XLU Options History — May 2013

In May 2013, XLU traded between $18.86 and $20.51. ATM implied volatility averaged 12.2%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.1% (HV 20d: 12.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.41.

Notable Days

  • 2013-05-31: Highest Volume — 225,390 contracts
  • 2013-05-08: Largest IV spike — 20.0% change
  • 2013-05-31: Highest IV Rank — 58.8%
  • 2013-05-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.86$18.86$20.51$20.51$18.86
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV12.2%9.5%17.6%10.8%17.6%
Expected Move3.6%2.9%5.1%3.1%5.1%
HV 20d12.1%9.4%14.6%9.7%14.6%
HV 60d10.3%8.7%11.9%8.7%11.9%
IV Rank29.9%15.5%58.8%22.1%58.8%
IV Percentile65.2%21.8%98.8%53.6%98.8%
Term Structure0.0%-2.6%1.4%1.2%-2.6%
VWIV13.5%10.5%17.8%12.3%17.8%
Skew 25d3.8%2.7%5.1%2.9%3.1%
Skew 10d8.1%5.3%10.9%6.1%5.3%
Call IV 25d11.1%9.0%17.2%10.3%17.2%
Put IV 25d14.9%12.6%20.3%13.2%20.3%
Bid-Ask Spread %32.5311.5592.1818.6979.06
Gamma HHI0.320.160.430.260.17
Net GEX-36.8M-53.7M-6.8M-6.8M-29.1M
Net DEX203.6M-140.4M631.7M-140.4M573.4M
Net VEX-3.0M-3.3M-2.6M-3.1M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.3611.248.262.43
Total Volume83,257.63610,548225,39090,954225,390
Total OI1,026,333.273881,8121,109,508881,8121,109,508

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$20.51$20.0010.8%3.1%9.7%22.1%12.3%2.9%1.2%-6.8M-140.4M-3.1M8.2618.699,82081,134355,856525,956
2013-05-02$20.48$20.0010.6%3.0%9.4%21.3%11.0%2.7%1.2%-12.2M-85.0M-3.3M4.1518.178,36434,738358,768579,052
2013-05-03$20.42$20.0010.0%2.9%9.5%18.2%10.5%3.0%1.4%-15.1M-65.7M-3.3M0.3692.18110,19839,542362,062601,834
2013-05-06$20.16$20.0011.7%3.5%10.4%27.2%12.4%4.2%-0.1%-28.6M100.8M-3.1M0.7014.9879,78455,918367,546620,464
2013-05-07$20.35$20.009.5%3.2%10.8%15.5%12.8%3.7%0.7%-28.1M-8.3M-3.2M3.9713.573,97815,774369,496635,330
2013-05-08$20.19$20.0011.4%3.5%10.9%25.6%12.5%3.6%-0.2%-37.9M79.3M-3.2M4.6612.656,20228,874369,994633,076
2013-05-09$19.85$20.0010.3%3.2%12.4%19.6%12.8%4.4%1.2%-45.2M231.3M-3.1M2.2415.1145,020100,852370,648628,864
2013-05-10$19.91$20.009.7%3.1%12.5%16.4%12.7%4.5%1.3%-49.6M202.0M-3.1M11.2469.136,48872,914388,044651,228
2013-05-13$19.80$20.0010.2%3.1%12.1%19.3%12.4%4.3%1.4%-53.7M259.4M-2.9M2.0213.6313,36226,928389,062684,104
2013-05-14$19.96$20.0010.7%3.2%12.1%21.9%12.1%4.6%1.3%-43.0M132.5M-3.1M2.4114.4018,14843,698390,202692,074
2013-05-15$20.13$20.0012.0%3.3%12.3%28.8%12.0%3.5%0.5%-40.0M64.7M-3.2M0.7715.0334,94026,938397,610695,648
2013-05-16$19.97$20.0011.6%3.3%12.6%26.4%12.6%3.8%1.3%-47.0M154.0M-3.2M0.9613.945,3945,154394,708703,890
2013-05-17$20.16$20.0011.5%3.3%12.2%26.2%10.7%3.3%1.0%-39.2M36.2M-3.1M0.4981.2512,0285,950395,528692,324
2013-05-20$20.07$20.0011.5%3.3%12.3%26.2%16.3%3.3%-0.6%-43.2M100.1M-3.1M5.5017.814,34223,866358,932605,580
2013-05-21$20.06$20.0011.5%3.3%12.2%26.0%11.8%2.8%-0.6%-41.0M75.2M-3.1M1.4682.449,39413,728354,958626,090
2013-05-22$19.77$20.0012.7%3.6%13.1%32.4%13.5%3.6%-0.3%-47.0M259.6M-3.0M6.9115.4510,17470,294357,216632,276
2013-05-23$19.63$20.0013.1%3.7%13.2%34.4%14.4%3.3%-0.8%-45.1M346.0M-2.9M3.5013.7637,230130,164360,724637,778
2013-05-24$19.42$20.0013.9%4.0%13.4%39.0%15.9%5.1%-0.8%-42.2M430.8M-3.0M3.4776.6420,36470,712372,224670,088
2013-05-28$19.20$20.0015.9%4.6%13.3%49.7%17.0%4.5%-2.3%-42.7M544.2M-2.9M4.1612.9315,24063,408376,082708,314
2013-05-29$18.91$20.0016.0%4.6%13.6%50.2%17.8%5.1%-1.7%-36.4M631.7M-2.6M4.9213.3027,810136,848382,046703,112
2013-05-30$19.09$20.0016.6%4.8%14.3%53.2%15.9%4.0%-2.0%-36.4M557.1M-2.6M0.4511.5555,48625,078392,184678,852
2013-05-31$18.86$20.0017.6%5.1%14.6%58.8%17.8%3.1%-2.6%-29.1M573.4M-2.7M2.4379.0665,754159,636427,436682,072