XLU Options History — December 2012

In December 2012, XLU traded between $17.12 and $17.98. ATM implied volatility averaged 13.6%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 11.5%). Max pain ranged from $17.50 to $18.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-12-20: Highest Volume — 1,487,828 contracts
  • 2012-12-13: Largest IV drop — 20.8% change
  • 2012-12-12: Highest IV Rank — 47.6%
  • 2012-12-04: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.65$17.12$17.98$17.55$17.45
Max Pain$17.80$17.50$18.00$17.50$18.00
ATM IV13.6%11.4%16.2%14.7%13.5%
Expected Move3.7%3.3%4.3%4.2%3.9%
HV 20d11.5%9.9%14.3%13.2%14.3%
HV 60d11.4%11.0%12.6%11.2%12.6%
IV Rank35.2%24.6%47.6%39.7%36.3%
IV Percentile77.8%51.6%96.4%89.7%84.9%
Term Structure-0.2%-3.9%1.5%-2.0%-0.7%
VWIV14.3%11.5%25.5%14.9%13.9%
Skew 25d2.6%0.6%4.1%1.1%1.8%
Skew 10d6.2%2.0%9.6%2.0%3.7%
Call IV 25d12.1%10.2%14.1%13.7%13.4%
Put IV 25d14.7%13.5%16.5%14.7%15.2%
Bid-Ask Spread %40.754.8094.2625.454.80
Gamma HHI0.310.210.450.450.22
Net GEX14.5M-19.9M33.6M31.2M-10.0M
Net DEX16.9M-126.0M211.8M-23.7M142.6M
Net VEX-1.1M-1.4M-759.9K-1.4M-771.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.022.550.681.01
Total Volume99,912.23,9021,487,82827,76818,138
Total OI845,533.7601,898967,664920,876625,786

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$17.55$17.5014.7%4.2%13.2%39.7%14.9%1.1%-2.0%31.2M-23.7M-1.4M0.6825.4516,55611,212516,602404,274
2012-12-04$17.46$17.5014.8%4.3%12.1%40.5%14.7%0.6%-2.2%25.6M43.8M-1.3M0.8633.4516,43814,088500,446410,946
2012-12-05$17.74$17.5014.8%4.2%13.5%40.2%15.7%1.3%-3.9%31.8M-95.4M-1.3M0.3032.3559,84817,726497,492411,856
2012-12-06$17.70$17.5014.7%4.2%11.0%39.6%15.4%1.4%-2.9%29.9M-72.6M-1.3M1.0636.8811,44612,114505,900422,194
2012-12-07$17.75$17.5014.8%3.6%10.9%40.2%12.3%2.4%0.5%28.8M-55.9M-1.3M2.2890.587,12216,272503,300428,918
2012-12-10$17.73$17.5014.9%3.6%10.7%41.0%14.6%3.0%0.3%29.7M-55.9M-1.3M0.0541.6515,976816504,106436,438
2012-12-11$17.77$17.5016.0%3.4%10.3%46.2%11.9%3.0%1.3%27.8M-77.2M-1.3M0.1538.3433,1804,920504,684436,412
2012-12-12$17.75$17.5016.2%3.7%10.3%47.6%13.0%3.1%0.3%33.6M-83.5M-1.3M0.1035.2974,8647,674530,188437,476
2012-12-13$17.67$18.0012.9%3.7%10.0%30.6%15.0%2.6%0.6%23.5M16.2M-1.1M0.5333.379,8645,218484,004437,938
2012-12-14$17.61$18.0012.6%3.6%9.9%29.1%11.5%2.5%1.1%19.8M52.5M-1.1M0.0672.8337,5282,214483,658439,196
2012-12-17$17.87$18.0012.0%3.4%10.7%26.3%13.0%2.8%1.0%24.6M-81.5M-1.0M0.4736.129,8784,670491,786439,654
2012-12-18$17.98$18.0011.4%3.3%10.8%24.6%14.2%4.1%1.5%23.4M-126.0M-1.0M1.1230.4516,74818,736492,654442,412
2012-12-19$17.88$18.0012.4%3.5%11.0%30.0%12.9%3.6%0.6%20.7M-70.5M-1.1M0.6529.537,1404,622487,032457,932
2012-12-20$17.90$18.0011.4%3.3%10.7%24.9%25.5%3.8%0.8%18.7M-43.5M-1.0M0.0226.931,465,11622,712489,144459,426
2012-12-21$17.66$18.0012.3%3.5%12.1%29.9%12.7%1.8%-1.0%-19.9M195.5M-827.1K2.5590.244,47211,408330,860467,156
2012-12-24$17.58$18.0012.6%3.6%11.8%31.2%12.8%2.9%0.1%-8.2M127.0M-795.4K1.028.191,9361,966283,370318,528
2012-12-26$17.42$18.0012.5%3.6%12.1%30.9%13.1%3.7%0.0%-12.4M165.6M-785.6K0.5127.184,2102,166284,706319,170
2012-12-27$17.39$18.0013.1%3.7%12.1%33.7%14.4%3.7%-0.0%-12.2M167.7M-798.1K1.3527.056,9449,376286,836319,990
2012-12-28$17.12$18.0014.5%4.2%13.2%41.5%14.2%2.5%-0.0%-16.1M211.8M-759.9K1.7094.264,7848,146291,432326,772
2012-12-31$17.45$18.0013.5%3.9%14.3%36.3%13.9%1.8%-0.7%-10.0M142.6M-771.3K1.014.809,0129,126292,840332,946