$16.84$16.81
Max Pain$16.90$16.00$17.00$16.00$17.00
ATM IV22.5%16.4%27.6%21.7%22.4%
Expected Move6.1%4.7%7.0%6.2%6.4%
HV 20d21.9%17.1%37.5%37.3%17.3%
HV 60d24.9%24.3%25.5%24.3%25.5%
IV Rank46.3%27.4%62.4%43.9%46.2%
IV Percentile92.5%82.1%98.8%94.4%92.1%
Term Structure0.8%-2.2%4.4%-1.4%0.8%
VWIV22.7%16.7%28.7%24.5%24.5%
Skew 25d6.3%3.0%8.4%7.6%6.1%
Skew 10d13.6%0.8%22.4%15.8%22.4%
Call IV 25d19.3%16.6%22.0%19.4%22.0%
Put IV 25d25.6%21.3%28.6%27.0%28.1%
Bid-Ask Spread %62.1519.9393.3478.8166.89
Gamma HHI0.210.160.400.230.16
Net GEX7.0M-742.1K24.9M12.2M946.8K
Net DEX-82.8M-227.0M14.5M-143.6M-39.9M
Net VEX-1.8M-2.0M-1.7M-2.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.023.922.200.75
Total Volume66,5063,6621,037,66820,73610,164
Total OI853,635.714642,0701,015,544974,658733,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$16.84$16.0021.7%6.2%37.3%43.9%24.5%7.6%-1.4%12.2M-143.6M-2.0M2.2078.816,48014,256471,668502,990
2011-09-02$16.64$16.0023.0%6.6%37.5%47.9%24.0%6.5%-2.2%9.0M-89.4M-2.0M0.8152.614,4863,622474,854509,198
2011-09-06$16.58$17.0026.9%6.3%30.5%60.3%23.7%8.3%0.6%7.4M-63.0M-1.9M1.5861.319,82215,538475,364510,930
2011-09-07$16.73$17.0024.7%6.2%28.4%53.4%22.7%7.2%0.6%10.2M-122.9M-1.9M0.1434.5012,2641,682477,730514,368
2011-09-08$16.74$17.0024.9%5.9%26.4%54.0%20.3%6.3%0.8%12.5M-135.5M-1.9M1.4437.0412,24017,620488,064512,700
2011-09-09$16.40$17.0025.4%6.4%22.1%55.7%23.3%8.4%0.9%5.0M-29.5M-1.9M1.9984.087,29214,518483,880525,288
2011-09-12$16.54$17.0027.6%6.4%21.9%62.4%26.9%7.4%0.1%5.1M-48.6M-1.8M1.1540.084,6225,338481,200528,430
2011-09-13$16.65$17.0026.1%6.2%18.6%57.6%22.2%7.1%1.1%7.4M-75.2M-1.8M0.6019.932,2841,378480,862528,908
2011-09-14$16.76$17.0021.1%5.2%18.7%42.0%20.1%6.6%2.5%12.3M-133.9M-1.7M0.8176.376,7085,462481,366529,274
2011-09-15$16.97$17.0018.4%5.3%19.1%33.6%20.6%3.0%1.6%19.8M-227.0M-1.7M0.0251.261,013,27824,390482,534533,010
2011-09-16$17.01$17.0016.4%4.7%18.6%27.4%16.7%5.2%4.4%24.9M-140.0M-1.7M0.3365.2922,3927,448412,710536,522
2011-09-19$16.91$17.0018.4%5.3%18.4%33.5%19.9%6.4%1.5%4.1M-74.2M-1.7M1.1266.127,9148,860286,526355,544
2011-09-20$17.14$17.0019.9%5.7%18.8%38.4%19.3%6.3%0.5%5.0M-114.4M-1.8M0.8780.9221,70018,848288,766360,946
2011-09-21$16.80$17.0019.5%5.6%19.6%37.1%23.5%3.9%1.2%2.6M-49.0M-1.8M3.9293.346,61225,932303,052372,612
2011-09-22$16.54$17.0023.4%6.7%18.9%49.2%24.3%3.5%1.2%-742.1K14.5M-1.8M2.0282.268,15416,448305,366392,786
2011-09-23$16.70$17.0024.3%7.0%18.2%52.0%24.0%8.0%0.1%944.9K-16.3M-1.9M1.4153.426,2068,740305,888399,268
2011-09-26$16.77$17.0021.9%6.3%18.3%44.4%24.6%7.3%0.7%1.6M-46.3M-1.8M0.8447.777,8766,632307,254403,614
2011-09-27$17.00$17.0021.7%6.2%17.5%44.0%22.0%6.5%0.6%1.8M-70.5M-1.8M0.2766.863,028824312,732408,896
2011-09-28$16.90$17.0022.2%6.4%17.5%45.4%21.6%5.4%0.5%639.4K-41.7M-1.8M0.6685.716,7824,506314,076409,032
2011-09-29$16.96$17.0021.6%6.2%17.1%43.8%28.7%5.2%-0.1%3.7M-93.4M-1.7M2.2560.574,3889,892312,964411,998
2011-09-30$16.81$17.0022.4%6.4%17.3%46.2%24.5%6.1%0.8%946.8K-39.9M-1.8M0.7566.895,7944,370315,490417,690