XLU Options History — May 2012

In May 2012, XLU traded between $17.71 and $17.95. ATM implied volatility averaged 12.8%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 5.2% (HV 20d: 7.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.11.

Notable Days

  • 2012-05-18: Highest Volume — 112,928 contracts
  • 2012-05-23: Largest IV spike — 82.1% change
  • 2012-05-30: Highest IV Rank — 43.4%
  • 2012-05-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.83$17.71$17.95$17.92$17.93
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV12.8%8.3%21.1%8.3%13.7%
Expected Move3.8%2.4%6.1%2.4%3.9%
HV 20d7.6%6.4%9.8%9.5%6.7%
HV 60d8.6%8.4%8.8%8.5%8.8%
IV Rank17.8%4.0%43.4%4.2%20.5%
IV Percentile35.3%2.0%85.3%2.8%48.0%
Term Structure0.8%-0.4%2.6%1.9%-0.1%
VWIV14.0%8.8%19.1%8.8%12.9%
Skew 25d4.7%2.6%6.9%4.1%5.1%
Skew 10d10.0%7.3%13.7%9.3%13.2%
Call IV 25d10.8%6.9%13.3%6.9%10.8%
Put IV 25d15.5%11.0%18.2%11.0%15.9%
Bid-Ask Spread %44.7133.5860.1556.0648.14
Gamma HHI0.460.320.570.460.57
Net GEX13.5M8.9M17.5M14.7M15.3M
Net DEX-108.6M-163.0M-50.0M-160.4M-81.8M
Net VEX-821.2K-962.5K-679.5K-679.5K-909.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0411.861.160.47
Total Volume17,946.8181,876112,9288,21234,328
Total OI404,970.455362,626453,174362,626453,174

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$17.92$17.508.3%2.4%9.5%4.2%8.8%4.1%1.9%14.7M-160.4M-679.5K1.1656.063,7984,414172,196190,430
2012-05-02$17.82$17.508.3%2.4%9.8%4.0%9.8%2.6%1.9%16.9M-129.4M-766.4K0.8260.154,3983,618173,770190,264
2012-05-03$17.77$17.509.4%2.7%9.8%7.5%11.1%2.9%1.5%16.2M-116.7M-774.9K10.2651.846026,178176,460191,254
2012-05-04$17.78$17.509.9%3.5%9.4%9.0%13.7%4.5%1.0%14.2M-115.9M-777.6K6.5736.881,0186,692176,840195,896
2012-05-07$17.75$17.5013.2%4.1%9.1%19.1%13.8%4.7%-0.4%15.3M-106.0M-795.2K1.6337.798181,334177,532202,192
2012-05-08$17.78$17.5010.7%3.7%7.5%11.5%15.8%5.1%1.1%15.5M-112.8M-792.7K1.3935.981,5602,176177,970202,816
2012-05-09$17.79$17.5010.3%3.7%7.5%10.2%15.7%4.9%-0.0%16.3M-118.5M-775.4K1.7234.911,6202,792178,850202,956
2012-05-10$17.95$17.5012.0%3.4%7.9%15.5%14.2%3.6%1.2%12.0M-160.3M-705.6K4.7937.055,08824,362179,562201,926
2012-05-11$17.95$17.5012.2%3.5%7.8%16.1%13.3%4.1%1.5%10.0M-163.0M-724.5K1.1737.085,9646,974182,316217,656
2012-05-14$17.95$17.5013.4%3.8%7.0%19.8%15.2%4.0%0.8%11.9M-153.9M-753.7K1.1940.034,6245,496185,142223,026
2012-05-15$17.83$17.5013.6%3.9%7.5%20.5%15.8%5.3%1.4%11.9M-134.8M-783.4K10.8933.588969,756187,514226,088
2012-05-16$17.82$17.5013.6%3.9%7.5%20.4%15.2%3.8%1.2%11.4M-127.9M-791.5K0.8352.803,6523,042187,610232,882
2012-05-17$17.75$17.5016.3%4.7%7.6%28.5%19.1%4.9%-0.1%14.4M-96.8M-842.6K3.7641.592,5529,596189,956234,796
2012-05-18$17.71$17.5016.2%4.6%6.9%28.2%13.2%4.9%-0.0%17.5M-100.0M-812.1K0.0435.73109,1083,820190,130233,478
2012-05-21$17.76$17.5013.6%3.9%6.7%20.4%17.4%5.1%0.2%8.9M-54.1M-840.7K1.9847.559,58418,932175,308212,340
2012-05-22$17.86$17.5010.5%3.0%6.5%10.8%13.9%5.2%1.1%10.8M-76.2M-900.4K1.3842.7710,34214,278183,162220,210
2012-05-23$17.76$17.5019.1%5.5%6.6%37.1%15.4%5.5%1.9%10.2M-50.0M-925.4K4.1955.344,49418,820189,574228,636
2012-05-24$17.83$17.5010.3%2.9%6.5%10.1%11.2%5.5%2.6%13.3M-85.5M-962.5K0.2852.771,464412193,250246,004
2012-05-25$17.88$17.5012.7%3.6%6.4%17.6%14.9%5.5%0.1%13.5M-76.6M-955.8K1.9143.101,1682,226193,592246,018
2012-05-29$17.95$17.5012.7%3.7%6.6%17.7%11.9%6.9%0.1%15.1M-96.8M-908.8K0.0649.2523,1441,408194,580247,536
2012-05-30$17.84$17.5021.1%6.1%6.7%43.4%15.4%4.8%-0.4%11.1M-72.7M-887.8K11.8653.141,42216,860196,092248,366
2012-05-31$17.93$17.5013.7%3.9%6.7%20.5%12.9%5.1%-0.1%15.3M-81.8M-909.5K0.4748.1423,34210,986196,438256,736