XLU Options History — June 2013

In June 2013, XLU traded between $18.22 and $19.18. ATM implied volatility averaged 15.7%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.0% (HV 20d: 15.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2013-06-20: Highest Volume — 203,710 contracts
  • 2013-06-13: Largest IV drop — 22.1% change
  • 2013-06-20: Highest IV Rank — 80.8%
  • 2013-06-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.75$18.22$19.18$18.88$18.82
Max Pain$19.15$19.00$20.00$20.00$19.00
ATM IV15.7%13.0%18.8%17.9%13.0%
Expected Move4.3%3.7%5.3%5.1%3.7%
HV 20d15.6%13.4%18.6%14.7%18.6%
HV 60d13.2%11.9%15.0%11.9%15.0%
IV Rank62.2%50.9%80.8%60.1%52.3%
IV Percentile92.6%77.0%99.6%98.8%77.0%
Term Structure0.0%-2.9%1.2%-2.3%0.6%
VWIV15.5%13.0%18.3%17.7%13.0%
Skew 25d2.2%1.7%2.9%2.3%1.7%
Skew 10d4.0%2.7%5.7%4.6%3.1%
Call IV 25d14.4%12.9%16.9%16.9%12.9%
Put IV 25d16.7%14.7%19.1%19.1%14.7%
Bid-Ask Spread %27.5712.6965.9015.5565.90
Gamma HHI0.220.190.330.210.21
Net GEX-22.2M-39.6M-3.6M-28.1M-4.3M
Net DEX369.3M71.2M687.4M432.7M83.0M
Net VEX-2.7M-3.1M-2.3M-2.8M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.142.770.971.52
Total Volume61,824.712,868203,71096,41612,868
Total OI1,175,460.9864,6321,360,3701,110,110890,522

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$18.88$20.0017.9%5.1%14.7%60.1%17.7%2.3%-2.3%-28.1M432.7M-2.8M0.9715.5548,83447,582468,786641,324
2013-06-04$18.80$19.5017.2%4.9%14.3%56.4%17.8%2.9%-1.8%-27.1M450.2M-2.8M0.7012.7722,03415,480500,086660,092
2013-06-05$18.68$19.5018.5%5.3%13.5%63.4%18.3%2.3%-2.9%-28.7M507.5M-2.7M0.7412.6984,38062,090501,474661,968
2013-06-06$18.87$20.0016.7%4.8%14.4%53.8%17.5%1.7%-1.5%-25.1M392.6M-2.9M1.8518.0526,95049,984533,342700,910
2013-06-07$18.98$19.0016.2%4.2%13.8%50.9%14.6%2.2%0.7%-21.7M342.5M-3.0M0.1463.7645,6766,508548,458696,764
2013-06-10$18.98$19.0016.8%4.1%13.7%54.6%14.3%1.7%0.8%-18.6M341.4M-2.9M1.3713.9339,90254,516566,690694,180
2013-06-11$18.86$19.0016.8%4.1%13.7%54.2%14.5%2.2%0.5%-24.9M439.7M-2.9M1.2414.1722,85028,256580,650735,066
2013-06-12$18.65$19.0018.8%4.3%13.4%64.7%15.3%2.1%0.8%-31.4M556.6M-2.7M0.8215.9913,70611,220577,206742,220
2013-06-13$18.95$19.0014.6%4.2%14.5%65.9%15.5%2.6%0.8%-27.1M404.9M-2.9M0.9818.1234,90034,136571,268744,268
2013-06-14$18.96$19.0014.7%4.2%14.5%66.9%14.8%2.0%0.7%-27.3M365.9M-3.1M0.8135.1810,2388,274580,620765,408
2013-06-17$19.06$19.0015.2%4.4%14.0%71.1%15.6%2.5%0.6%-28.2M367.3M-2.9M0.7818.7311,6789,160571,638761,974
2013-06-18$19.18$19.0014.7%4.2%14.4%66.9%15.5%2.3%0.7%-22.9M293.4M-2.9M0.4016.7451,26420,436571,110750,658
2013-06-19$18.77$19.0013.6%3.9%15.9%57.4%13.9%2.1%1.2%-32.6M494.6M-2.7M1.1638.4722,28025,852608,266752,104
2013-06-20$18.22$19.0016.4%4.7%18.0%80.8%16.1%2.4%0.5%-39.6M687.4M-2.3M2.7722.5754,016149,694599,632717,266
2013-06-21$18.27$19.0014.6%4.2%18.1%65.6%15.6%2.5%0.8%-25.9M651.1M-2.3M2.4962.1917,40443,384611,266724,384
2013-06-24$18.32$19.0015.0%4.3%18.1%68.8%16.2%2.6%-0.0%-11.7M236.7M-2.3M0.6621.4035,34223,464472,272394,088
2013-06-25$18.45$19.0014.5%4.2%18.1%65.4%15.4%2.5%0.4%-10.3M172.6M-2.5M2.3616.6513,59432,056467,160397,472
2013-06-26$18.73$19.0014.4%4.1%18.4%63.9%13.9%1.8%0.3%-5.6M95.0M-2.6M0.5115.3611,7845,970471,592404,544
2013-06-27$18.56$19.0013.9%4.0%18.2%60.4%13.7%1.9%-0.0%-3.6M71.2M-2.6M1.0053.1314,37814,354474,600397,890
2013-06-28$18.82$19.0013.0%3.7%18.6%52.3%13.0%1.7%0.6%-4.3M83.0M-2.6M1.5265.905,1147,754483,806406,716