XLU Options History — October 2011

In October 2011, XLU traded between $16.29 and $17.64. ATM implied volatility averaged 18.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.3% (HV 20d: 18.2%). Max pain ranged from $16.50 to $17.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2011-10-14: Highest Volume — 55,804 contracts
  • 2011-10-25: Largest IV spike — 25.8% change
  • 2011-10-03: Highest IV Rank — 60.5%
  • 2011-10-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$16.29$17.64$16.41$17.43
Max Pain$16.93$16.50$17.50$17.00$17.50
ATM IV18.5%14.7%27.0%27.0%16.3%
Expected Move5.4%4.2%7.7%7.7%4.7%
HV 20d18.2%15.9%19.4%18.9%15.9%
HV 60d26.3%25.6%26.7%26.0%25.6%
IV Rank33.9%22.0%60.5%60.5%26.9%
IV Percentile78.6%57.9%97.6%97.6%70.6%
Term Structure1.1%-0.1%2.4%0.1%1.3%
VWIV19.6%14.6%27.8%27.8%15.6%
Skew 25d5.6%2.9%8.2%6.4%4.5%
Skew 10d12.4%8.7%16.1%16.1%12.0%
Call IV 25d16.8%13.3%25.6%25.6%14.7%
Put IV 25d22.4%16.2%32.0%32.0%19.2%
Bid-Ask Spread %50.6220.8588.8043.6840.68
Gamma HHI0.230.140.360.150.36
Net GEX5.6M-4.2M15.1M-2.9M10.0M
Net DEX-86.0M-236.6M63.5M45.4M-140.4M
Net VEX-1.5M-1.8M-1.3M-1.8M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0316.990.901.53
Total Volume22,058.3815,58855,8047,8168,320
Total OI726,823.81659,756799,644740,300687,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$16.41$17.0027.0%7.7%18.9%60.5%27.8%6.4%0.1%-2.9M45.4M-1.8M0.9043.684,1063,710319,238421,062
2011-10-04$16.29$17.0024.3%7.0%19.0%52.2%27.3%5.7%0.6%-4.2M62.9M-1.7M1.6467.5821,05634,538319,522422,230
2011-10-05$16.34$17.0023.1%6.6%18.7%48.3%21.8%4.6%-0.1%-4.1M63.5M-1.7M2.2242.866,35814,100311,168415,018
2011-10-06$16.56$17.0021.6%6.2%19.4%43.7%25.2%5.1%1.7%-1.7M-1.3M-1.7M6.0820.852,62615,972310,846412,880
2011-10-07$16.70$16.5020.4%6.3%18.2%39.7%23.0%6.7%1.6%374.4K-43.3M-1.6M0.5361.913,9902,128312,424414,152
2011-10-10$17.02$16.5017.7%5.7%19.2%31.3%18.0%5.8%0.8%5.0M-98.8M-1.6M2.1553.606,13413,158313,646412,676
2011-10-11$16.87$16.5017.1%5.6%19.4%29.6%21.4%5.6%1.4%2.4M-60.7M-1.6M1.4249.528,21811,656313,432410,340
2011-10-12$16.83$16.5015.2%5.3%19.3%23.4%19.0%6.9%0.5%2.7M-42.5M-1.5M1.3375.538,74611,672316,812421,920
2011-10-13$16.83$16.5018.1%5.2%18.7%32.6%18.6%6.5%1.4%2.3M-41.1M-1.5M1.7949.102,0023,586321,994425,392
2011-10-14$17.00$17.0016.7%4.8%19.1%28.2%19.0%6.6%1.8%6.6M-85.2M-1.5M16.9949.633,10252,702322,336427,058
2011-10-17$16.90$17.0018.4%5.3%19.0%33.6%21.5%6.2%0.7%3.2M-61.4M-1.5M0.9048.024,6524,170322,726431,806
2011-10-18$16.95$17.0017.5%5.0%18.4%30.9%17.1%6.3%1.6%6.4M-96.0M-1.5M0.8356.8911,6589,622323,916432,364
2011-10-19$17.13$17.0018.3%5.2%17.2%33.2%16.9%4.9%1.4%10.9M-121.4M-1.5M0.8837.9221,23618,788328,820436,936
2011-10-20$17.15$17.0019.7%5.7%16.1%37.7%19.4%8.2%1.1%9.0M-131.0M-1.5M0.4288.8016,8427,018336,384450,042
2011-10-21$17.44$17.0015.7%4.5%16.7%25.3%16.0%5.1%1.4%15.1M-210.2M-1.5M0.0341.2426,824822343,686455,958
2011-10-24$17.36$17.0015.3%4.4%16.9%23.8%17.1%4.8%2.4%10.5M-155.3M-1.4M0.7035.506,1464,278303,372356,384
2011-10-25$17.13$17.0019.2%5.5%17.1%36.1%19.3%6.0%0.8%9.3M-110.9M-1.4M3.1855.715,94618,896305,248358,280
2011-10-26$17.30$17.0015.8%4.5%17.3%25.5%17.6%4.7%1.3%10.1M-142.3M-1.4M2.3754.694,51210,688308,924370,750
2011-10-27$17.64$17.0016.3%4.7%18.5%26.9%14.6%4.4%0.8%13.6M-236.6M-1.3M0.8847.3019,37017,092310,528371,870
2011-10-28$17.50$17.5014.7%4.2%18.4%22.0%15.4%2.9%1.7%13.6M-199.3M-1.3M1.8541.945,88010,906310,060374,042
2011-10-31$17.43$17.5016.3%4.7%15.9%26.9%15.6%4.5%1.3%10.0M-140.4M-1.4M1.5340.683,2925,028308,024379,034