XLU Options History — June 2012

In June 2012, XLU traded between $17.86 and $18.57. ATM implied volatility averaged 13.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.6% (HV 20d: 8.4%). Max pain ranged from $17.50 to $18.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2012-06-14: Highest Volume — 1,243,406 contracts
  • 2012-06-07: Largest IV spike — 62.9% change
  • 2012-06-08: Highest IV Rank — 56.4%
  • 2012-06-01: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.29$17.86$18.57$17.86$18.50
Max Pain$18.31$17.50$18.50$17.50$18.50
ATM IV13.1%9.2%25.4%15.4%10.0%
Expected Move3.3%2.6%4.4%4.4%2.9%
HV 20d8.4%6.8%9.9%6.8%9.7%
HV 60d8.5%8.0%9.1%8.8%8.8%
IV Rank18.8%6.8%56.4%25.8%9.4%
IV Percentile35.8%7.5%95.2%58.7%13.1%
Term Structure1.4%-1.3%3.2%-1.3%0.6%
VWIV12.4%9.7%17.0%17.0%10.3%
Skew 25d4.2%2.5%5.7%5.4%4.8%
Skew 10d8.8%5.8%13.2%13.2%8.5%
Call IV 25d10.2%7.3%12.1%12.1%7.3%
Put IV 25d14.4%11.3%17.5%17.5%12.1%
Bid-Ask Spread %56.7240.8496.2860.5873.71
Gamma HHI0.380.200.590.480.27
Net GEX7.4M-2.6M17.9M11.1M3.5M
Net DEX-87.2M-227.0M38.6M-60.5M-36.9M
Net VEX-948.8K-1.1M-842.2K-954.7K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0114.280.972.45
Total Volume76,045.817,6081,243,40611,63614,778
Total OI427,470.286298,790535,972460,708396,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$17.86$17.5015.4%4.4%6.8%25.8%17.0%5.4%-1.3%11.1M-60.5M-954.7K0.9760.585,8965,740196,566264,142
2012-06-04$17.91$18.0011.4%3.7%6.9%13.5%14.0%5.2%2.1%14.1M-82.0M-894.3K0.9260.358,6327,974197,282266,636
2012-06-05$17.98$18.0012.9%3.7%6.9%18.1%13.6%5.6%2.2%17.9M-105.8M-936.9K1.3054.198,91811,588203,226274,282
2012-06-06$18.23$18.0014.7%3.7%8.3%23.7%12.6%4.9%1.8%17.5M-167.0M-862.6K0.8947.537,5566,710207,336280,196
2012-06-07$18.36$18.0023.9%3.3%8.6%52.0%12.0%5.7%1.9%16.2M-203.4M-871.5K1.5243.258,09012,312210,634284,944
2012-06-08$18.41$18.0025.4%3.2%8.1%56.4%12.5%4.7%1.4%13.6M-209.6M-932.5K2.3365.804,2409,880214,158294,162
2012-06-11$18.39$18.0015.3%3.5%8.1%25.6%13.6%4.6%1.8%15.0M-187.1M-879.0K2.5659.425,12013,098215,324301,814
2012-06-12$18.41$18.5012.0%3.4%8.1%15.4%14.1%4.3%2.0%12.9M-205.2M-842.2K0.8540.847,3606,236216,560312,024
2012-06-13$18.41$18.5012.7%3.4%7.6%17.5%13.3%5.0%1.8%13.1M-172.7M-931.9K0.6445.629,0445,794216,968314,088
2012-06-14$18.55$18.5011.1%3.2%7.8%12.6%11.1%2.5%3.2%8.3M-227.0M-865.2K0.0152.651,231,48811,918217,168318,804
2012-06-15$18.48$18.5011.7%3.4%7.7%14.6%13.4%4.5%1.7%2.5M-101.5M-856.8K2.8395.615,73816,258147,528323,848
2012-06-18$18.57$18.5011.3%3.2%7.7%13.2%11.7%3.6%0.4%3.2M-60.3M-899.7K0.7147.1315,53011,072118,808179,982
2012-06-19$18.50$18.5011.0%3.1%8.0%12.3%10.8%2.9%1.0%3.6M-51.2M-950.1K0.3544.676,8602,430127,996186,228
2012-06-20$18.31$18.5010.2%2.9%9.0%9.8%10.6%3.6%1.1%3.0M-28.0M-947.9K5.2645.663,13216,478131,734189,690
2012-06-21$18.13$18.5012.9%3.7%9.6%18.3%13.0%3.9%0.9%254.9K9.9M-963.9K1.2548.997,3789,210131,666199,256
2012-06-22$18.13$18.5011.3%3.2%9.5%13.3%11.7%2.5%0.9%243.8K12.5M-946.8K14.2896.282,57636,786130,706203,212
2012-06-25$18.09$18.5011.6%3.3%9.6%14.3%14.1%2.8%1.2%-2.6M38.6M-1.1M4.0159.731,7306,944130,658234,614
2012-06-26$18.11$18.5011.5%3.3%9.5%14.0%11.4%3.4%1.3%-1.0M22.9M-1.0M12.3349.002,20427,168130,812236,398
2012-06-27$18.33$18.509.5%2.7%9.9%7.8%9.7%3.8%1.5%1.3M-3.3M-1.1M0.4148.0411,0004,488132,124247,180
2012-06-28$18.39$18.509.2%2.6%9.9%6.8%10.2%3.8%1.8%2.6M-12.4M-1.1M1.8051.962,7184,890140,734250,812
2012-06-29$18.50$18.5010.0%2.9%9.7%9.4%10.3%4.8%0.6%3.5M-36.9M-1.1M2.4573.714,28610,492142,520254,056