XLU Options History — February 2012

In February 2012, XLU traded between $17.34 and $17.54. ATM implied volatility averaged 11.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.6% (HV 20d: 9.0%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2012-02-15: Highest Volume — 48,224 contracts
  • 2012-02-29: Largest IV spike — 30.0% change
  • 2012-02-15: Highest IV Rank — 18.0%
  • 2012-02-15: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.44$17.34$17.54$17.40$17.45
Max Pain$17.05$17.00$17.50$17.50$17.00
ATM IV11.7%9.4%13.4%10.8%12.3%
Expected Move3.5%2.7%3.8%3.1%3.5%
HV 20d9.0%6.0%10.2%9.8%6.0%
HV 60d14.2%11.6%15.7%15.7%11.6%
IV Rank12.5%5.5%18.0%9.7%14.4%
IV Percentile20.7%1.2%39.3%11.9%25.4%
Term Structure0.8%-0.7%2.0%2.0%-0.7%
VWIV13.2%10.9%15.5%11.1%13.6%
Skew 25d3.6%0.9%4.9%1.5%2.6%
Skew 10d7.8%3.5%10.8%3.6%6.5%
Call IV 25d11.4%9.7%12.5%11.2%11.7%
Put IV 25d14.9%12.6%17.1%12.7%14.3%
Bid-Ask Spread %40.6224.2760.2251.3126.92
Gamma HHI0.230.200.260.230.24
Net GEX-3.8M-7.1M-1.6M-3.7M-4.9M
Net DEX6.4M-23.4M37.4M17.6M3.6M
Net VEX-910.0K-961.7K-829.1K-942.4K-903.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.383.791.052.11
Total Volume10,2711,21848,2243,5365,678
Total OI453,052.7434,446500,326443,026450,768

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$17.40$17.5010.8%3.1%9.8%9.7%11.1%1.5%2.0%-3.7M17.6M-942.4K1.0551.311,7261,810198,920244,106
2012-02-02$17.37$17.5011.1%3.2%9.6%10.6%10.9%0.9%1.9%-3.9M18.1M-956.1K2.4950.031,8224,540199,264244,798
2012-02-03$17.41$17.0010.3%3.7%9.7%8.4%15.5%3.8%0.8%-3.1M12.5M-932.6K1.0837.004,5924,972200,294248,708
2012-02-06$17.34$17.0010.8%3.6%9.6%9.6%14.8%4.0%0.9%-5.6M33.2M-886.4K1.2840.471,2241,566200,302251,850
2012-02-07$17.44$17.0010.7%3.6%9.8%9.3%14.3%3.9%0.5%-2.6M-1.2M-899.8K0.5144.973,4081,752199,608252,474
2012-02-08$17.48$17.0010.8%3.7%9.8%9.7%14.1%3.8%0.6%-2.5M-5.8M-896.6K1.4538.822,5143,652200,548252,398
2012-02-09$17.43$17.0012.7%3.6%9.8%15.8%14.3%4.3%0.8%-3.3M4.3M-877.3K3.7960.229943,766199,818253,008
2012-02-10$17.40$17.0013.0%3.7%9.8%16.8%14.5%4.4%1.2%-4.0M8.1M-892.1K1.1448.47570648200,272253,692
2012-02-13$17.38$17.0012.8%3.7%9.8%16.2%13.6%4.4%0.9%-6.2M22.2M-836.1K1.6141.592,4023,870200,436253,798
2012-02-14$17.43$17.0013.1%3.8%9.8%17.0%14.9%4.7%1.2%-7.0M21.9M-829.1K3.7041.521,3224,890200,284255,122
2012-02-15$17.35$17.0013.4%3.8%9.9%18.0%14.4%4.7%1.4%-7.1M37.4M-844.9K0.9941.9224,22623,998200,134257,970
2012-02-16$17.54$17.0012.3%3.5%10.2%14.7%13.5%3.9%1.9%-2.8M-23.4M-958.8K0.8442.425,4184,564218,612279,456
2012-02-17$17.52$17.0012.0%3.4%10.2%13.6%12.4%4.1%1.5%-2.4M-19.2M-948.4K1.2343.6311,85814,626219,990280,336
2012-02-21$17.48$17.0012.2%3.5%10.0%14.3%12.7%3.0%0.1%-2.6M545.8K-961.7K1.0138.375,4025,474181,720252,726
2012-02-22$17.48$17.0010.4%3.0%9.3%8.6%11.2%4.4%0.9%-2.9M-6.3M-917.0K0.9038.604,4123,990183,404253,220
2012-02-23$17.46$17.0011.8%3.4%7.3%12.8%11.7%3.1%-0.4%-4.1M1.9M-923.0K0.8136.328,1746,650184,726255,216
2012-02-24$17.50$17.0011.3%3.2%7.3%11.4%11.5%2.1%0.2%-1.6M-4.9M-951.4K1.2532.721,7442,176183,648260,866
2012-02-27$17.54$17.0012.3%3.5%6.7%14.4%13.9%3.3%-0.4%-2.8M1.2M-924.0K2.8324.272,8888,176182,848260,362
2012-02-28$17.44$17.009.4%2.7%6.3%5.5%11.9%4.9%0.3%-2.9M5.4M-920.1K0.3832.7410,1163,810184,270261,082
2012-02-29$17.45$17.0012.3%3.5%6.0%14.4%13.6%2.6%-0.7%-4.9M3.6M-903.0K2.1126.921,8263,852188,372262,396