XLU Options History — October 2012

In October 2012, XLU traded between $18.11 and $18.70. ATM implied volatility averaged 9.6%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.7% (HV 20d: 8.8%). Max pain ranged from $18.00 to $18.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.33.

Notable Days

  • 2012-10-31: Highest Volume — 37,100 contracts
  • 2012-10-03: Largest IV drop — 16.2% change
  • 2012-10-24: Highest IV Rank — 25.4%
  • 2012-10-24: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.37$18.11$18.70$18.11$18.45
Max Pain$18.14$18.00$18.50$18.00$18.50
ATM IV9.6%7.2%11.8%9.9%10.9%
Expected Move2.8%2.1%3.4%2.8%3.1%
HV 20d8.8%7.5%10.1%9.8%8.9%
HV 60d9.1%8.5%9.5%9.3%8.5%
IV Rank13.9%2.2%25.4%15.4%20.6%
IV Percentile21.9%1.2%55.6%20.2%41.3%
Term Structure1.4%0.6%2.1%0.6%1.4%
VWIV10.0%7.6%11.4%9.9%10.9%
Skew 25d1.9%1.3%3.4%1.6%1.6%
Skew 10d4.6%1.6%8.9%3.3%4.3%
Call IV 25d9.5%6.4%11.2%9.2%11.2%
Put IV 25d11.4%9.5%13.1%10.8%12.7%
Bid-Ask Spread %60.4137.59111.4542.1248.71
Gamma HHI0.220.140.270.170.16
Net GEX7.8M-2.8M19.8M6.4M2.5M
Net DEX-18.4M-134.9M56.9M15.0M7.7M
Net VEX-1.1M-1.2M-928.8K-1.1M-928.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.1019.820.7619.82
Total Volume12,396.4761,24237,1007,28237,100
Total OI627,815.238525,506679,548638,598543,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$18.11$18.009.9%2.8%9.8%15.4%9.9%1.6%0.6%6.4M15.0M-1.1M0.7642.124,1363,146352,624285,974
2012-10-02$18.18$18.009.2%2.6%9.9%11.8%8.6%1.6%0.8%6.9M1.2M-1.1M1.7441.288,37814,616352,144287,406
2012-10-03$18.30$18.007.7%2.2%10.1%4.5%9.4%1.9%0.9%7.3M-12.4M-1.1M1.2337.592,9703,650357,002300,976
2012-10-04$18.41$18.007.2%2.1%9.7%2.2%7.6%3.4%1.9%14.3M-60.3M-1.2M0.5562.6115,6568,566356,800302,626
2012-10-05$18.38$18.007.8%2.6%9.7%4.9%9.2%1.8%1.5%12.6M-34.3M-1.2M0.17110.718,0881,366364,348305,660
2012-10-08$18.39$18.008.5%2.7%9.7%8.7%10.3%1.9%1.5%12.6M-32.8M-1.2M2.1855.89390852364,360305,504
2012-10-09$18.36$18.008.3%2.7%9.6%7.5%10.4%2.1%1.6%10.0M-27.2M-1.2M0.8356.186,4385,374364,514305,998
2012-10-10$18.33$18.008.7%2.8%9.5%9.5%10.6%2.1%1.4%7.1M-2.0M-1.1M2.0053.849241,846363,492306,272
2012-10-11$18.35$18.009.5%2.7%8.0%13.7%9.7%1.9%1.6%10.3M-25.5M-1.1M0.5555.835,1582,860363,928307,140
2012-10-12$18.25$18.0010.5%3.0%7.8%18.9%10.0%1.9%1.8%5.6M6.5M-1.1M0.57111.453,4641,964363,938306,442
2012-10-15$18.32$18.009.5%2.7%7.7%13.8%10.8%1.8%1.4%8.9M-21.7M-1.1M1.3555.622,6423,554362,388307,054
2012-10-16$18.39$18.009.3%2.7%7.5%12.5%9.2%1.3%1.6%8.5M-35.7M-1.0M0.5965.661,020600361,368308,532
2012-10-17$18.63$18.0010.0%2.9%8.6%16.1%10.3%2.0%1.0%16.0M-101.8M-1.0M2.4847.895,06812,576361,648308,578
2012-10-18$18.70$18.0010.5%3.0%8.6%18.5%10.2%1.9%1.1%15.3M-134.9M-1.0M0.1048.5319,1542,006357,738313,774
2012-10-19$18.57$18.0010.1%2.9%8.2%16.6%9.6%1.6%1.8%19.8M-102.5M-1.1M0.44105.9521,8969,580365,252314,296
2012-10-22$18.50$18.509.9%2.8%7.7%15.8%9.8%1.3%1.5%6.3M-2.7M-995.3K2.5540.342,8387,224239,114286,392
2012-10-23$18.34$18.5010.4%3.0%8.5%18.1%10.1%1.9%1.8%437.9K28.8M-973.7K3.7837.982,2268,422235,346291,890
2012-10-24$18.21$18.5011.8%3.4%8.8%25.4%10.9%1.9%2.1%-2.4M53.2M-964.8K5.6247.742,05811,572235,602292,828
2012-10-25$18.30$18.5010.6%3.0%8.8%19.0%11.4%2.2%1.3%-2.8M56.9M-976.2K0.3644.116,4462,312236,784301,600
2012-10-26$18.29$18.5010.5%3.0%8.6%18.6%11.4%2.4%1.7%-1.1M38.1M-943.7K1.2398.539801,210240,996301,966
2012-10-31$18.45$18.5010.9%3.1%8.9%20.6%10.9%1.6%1.4%2.5M7.7M-928.8K19.8248.711,78235,318241,122302,704