XLU Options History — January 2012

In January 2012, XLU traded between $17.23 and $17.67. ATM implied volatility averaged 12.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.2% (HV 20d: 13.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-01-18: Highest Volume — 58,156 contracts
  • 2012-01-12: Largest IV spike — 19.4% change
  • 2012-01-03: Highest IV Rank — 26.3%
  • 2012-01-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.44$17.23$17.67$17.67$17.34
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV12.4%10.3%16.1%16.1%11.3%
Expected Move3.7%3.0%4.6%4.6%3.2%
HV 20d13.6%10.0%16.6%16.5%11.4%
HV 60d16.9%15.9%17.8%17.8%15.9%
IV Rank14.9%8.3%26.3%26.3%11.3%
IV Percentile30.0%7.9%62.3%62.3%17.9%
Term Structure1.5%0.6%2.8%0.6%1.1%
VWIV12.8%10.4%15.7%14.5%12.2%
Skew 25d2.9%1.6%4.0%4.0%2.1%
Skew 10d6.9%1.3%10.8%8.7%3.3%
Call IV 25d11.7%9.7%13.4%13.4%11.7%
Put IV 25d14.6%12.0%17.3%17.3%13.8%
Bid-Ask Spread %45.0531.3158.2031.3158.20
Gamma HHI0.340.200.570.280.23
Net GEX11.2M-6.6M30.0M14.2M-3.6M
Net DEX-25.4M-114.8M62.6M-114.8M31.1M
Net VEX-888.4K-1.0M-777.7K-931.5K-963.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.108.711.861.16
Total Volume22,424.24,70258,15627,1585,158
Total OI527,296.8371,576663,562542,166441,114

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$17.67$17.5016.1%4.6%16.5%26.3%14.5%4.0%0.6%14.2M-114.8M-931.5K1.8631.319,50217,656244,628297,538
2012-01-04$17.57$17.5014.6%4.2%16.5%21.8%14.1%2.6%1.1%14.7M-100.7M-935.8K1.5040.778,62212,956249,916306,464
2012-01-05$17.61$17.5013.7%3.9%16.5%18.9%12.0%2.5%1.8%16.0M-96.8M-957.4K2.6732.512,4546,560256,218312,368
2012-01-06$17.51$17.5013.4%4.2%16.6%17.9%15.7%4.0%1.1%15.7M-74.3M-942.1K1.1144.172,3482,616256,950313,112
2012-01-09$17.52$17.5012.2%4.1%15.7%14.3%13.4%3.8%1.2%18.8M-79.9M-865.9K0.6942.213,3742,326257,172313,846
2012-01-10$17.56$17.5011.8%4.0%15.1%12.9%14.6%3.2%1.7%20.6M-84.7M-845.3K0.4546.664,9922,256258,780315,112
2012-01-11$17.50$17.5011.1%3.8%14.8%10.7%12.6%3.4%1.5%21.4M-66.2M-841.4K0.1142.8312,3821,358259,370315,496
2012-01-12$17.45$17.5013.2%3.8%14.8%17.4%13.4%3.6%1.2%24.0M-57.9M-814.7K0.1044.2122,4542,280260,248316,408
2012-01-13$17.45$17.5013.4%3.8%14.8%18.0%14.4%3.3%1.4%24.2M-58.9M-837.8K3.0641.074,91815,026265,600317,738
2012-01-17$17.43$17.5013.4%3.9%14.4%18.1%13.7%3.8%1.1%29.6M-43.0M-787.9K0.7443.5918,11413,430266,080322,374
2012-01-18$17.43$17.5013.2%3.8%13.3%17.3%13.4%3.6%1.3%30.0M-20.1M-777.7K8.7143.325,99052,166271,464330,666
2012-01-19$17.28$17.5011.9%3.4%13.4%13.3%12.6%3.0%1.2%9.1M62.6M-866.4K0.4445.0817,1287,548273,788379,118
2012-01-20$17.30$17.5011.0%3.2%12.0%10.4%11.3%2.2%1.4%9.6M58.3M-855.0K0.8246.1616,29813,366281,718381,844
2012-01-23$17.40$17.5010.3%3.0%10.0%8.3%10.4%2.3%1.6%-4.6M25.6M-827.4K0.5044.4421,12410,516164,938206,638
2012-01-24$17.23$17.5011.3%3.3%10.3%11.5%10.7%2.3%2.8%-4.4M45.1M-875.7K0.7646.9414,59011,110177,222211,784
2012-01-25$17.52$17.5011.1%3.2%11.9%10.6%11.3%2.1%1.5%-490.5K-7.9M-893.5K1.1152.6217,49819,368183,314218,332
2012-01-26$17.50$17.5010.8%3.1%11.3%9.6%10.7%1.6%1.8%-6.1K-15.3M-932.8K2.0950.4116,53834,486184,804232,902
2012-01-27$17.36$17.5011.4%3.3%11.5%11.6%12.3%1.7%1.8%-6.6M48.6M-1.0M1.5150.186,0929,182196,978264,028
2012-01-30$17.23$17.5013.3%3.8%11.1%17.6%12.6%3.0%1.8%-4.7M42.0M-971.1K3.1554.261,1343,568197,808242,058
2012-01-31$17.34$17.5011.3%3.2%11.4%11.3%12.2%2.1%1.1%-3.6M31.1M-963.7K1.1658.202,3882,770197,958243,156