XLU Options History — March 2013

In March 2013, XLU traded between $18.75 and $19.55. ATM implied volatility averaged 9.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.2% (HV 20d: 8.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-03-14: Highest Volume — 1,001,394 contracts
  • 2013-03-11: Largest IV spike — 32.1% change
  • 2013-03-01: Highest IV Rank — 33.5%
  • 2013-03-01: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.07$18.75$19.55$18.75$19.55
Max Pain$18.88$18.00$19.00$18.00$19.00
ATM IV9.8%8.0%12.9%12.9%8.1%
Expected Move2.7%2.3%3.7%3.7%2.3%
HV 20d8.6%7.6%9.1%8.4%8.6%
HV 60d10.3%8.7%11.0%10.9%8.7%
IV Rank16.8%7.2%33.5%33.5%8.0%
IV Percentile31.4%5.6%78.2%78.2%6.3%
Term Structure0.7%-3.2%1.6%-3.2%0.8%
VWIV9.7%8.1%14.9%14.9%8.4%
Skew 25d2.7%1.7%4.1%2.6%4.1%
Skew 10d6.6%4.4%8.4%8.2%7.5%
Call IV 25d8.4%5.5%10.9%10.9%5.5%
Put IV 25d11.1%9.6%13.5%13.5%9.6%
Bid-Ask Spread %38.7014.9069.2540.9169.25
Gamma HHI0.290.210.390.390.22
Net GEX22.3M12.0M33.8M27.2M16.8M
Net DEX-207.1M-320.5M-99.1M-218.0M-193.2M
Net VEX-1.8M-2.3M-1.4M-1.5M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.044.342.480.99
Total Volume71,668.72,9481,001,39412,27412,636
Total OI501,931.6382,208599,588515,458482,808

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$18.75$18.0012.9%3.7%8.4%33.5%14.9%2.6%-3.2%27.2M-218.0M-1.5M2.4840.913,5268,748301,420214,038
2013-03-04$18.93$18.509.2%2.6%8.9%13.9%10.0%3.3%1.4%28.1M-285.6M-1.5M0.4336.6713,4165,712301,718215,288
2013-03-05$19.06$18.5011.2%2.7%8.5%24.6%9.7%3.1%0.8%30.0M-304.9M-1.5M0.2233.3325,6465,734310,464216,860
2013-03-06$19.03$18.5010.9%2.7%8.6%23.1%9.8%2.9%0.9%31.5M-310.0M-1.5M0.8034.016,6765,314319,462220,620
2013-03-07$18.95$19.008.6%2.7%8.9%10.7%9.8%3.6%0.7%33.8M-272.2M-1.4M0.0853.97107,8228,700320,870224,710
2013-03-08$18.98$19.008.0%2.6%8.9%7.2%10.6%3.2%1.1%30.5M-300.3M-1.7M0.5714.9011,9286,840356,966229,428
2013-03-11$19.03$19.0010.5%2.6%8.9%20.8%10.6%3.0%1.2%30.1M-316.7M-1.7M2.0532.712,6545,428359,766232,524
2013-03-12$18.98$19.0012.3%2.5%9.0%30.6%10.0%2.9%1.1%31.8M-285.3M-1.6M1.6735.453,0985,182360,140232,964
2013-03-13$19.06$19.0011.6%2.5%9.0%26.7%8.7%2.7%1.2%30.2M-319.2M-1.6M0.4735.895,5922,610360,920236,960
2013-03-14$19.11$19.008.6%2.5%9.0%10.9%8.3%2.4%1.6%28.0M-320.5M-1.7M0.0435.49964,45436,940362,088237,500
2013-03-15$19.07$19.008.3%2.4%8.3%8.8%8.1%2.4%1.6%12.0M-106.2M-1.9M0.2538.0622,8145,622236,078271,384
2013-03-18$18.95$19.008.8%2.5%8.8%11.7%9.0%1.9%0.5%13.9M-99.1M-1.9M1.5139.813,5805,422250,876131,332
2013-03-19$19.01$19.009.7%2.8%8.4%16.4%10.6%2.2%0.7%13.7M-101.8M-1.9M1.0033.7016,77416,798253,692135,472
2013-03-20$19.18$19.009.1%2.6%8.7%13.5%8.6%1.7%1.5%16.6M-126.8M-2.0M1.0942.582,0182,202266,304148,250
2013-03-21$19.05$19.009.7%2.8%9.1%16.3%9.7%2.2%0.4%14.7M-119.0M-2.0M4.3435.805,80825,188266,682149,102
2013-03-22$19.09$19.009.8%2.8%8.6%17.0%10.5%2.4%0.2%13.1M-106.0M-2.1M1.4947.341,1841,764267,286169,128
2013-03-25$19.04$19.009.8%2.8%7.6%16.9%10.1%2.6%0.4%12.8M-100.3M-2.0M3.8936.198,63633,590267,174169,964
2013-03-26$19.21$19.009.9%2.8%8.0%17.6%8.7%2.4%-0.1%13.2M-115.5M-2.2M0.6233.808,8225,478274,244201,408
2013-03-27$19.31$19.008.0%2.3%7.6%7.6%8.9%2.2%0.7%17.1M-141.4M-2.3M0.3444.0914,2104,808282,126200,616
2013-03-28$19.55$19.008.1%2.3%8.6%8.0%8.4%4.1%0.8%16.8M-193.2M-2.2M0.9969.256,3346,302279,450203,358