XLU Options History — April 2013

In April 2013, XLU traded between $19.50 and $20.71. ATM implied volatility averaged 10.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.8% (HV 20d: 9.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.45.

Notable Days

  • 2013-04-15: Highest Volume — 119,844 contracts
  • 2013-04-05: Largest IV drop — 17.7% change
  • 2013-04-18: Highest IV Rank — 27.0%
  • 2013-04-18: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.10$19.50$20.71$19.50$20.71
Max Pain$19.64$19.00$20.00$19.00$20.00
ATM IV10.0%8.4%11.7%8.8%11.1%
Expected Move2.9%2.5%3.3%2.5%3.2%
HV 20d9.2%8.3%10.2%8.7%8.8%
HV 60d8.3%7.9%8.6%8.1%8.6%
IV Rank18.1%9.8%27.0%11.6%24.1%
IV Percentile36.0%8.7%65.9%14.7%58.3%
Term Structure0.8%0.1%1.4%0.1%1.3%
VWIV10.8%8.8%12.9%9.8%10.8%
Skew 25d3.2%2.0%4.5%2.7%3.8%
Skew 10d7.2%3.9%9.9%5.4%9.9%
Call IV 25d9.1%6.4%10.6%8.2%9.3%
Put IV 25d12.3%10.9%13.8%11.0%13.1%
Bid-Ask Spread %39.1616.1491.7941.7922.05
Gamma HHI0.200.150.280.200.25
Net GEX3.4M-4.8M18.2M18.2M381.8K
Net DEX-217.3M-283.4M-158.9M-190.9M-240.3M
Net VEX-2.5M-2.9M-2.1M-2.1M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.450.1321.590.524.14
Total Volume37,810.4555,766119,8448,46488,056
Total OI660,119.364491,684826,028491,684826,028

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$19.50$19.008.8%2.5%8.7%11.6%9.8%2.7%0.1%18.2M-190.9M-2.1M0.5241.795,5542,910283,824207,860
2013-04-02$19.59$19.008.8%2.5%8.3%11.8%8.8%4.5%0.2%17.9M-212.6M-2.2M12.6350.184,36455,116286,528209,672
2013-04-03$19.52$19.009.7%2.8%8.3%16.2%9.8%3.5%0.1%10.2M-158.9M-2.4M8.7342.413,52830,812287,734242,548
2013-04-04$19.71$19.0010.3%2.9%8.7%19.4%9.4%2.0%0.2%6.6M-188.0M-2.5M8.3442.082,58021,516289,082268,424
2013-04-05$19.79$19.008.4%2.6%8.4%9.8%12.9%3.5%1.1%5.1M-201.3M-2.5M0.6331.4621,43213,396289,738286,708
2013-04-08$19.95$19.009.3%2.7%8.7%14.2%11.2%3.1%1.0%4.6M-239.9M-2.5M15.3832.202,00630,860295,616298,428
2013-04-09$19.88$19.509.2%2.8%9.0%13.7%10.9%3.3%1.0%1.5M-207.6M-2.5M0.9339.7919,03417,742290,594326,842
2013-04-10$20.04$19.509.8%2.8%9.0%16.9%12.0%3.7%1.0%1.2M-237.1M-2.6M2.2435.357,57016,988298,964338,412
2013-04-11$20.12$19.5010.3%2.9%9.0%19.5%9.7%3.2%0.8%57.8K-262.9M-2.5M1.4838.0212,14818,014299,688350,606
2013-04-12$20.14$19.5010.2%2.9%9.1%19.2%10.0%4.4%1.1%2.2M-283.4M-2.4M2.8645.441,4924,274310,522365,104
2013-04-15$19.93$20.0010.9%3.1%10.0%23.2%11.3%3.2%0.3%-572.8K-200.9M-2.7M0.1375.99106,41613,428310,656368,864
2013-04-16$20.11$20.0010.7%3.1%9.8%21.9%11.0%2.9%0.6%-1.8M-231.5M-2.6M4.3034.612,33410,042332,030372,742
2013-04-17$20.02$20.0011.4%3.3%10.2%25.4%11.6%3.1%0.7%-2.9M-209.7M-2.6M1.5326.3115,90024,358333,256376,996
2013-04-18$20.07$20.0011.7%3.3%9.9%27.0%11.8%3.5%0.8%-2.7M-216.4M-2.7M3.7734.993,21012,114343,568387,674
2013-04-19$20.32$20.0010.5%3.0%10.0%21.1%12.1%3.0%0.8%939.7K-281.0M-2.6M1.2848.8515,47419,792344,138390,376
2013-04-22$20.34$20.009.9%2.8%10.0%17.6%11.2%3.5%0.6%-158.8K-180.0M-2.5M4.1929.954,68419,612293,874361,150
2013-04-23$20.39$20.009.7%2.8%9.8%16.5%9.9%3.3%1.0%152.0K-184.9M-2.6M0.1632.5731,4324,890296,050364,688
2013-04-24$20.46$20.009.9%2.8%9.6%17.7%11.5%2.9%0.9%9.2M-229.1M-2.6M1.6624.583,4705,746323,740365,966
2013-04-25$20.46$20.0010.0%2.9%9.6%17.8%11.1%2.6%1.4%9.2M-232.2M-2.6M21.5924.974,908105,956325,806369,270
2013-04-26$20.49$20.009.5%2.7%8.9%15.6%9.7%2.3%1.4%-4.8M-170.9M-2.9M0.5891.7914,7648,520328,208470,306
2013-04-29$20.63$20.0010.1%2.9%8.8%18.6%10.2%3.0%1.2%-223.1K-222.0M-2.8M0.8116.1414,01211,376336,426473,920
2013-04-30$20.71$20.0011.1%3.2%8.8%24.1%10.8%3.8%1.3%381.8K-240.3M-2.9M4.1422.0517,12070,936346,360479,668