XLU Options History — April 2012

In April 2012, XLU traded between $17.13 and $17.83. ATM implied volatility averaged 11.0%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.3% (HV 20d: 9.7%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.14.

Notable Days

  • 2012-04-20: Highest Volume — 77,016 contracts
  • 2012-04-27: Largest IV spike — 83.6% change
  • 2012-04-27: Highest IV Rank — 32.0%
  • 2012-04-27: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.46$17.13$17.83$17.61$17.83
Max Pain$17.45$17.00$17.50$17.00$17.50
ATM IV11.0%8.5%17.4%9.2%8.5%
Expected Move3.2%2.4%5.0%2.6%2.4%
HV 20d9.7%8.9%10.3%10.1%9.5%
HV 60d8.8%8.5%9.3%8.6%8.5%
IV Rank12.3%4.8%32.0%6.9%4.8%
IV Percentile19.6%2.8%69.4%5.6%2.8%
Term Structure1.9%1.2%3.0%1.7%1.4%
VWIV11.3%9.1%15.1%9.2%12.0%
Skew 25d3.6%1.8%5.1%2.0%4.7%
Skew 10d7.7%3.6%11.7%4.3%9.3%
Call IV 25d9.4%6.9%11.4%8.4%7.6%
Put IV 25d13.0%10.3%16.5%10.4%12.2%
Bid-Ask Spread %55.0744.2473.0744.2453.72
Gamma HHI0.360.230.690.270.47
Net GEX7.5M-6.8M39.9M4.8M15.2M
Net DEX-27.4M-143.3M48.5M-30.9M-143.3M
Net VEX-800.3K-872.1K-743.6K-824.1K-743.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.058.721.958.72
Total Volume9,261.91,70877,0167,4543,576
Total OI343,666.2327,186363,002327,186363,002

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$17.61$17.009.2%2.6%10.1%6.9%9.2%2.0%1.7%4.8M-30.9M-824.1K1.9544.242,5264,928131,506195,680
2012-04-03$17.60$17.009.1%2.6%10.0%6.5%9.1%2.4%1.8%5.2M-32.9M-815.3K1.1244.581,0601,182130,744197,194
2012-04-04$17.57$17.509.5%2.7%10.0%7.8%9.6%2.0%1.5%5.0M-34.3M-808.8K4.0247.738103,258131,298197,634
2012-04-05$17.45$17.509.1%2.6%10.3%6.6%9.4%4.3%1.6%3.2M-7.3M-820.3K0.3145.732,510780131,474197,772
2012-04-09$17.35$17.5010.2%3.2%10.3%9.9%11.5%3.8%2.0%1.2M5.2M-804.1K1.5456.542,5043,862133,170197,640
2012-04-10$17.13$17.5012.0%4.0%10.2%15.4%13.3%4.8%1.3%-4.7M48.5M-793.5K1.4352.412,4943,554134,198199,820
2012-04-11$17.17$17.5013.2%4.0%10.1%19.1%14.0%5.1%1.7%-3.1M35.3M-808.0K4.2347.917783,288135,012200,482
2012-04-12$17.18$17.5013.4%3.8%8.9%19.8%15.1%4.9%2.5%-2.4M36.6M-798.3K5.9055.011,3808,136135,320201,934
2012-04-13$17.13$17.5013.6%3.9%8.9%20.3%13.1%4.5%1.6%-6.8M41.6M-783.9K1.0849.48822886135,814207,302
2012-04-16$17.33$17.5011.7%3.3%9.4%14.5%12.9%4.0%1.6%573.2K15.1M-782.9K0.3053.624,4941,370135,458207,450
2012-04-17$17.41$17.5011.3%3.2%9.2%13.1%12.9%3.6%1.2%5.8M-7.2M-761.6K2.2560.191,5283,440136,280207,534
2012-04-18$17.39$17.5010.9%3.1%9.2%12.2%11.0%4.0%2.0%1.6M-1.6M-766.6K0.0563.678,744418136,740209,332
2012-04-19$17.34$17.5011.2%3.2%9.3%12.8%11.5%3.7%1.9%3.2M10.4M-778.1K2.1448.562,1704,646143,902208,644
2012-04-20$17.51$17.5010.2%2.9%9.9%10.0%10.2%2.9%2.1%39.9M-40.7M-763.3K0.0857.9671,0625,954144,198212,496
2012-04-23$17.43$17.5010.3%2.9%10.0%10.1%10.7%3.2%2.3%14.0M-35.2M-872.1K1.8052.332,1523,866164,846185,196
2012-04-24$17.55$17.509.3%2.7%9.7%7.2%9.3%2.9%2.1%17.4M-79.9M-824.8K0.5565.073,7662,068166,480185,386
2012-04-25$17.64$17.5010.1%2.9%9.9%9.6%10.2%3.4%2.0%17.2M-93.1M-819.5K1.2866.993,0183,854169,148186,034
2012-04-26$17.75$17.509.5%2.7%9.6%7.8%9.6%1.8%3.0%18.2M-113.4M-809.7K0.9973.074,4564,390170,168187,148
2012-04-27$17.80$17.5017.4%5.0%9.6%32.0%10.7%3.3%1.9%15.1M-121.9M-826.8K3.0362.531,3664,142172,104187,784
2012-04-30$17.83$17.508.5%2.4%9.5%4.8%12.0%4.7%1.4%15.2M-143.3M-743.6K8.7253.723683,208172,022190,980