XLU Options History — March 2012

In March 2012, XLU traded between $17.27 and $17.84. ATM implied volatility averaged 9.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.8% (HV 20d: 7.8%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.37.

Notable Days

  • 2012-03-15: Highest Volume — 243,746 contracts
  • 2012-03-13: Largest IV spike — 56.9% change
  • 2012-03-08: Highest IV Rank — 17.2%
  • 2012-03-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.48$17.27$17.84$17.50$17.52
Max Pain$17.11$17.00$17.50$17.00$17.00
ATM IV9.6%7.0%13.2%12.3%8.9%
Expected Move2.7%2.0%3.5%3.5%2.5%
HV 20d7.8%5.5%10.0%5.9%10.0%
HV 60d10.2%8.6%11.5%11.5%8.6%
IV Rank7.4%0.0%17.2%14.3%5.8%
IV Percentile7.8%0.0%34.5%25.0%4.4%
Term Structure1.8%-0.8%3.5%-0.8%1.5%
VWIV10.6%8.3%13.7%12.8%9.2%
Skew 25d3.1%1.9%4.3%2.6%2.3%
Skew 10d6.9%4.2%10.6%6.4%4.7%
Call IV 25d9.0%7.4%11.8%11.8%8.2%
Put IV 25d12.1%9.9%14.5%14.4%10.5%
Bid-Ask Spread %42.9929.1170.5629.1139.30
Gamma HHI0.250.190.390.230.27
Net GEX260.6K-12.5M8.9M-3.5M3.9M
Net DEX-12.3M-70.4M30.7M-3.1M-28.0M
Net VEX-834.8K-910.1K-783.9K-910.1K-811.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.0312.880.441.00
Total Volume24,7771,696243,7468,4821,696
Total OI390,245.545286,578469,348453,316326,754

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$17.50$17.0012.3%3.5%5.9%14.3%12.8%2.6%-0.8%-3.5M-3.1M-910.1K0.4429.115,8782,604189,290264,026
2012-03-02$17.50$17.0011.7%3.3%5.9%12.5%13.7%2.0%-0.8%-2.7M-4.8M-892.7K0.9033.1023,52221,110191,768265,912
2012-03-05$17.52$17.0011.1%3.1%5.8%10.8%12.6%4.2%2.3%-1.6M-23.5M-846.1K2.7266.512,2166,018192,166259,734
2012-03-06$17.46$17.0012.9%3.3%5.8%16.5%12.0%4.2%2.5%-2.9M-7.4M-857.0K0.9147.778,2967,546186,718256,926
2012-03-07$17.46$17.008.8%3.1%5.5%3.4%11.3%4.1%2.8%-1.3M-21.6M-850.8K12.8849.081,80623,268189,774258,126
2012-03-08$17.52$17.0013.2%3.1%5.5%17.2%11.1%3.6%2.1%-2.5M-11.2M-863.5K3.4842.931,0283,578189,874264,902
2012-03-09$17.59$17.009.0%3.0%5.5%4.1%11.3%3.5%2.3%918.2K-32.7M-852.7K3.4843.624,09614,264190,110266,818
2012-03-12$17.79$17.007.0%2.0%6.7%0.0%10.5%4.2%3.5%4.6M-70.4M-808.5K0.8255.369,3187,612193,226268,476
2012-03-13$17.84$17.5010.9%2.2%6.7%12.1%9.3%4.3%2.8%3.6M-48.9M-877.1K0.3542.0214,4365,002195,646273,374
2012-03-14$17.58$17.509.5%3.1%8.8%7.7%11.4%3.7%2.6%8.9M-49.4M-794.3K1.6233.974,3747,078194,856270,528
2012-03-15$17.56$17.5010.3%3.0%8.6%10.3%9.9%2.8%3.0%2.9M-41.5M-788.1K0.0349.24236,2067,540195,652273,696
2012-03-16$17.39$17.509.5%2.7%8.5%7.7%10.3%1.9%2.7%-12.5M30.7M-783.9K0.9942.0621,41221,190160,424274,380
2012-03-19$17.27$17.508.3%2.4%8.8%4.1%9.9%3.5%1.5%596.8K13.3M-785.5K1.8936.955,97811,270115,744170,834
2012-03-20$17.30$17.008.7%2.5%8.9%5.2%10.1%3.3%1.8%-576.6K14.5M-820.4K2.2437.752,4105,402119,870179,468
2012-03-21$17.28$17.007.8%2.2%8.9%2.7%8.6%2.9%1.8%-636.0K20.6M-825.1K1.9333.322,7885,376121,304182,232
2012-03-22$17.29$17.008.0%2.3%8.9%3.2%10.3%3.1%1.1%261.2K12.2M-821.0K4.8331.481,2666,114122,896183,676
2012-03-23$17.30$17.008.3%2.4%8.9%4.1%9.7%2.5%1.6%-898.8K25.2M-853.3K0.3740.437,9622,970122,952190,344
2012-03-26$17.48$17.008.1%2.3%9.6%3.5%8.3%2.1%1.7%2.5M-12.7M-806.0K0.6938.602,5801,776127,952186,898
2012-03-27$17.50$17.008.7%2.5%9.4%5.4%8.8%2.6%1.4%3.4M-16.9M-847.4K4.6243.002,74012,656129,258187,454
2012-03-28$17.38$17.008.9%2.6%9.7%6.0%11.0%2.3%1.4%1.3M-2.1M-846.3K4.8870.561,4967,294130,892194,572
2012-03-29$17.43$17.008.8%2.5%9.7%5.5%10.9%2.4%1.5%2.0M-12.4M-825.3K1.1639.681,8142,108130,640195,260
2012-03-30$17.52$17.008.9%2.5%10.0%5.8%9.2%2.3%1.5%3.9M-28.0M-811.1K1.0039.30850846131,196195,558