XLU Options History — August 2012

In August 2012, XLU traded between $18.18 and $18.88. ATM implied volatility averaged 11.1%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.1% (HV 20d: 10.1%). Max pain ranged from $18.00 to $18.50. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.22.

Notable Days

  • 2012-08-14: Highest Volume — 73,174 contracts
  • 2012-08-13: Largest IV spike — 80.6% change
  • 2012-08-30: Highest IV Rank — 30.2%
  • 2012-08-07: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.55$18.18$18.88$18.84$18.18
Max Pain$18.24$18.00$18.50$18.50$18.00
ATM IV11.1%7.0%13.2%11.2%13.0%
Expected Move3.4%2.4%3.9%3.2%3.7%
HV 20d10.1%6.3%11.4%10.4%6.3%
HV 60d9.4%9.0%9.6%9.1%9.0%
IV Rank18.1%0.2%30.2%13.1%29.4%
IV Percentile32.3%0.4%56.7%29.8%54.8%
Term Structure0.6%-1.5%3.8%1.3%-1.5%
VWIV12.3%9.8%16.2%11.8%13.6%
Skew 25d3.2%2.5%5.5%2.9%2.8%
Skew 10d6.4%5.0%9.6%5.3%5.0%
Call IV 25d10.4%7.0%11.9%11.3%10.9%
Put IV 25d13.5%12.3%15.2%14.2%13.6%
Bid-Ask Spread %36.8723.6183.5342.5283.53
Gamma HHI0.300.130.540.430.15
Net GEX11.9M-4.4M33.8M27.4M-4.4M
Net DEX-22.5M-168.0M85.7M-156.6M84.3M
Net VEX-1.4M-1.7M-1.2M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.124.913.980.85
Total Volume17,8544,49273,17433,35812,626
Total OI645,447.565594,370685,598633,542621,016

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$18.84$18.5011.2%3.2%10.4%13.1%11.8%2.9%1.3%27.4M-156.6M-1.5M3.9842.526,70226,656340,268293,274
2012-08-02$18.69$18.5012.8%3.7%10.6%17.8%12.3%3.2%1.4%21.0M-85.4M-1.7M0.9444.4214,48213,642341,960315,380
2012-08-03$18.87$18.509.3%2.7%11.0%7.3%9.8%5.5%3.8%32.0M-168.0M-1.6M0.8844.554,5163,986348,356316,028
2012-08-06$18.88$18.009.2%3.6%10.9%6.7%13.2%3.3%0.8%33.8M-131.4M-1.6M1.4030.1410,87215,206351,708318,330
2012-08-07$18.71$18.0012.0%3.9%11.4%15.6%13.7%3.7%0.4%24.2M-70.8M-1.6M0.9627.273,1863,070353,788325,758
2012-08-08$18.66$18.0011.8%3.7%11.4%14.7%12.7%3.4%1.2%25.0M-85.4M-1.5M1.5224.063,2985,012354,740326,952
2012-08-09$18.72$18.009.7%3.8%11.4%9.8%12.7%3.2%0.7%27.9M-84.8M-1.5M0.4324.486,8342,918354,390329,034
2012-08-10$18.77$18.507.0%3.1%11.0%0.2%12.5%3.2%2.3%31.1M-71.9M-1.6M1.6351.935,2708,582354,970330,628
2012-08-13$18.71$18.0012.7%3.5%11.1%27.6%12.6%3.2%0.9%27.3M-88.2M-1.4M0.4931.575,1622,544350,714326,274
2012-08-14$18.73$18.0010.5%3.6%11.1%17.1%10.5%3.2%0.8%23.7M-47.0M-1.5M0.1227.9365,4667,708351,282327,346
2012-08-15$18.64$18.5011.4%3.5%11.1%21.5%13.0%2.9%1.3%8.3M-30.1M-1.4M4.9126.214,47021,942348,640331,946
2012-08-16$18.59$18.5011.8%3.4%11.1%23.6%12.0%3.1%2.0%1.0M-11.9M-1.4M0.5425.647,5084,020332,696342,710
2012-08-17$18.55$18.5011.1%3.2%11.1%20.0%11.2%3.3%2.2%-4.0M-2.0M-1.3M0.6564.8727,02217,680335,180341,964
2012-08-20$18.58$18.5010.8%3.1%10.9%18.8%11.3%2.9%0.2%7.1M-4.6M-1.3M0.9628.255,6445,392275,184319,186
2012-08-21$18.45$18.5010.9%3.1%10.7%18.9%11.9%2.6%0.4%2.8M24.6M-1.3M1.3728.628,30611,394277,312322,958
2012-08-22$18.41$18.5010.5%3.0%10.7%17.2%11.4%3.1%0.2%1.1M41.0M-1.3M0.5724.777,9184,492277,956327,036
2012-08-23$18.23$18.5012.8%3.7%9.4%28.0%16.2%2.8%-0.7%-4.3M85.7M-1.3M1.1024.1910,52011,606283,280328,058
2012-08-24$18.31$18.0011.3%3.2%8.5%21.0%11.6%2.8%-0.5%-1.1M52.7M-1.3M0.7068.277,3045,098283,314325,004
2012-08-27$18.34$18.008.5%2.4%8.3%7.4%12.4%2.5%-0.2%1.3M39.0M-1.3M0.5351.302,9421,550286,338327,004
2012-08-28$18.32$18.0011.4%3.3%8.0%21.4%11.9%2.5%-0.2%-1.1M52.2M-1.2M1.2823.612,0142,570286,228327,986
2012-08-29$18.25$18.0013.1%3.8%7.8%29.9%12.5%3.2%-1.5%-2.3M65.9M-1.2M1.1624.552,4862,878286,644328,812
2012-08-30$18.20$18.0013.2%3.8%7.5%30.2%12.6%3.6%-1.5%-3.2M74.6M-1.2M1.0725.403,9284,220287,472330,190
2012-08-31$18.18$18.0013.0%3.7%6.3%29.4%13.6%2.8%-1.5%-4.4M84.3M-1.2M0.8583.536,8325,794288,700332,316