XLU Options History — December 2011

In December 2011, XLU traded between $17.14 and $18.12. ATM implied volatility averaged 15.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 2.9% (HV 20d: 18.6%). Max pain ranged from $16.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2011-12-15: Highest Volume — 1,859,132 contracts
  • 2011-12-14: Largest IV spike — 76.3% change
  • 2011-12-14: Highest IV Rank — 59.4%
  • 2011-12-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.59$17.14$18.12$17.55$17.99
Max Pain$17.19$16.50$17.50$16.50$17.50
ATM IV15.7%11.3%26.7%17.9%14.4%
Expected Move4.2%3.2%5.1%5.1%4.1%
HV 20d18.6%15.3%19.9%19.9%15.6%
HV 60d18.2%17.4%18.8%18.6%17.5%
IV Rank25.1%11.3%59.4%32.2%21.2%
IV Percentile56.9%22.6%96.8%72.6%53.2%
Term Structure2.1%-1.1%4.4%-1.1%1.6%
VWIV16.1%12.8%30.2%19.3%14.7%
Skew 25d4.3%1.8%6.0%4.7%3.2%
Skew 10d10.5%6.8%13.9%12.1%10.3%
Call IV 25d13.5%10.9%16.0%16.0%13.4%
Put IV 25d17.8%14.1%21.4%20.7%16.5%
Bid-Ask Spread %35.5012.4751.1542.3612.47
Gamma HHI0.390.230.570.390.24
Net GEX14.9M7.1M21.6M16.1M14.1M
Net DEX-154.8M-218.6M944.7K-191.8M-190.3M
Net VEX-1.0M-1.2M-842.7K-1.2M-926.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.014.410.781.84
Total Volume104,989.9053,9061,859,13210,01620,002
Total OI652,310.19463,368793,816738,686526,106

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$17.55$16.5017.9%5.1%19.9%32.2%19.3%4.7%-1.1%16.1M-191.8M-1.2M0.7842.365,6324,384338,382400,304
2011-12-02$17.38$16.5014.2%4.1%19.8%20.5%16.5%5.4%-0.4%15.3M-165.3M-1.2M1.0251.1523,39823,848341,336401,438
2011-12-05$17.51$17.0018.1%4.5%19.9%32.7%16.4%5.7%2.5%17.8M-194.3M-1.2M1.1733.066,0087,050361,914423,892
2011-12-06$17.55$17.0018.3%4.5%19.8%33.3%16.8%5.7%2.3%18.7M-218.6M-1.1M0.4529.155,0082,276357,308424,622
2011-12-07$17.52$17.0018.7%4.7%19.7%34.7%16.1%5.9%1.9%18.9M-197.9M-1.2M3.4431.822,6749,186358,192425,616
2011-12-08$17.28$17.0016.5%4.8%18.7%27.8%17.9%5.8%2.5%14.4M-124.6M-1.1M1.7130.3310,06217,206352,774426,900
2011-12-09$17.50$17.0018.4%4.4%19.2%33.6%14.4%5.0%2.6%19.4M-208.4M-1.1M1.0036.424,3124,330357,680436,136
2011-12-12$17.35$17.0017.4%4.4%18.8%30.3%16.5%6.0%3.0%16.6M-148.2M-1.1M3.1038.684,31213,372352,966431,108
2011-12-13$17.41$17.0015.1%4.2%18.5%23.3%18.1%5.0%2.9%18.8M-167.9M-1.0M1.7731.445,93610,486347,510429,414
2011-12-14$17.36$17.0026.7%4.3%18.5%59.4%17.0%5.4%3.3%16.5M-124.0M-975.6K1.3933.944,5806,380348,720431,550
2011-12-15$17.53$17.0015.0%4.3%18.2%23.1%30.2%4.3%2.7%21.6M-189.1M-982.3K0.0133.891,847,35811,774349,834430,644
2011-12-16$17.27$17.5013.5%3.9%19.0%18.3%13.8%4.4%3.7%8.4M-35.4M-923.8K0.9450.566,5586,154261,112437,298
2011-12-19$17.14$17.5014.6%4.2%19.0%21.8%14.4%3.4%2.7%7.1M944.7K-878.1K4.4135.134,63220,434209,680253,688
2011-12-20$17.42$17.5012.9%3.7%19.3%16.4%13.4%3.1%4.4%11.1M-89.3M-924.7K0.4942.8224,95412,308211,970271,602
2011-12-21$17.75$17.5013.9%4.0%19.6%19.5%13.8%3.3%1.4%13.2M-139.2M-943.1K0.8642.7612,05810,412224,584274,868
2011-12-22$17.80$17.5011.3%3.2%18.2%11.3%12.8%3.3%2.0%12.5M-142.9M-913.8K1.7238.151,6442,830217,692277,356
2011-12-23$17.90$17.5011.6%3.3%18.2%12.3%13.3%3.2%2.2%12.4M-162.9M-891.5K0.6827.882,3301,576218,296277,460
2011-12-27$18.06$17.5013.5%3.9%18.0%18.3%13.7%1.8%1.1%13.1M-186.9M-842.7K0.4935.938,1424,006218,842278,092
2011-12-28$17.98$17.5013.3%3.8%17.9%17.6%13.4%3.0%1.8%12.8M-170.6M-849.6K0.9535.268,3167,920220,148279,008
2011-12-29$18.12$17.5013.9%4.0%15.3%19.4%16.6%2.9%1.8%13.6M-203.4M-853.3K0.4332.3014,6046,336226,900285,572
2011-12-30$17.99$17.5014.4%4.1%15.6%21.2%14.7%3.2%1.6%14.1M-190.3M-926.6K1.8412.477,05212,950239,536286,570