XLU Options History — November 2012

In November 2012, XLU traded between $17.04 and $18.16. ATM implied volatility averaged 13.1%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.5% (HV 20d: 12.6%). Max pain ranged from $17.50 to $18.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2012-11-26: Highest Volume — 156,790 contracts
  • 2012-11-14: Largest IV spike — 44.0% change
  • 2012-11-16: Highest IV Rank — 42.2%
  • 2012-11-16: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.41$17.04$18.16$18.16$17.66
Max Pain$17.81$17.50$18.50$18.50$17.50
ATM IV13.1%9.8%15.2%10.0%12.5%
Expected Move3.9%2.9%4.4%2.9%3.6%
HV 20d12.6%10.3%13.5%10.6%13.1%
HV 60d10.3%8.9%11.1%9.1%11.1%
IV Rank31.6%15.4%42.2%16.1%28.7%
IV Percentile70.2%23.8%89.7%25.4%65.5%
Term Structure-0.7%-2.3%5.6%5.6%0.0%
VWIV13.3%9.2%15.8%9.2%12.6%
Skew 25d1.9%-0.5%4.1%1.5%-0.5%
Skew 10d4.1%-1.9%8.9%-1.9%1.8%
Call IV 25d12.6%10.4%14.5%10.4%12.8%
Put IV 25d14.6%11.9%17.3%11.9%12.3%
Bid-Ask Spread %42.1421.91109.6254.1388.41
Gamma HHI0.260.170.500.170.50
Net GEX-4.6M-19.5M38.0M-5.7M38.0M
Net DEX175.0M-57.3M299.2M65.3M-57.3M
Net VEX-1.0M-1.4M-760.0K-981.4K-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.066.036.030.32
Total Volume41,883.3332,898156,79015,00649,904
Total OI691,220.857576,996925,814576,996925,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$18.16$18.5010.0%2.9%10.6%16.1%9.2%1.5%5.6%-5.7M65.3M-981.4K6.0354.132,13412,872241,488335,508
2012-11-02$18.13$18.5011.9%3.4%10.3%25.9%10.2%2.3%1.2%-10.2M98.4M-1.1M1.04109.621,4181,480241,442345,598
2012-11-05$17.84$18.0012.4%4.1%11.4%28.4%14.1%3.9%-0.9%-14.9M151.6M-955.6K1.3337.4410,93014,526241,988345,408
2012-11-06$17.84$18.0012.8%3.9%11.5%30.2%13.6%4.1%-0.3%-15.1M153.8M-948.2K1.4433.192,2363,218247,666355,332
2012-11-07$17.46$18.0013.0%4.2%13.4%31.3%15.8%3.4%-0.9%-18.1M233.7M-931.6K1.1332.728,84410,004247,896356,684
2012-11-08$17.44$18.0013.2%4.2%13.4%32.2%14.2%3.0%-1.3%-18.6M246.3M-932.0K0.8937.108,5447,606250,744360,624
2012-11-09$17.34$18.0012.7%3.8%13.5%29.9%13.0%1.4%0.4%-18.6M241.6M-1.0M4.16108.906,67227,754256,272365,878
2012-11-12$17.23$18.0010.6%4.0%13.5%19.1%14.4%2.2%-0.5%-18.3M287.1M-762.3K1.4732.8511,65017,136258,774357,302
2012-11-13$17.24$18.009.8%4.0%13.5%15.4%12.7%2.2%-0.9%-19.5M284.9M-779.4K1.3637.1812,05016,414262,096369,996
2012-11-14$17.11$18.0014.2%4.1%13.4%37.2%13.2%1.8%-0.9%-17.4M285.1M-760.0K0.4225.6018,6587,850267,804368,798
2012-11-15$17.04$18.0015.0%4.3%13.1%41.3%14.6%1.8%-1.3%-16.2M299.2M-806.6K0.2128.9299,39020,754277,236370,766
2012-11-16$17.18$17.5015.2%4.4%12.5%42.2%13.0%1.5%-2.1%-6.4M231.7M-1.0M0.2860.0329,8568,252367,628382,582
2012-11-19$17.20$17.5013.7%3.9%12.3%34.7%13.1%1.9%-1.5%-4.7M194.8M-933.3K2.0623.875,60611,572314,730358,082
2012-11-20$17.16$17.5013.2%3.8%12.3%32.4%13.0%0.7%-2.3%-4.8M208.7M-944.1K1.2622.288,86411,158316,432355,558
2012-11-21$17.08$17.5013.3%3.8%12.3%32.7%13.0%1.7%-1.0%-6.1M221.0M-899.5K2.3021.9119,78445,580320,828359,170
2012-11-23$17.05$17.5013.4%3.8%12.2%33.4%13.6%1.8%-1.5%-8.6M250.8M-940.2K0.4022.1211,0284,420331,942379,948
2012-11-26$17.23$17.5014.8%4.3%13.1%40.6%13.6%1.6%-1.9%-2.6M165.7M-1.1M0.0622.36147,8988,892338,846381,076
2012-11-27$17.34$17.5015.0%4.3%13.3%41.4%14.6%0.6%-2.3%16.5M84.5M-1.3M0.1027.0889,5549,102455,724384,050
2012-11-28$17.38$17.5013.5%3.9%13.4%33.9%13.9%2.0%-1.1%24.4M38.9M-1.4M0.8430.3728,97024,370512,764389,000
2012-11-29$17.44$17.5014.1%4.0%12.9%36.8%14.1%1.8%-1.6%31.1M-10.2M-1.4M0.2928.8932,9369,664520,740395,424
2012-11-30$17.66$17.5012.5%3.6%13.1%28.7%12.6%-0.5%0.0%38.0M-57.3M-1.4M0.3288.4137,87412,030525,390400,424