XLU Options History — July 2013

In July 2013, XLU traded between $18.45 and $19.77. ATM implied volatility averaged 12.9%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 3.9% (HV 20d: 16.8%). Max pain ranged from $18.50 to $19.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.74.

Notable Days

  • 2013-07-31: Highest Volume — 129,170 contracts
  • 2013-07-31: Largest IV spike — 20.3% change
  • 2013-07-01: Highest IV Rank — 65.7%
  • 2013-07-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.45$19.77$18.60$19.63
Max Pain$18.98$18.50$19.00$19.00$19.00
ATM IV12.9%11.6%14.6%14.6%13.9%
Expected Move3.7%3.3%4.3%4.2%4.0%
HV 20d16.8%12.0%19.6%19.0%12.5%
HV 60d15.5%14.9%16.0%15.1%15.8%
IV Rank51.9%40.8%65.7%65.7%60.2%
IV Percentile72.6%56.0%88.1%88.1%82.5%
Term Structure1.0%0.3%1.4%0.7%0.7%
VWIV13.4%11.7%15.8%14.4%14.8%
Skew 25d3.0%2.5%3.7%2.5%3.6%
Skew 10d6.5%4.3%8.6%4.3%7.3%
Call IV 25d11.9%10.7%13.6%13.3%12.3%
Put IV 25d15.0%13.6%17.3%15.8%15.9%
Bid-Ask Spread %32.796.5576.1829.9828.43
Gamma HHI0.180.120.250.220.14
Net GEX4.3M-12.3M18.9M-8.2M7.4M
Net DEX-77.4M-287.5M207.7M152.2M-131.7M
Net VEX-2.6M-2.7M-2.4M-2.5M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.1023.573.8023.57
Total Volume33,496.9099,404129,17023,976129,170
Total OI893,546.909735,8921,021,346892,266824,156

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$18.60$19.0014.6%4.2%19.0%65.7%14.4%2.5%0.7%-8.2M152.2M-2.5M3.8029.984,99418,982485,220407,046
2013-07-02$18.57$19.0014.0%4.0%19.0%60.6%13.3%2.7%0.8%-10.6M174.6M-2.4M0.836.557,2245,970486,934416,618
2013-07-03$18.50$19.0013.9%4.0%18.9%60.0%13.6%2.5%0.7%-12.3M194.8M-2.4M0.7618.9610,2827,776491,794420,066
2013-07-05$18.45$19.0014.3%4.3%18.4%63.5%15.8%3.7%0.8%-11.7M207.7M-2.4M7.8864.205,47043,096495,758414,844
2013-07-08$18.69$19.0014.2%4.2%18.9%62.7%13.6%3.5%0.6%-7.8M134.4M-2.4M0.9020.2711,91210,746496,514447,320
2013-07-09$18.86$18.5012.4%3.9%19.2%47.9%14.2%3.2%0.3%-2.5M79.5M-2.5M0.5627.1537,71621,056503,968444,900
2013-07-10$18.95$19.0012.2%3.9%19.2%46.0%14.4%3.2%1.0%5.1M35.1M-2.5M1.9620.023,1826,222524,122458,960
2013-07-11$19.26$19.0012.3%3.5%19.5%46.9%13.9%2.6%1.1%9.4M-100.0M-2.6M1.1511.7812,72014,678523,790459,702
2013-07-12$19.32$19.0012.0%3.4%18.8%44.7%13.0%3.3%1.3%13.4M-148.7M-2.6M1.5260.845,2367,972526,422456,348
2013-07-15$19.64$19.0013.0%3.7%19.5%52.3%13.4%2.5%1.0%18.9M-287.5M-2.6M0.3912.6037,14214,582527,128459,298
2013-07-16$19.53$19.0013.0%3.7%19.6%53.0%13.5%3.0%0.9%12.9M-232.2M-2.6M3.2721.0013,09442,814526,634466,058
2013-07-17$19.52$19.0012.7%3.7%19.5%50.6%14.8%2.9%1.1%-698.3K-207.6M-2.6M2.3724.444,53210,740513,130493,276
2013-07-18$19.73$19.0012.7%3.6%17.9%50.1%11.7%2.5%1.2%15.1M-270.9M-2.6M0.1074.4152,9965,250500,874474,974
2013-07-19$19.70$19.0012.4%3.6%13.5%48.0%12.9%3.0%1.3%2.6M-276.0M-2.6M0.9471.488,0187,528544,846476,500
2013-07-22$19.68$19.0012.2%3.5%13.6%46.2%12.1%2.8%1.3%8.4M-146.8M-2.5M3.3721.433,36611,354414,296321,596
2013-07-23$19.73$19.0012.2%3.5%13.6%45.8%11.9%2.9%1.2%9.5M-160.7M-2.6M0.6536.069,3666,132416,492323,304
2013-07-24$19.44$19.0012.5%3.6%15.0%48.2%13.4%3.3%1.2%5.1M-90.8M-2.6M2.4025.5314,79035,452423,666321,612
2013-07-25$19.61$19.0012.3%3.5%14.5%46.7%13.5%3.2%1.4%6.7M-130.5M-2.6M0.4720.1720,3749,596430,214345,892
2013-07-26$19.67$19.0012.3%3.5%13.8%47.2%12.5%3.2%1.3%9.2M-136.5M-2.6M0.2176.1810,6882,220445,310346,960
2013-07-29$19.71$19.0013.1%3.8%13.2%53.8%12.9%3.3%0.7%11.7M-173.5M-2.6M1.5924.455,2568,376449,894347,578
2013-07-30$19.77$19.0011.6%3.3%12.0%40.8%12.1%3.5%1.2%12.2M-188.3M-2.7M1.5825.5715,06023,802451,102352,916
2013-07-31$19.63$19.0013.9%4.0%12.5%60.2%14.8%3.6%0.7%7.4M-131.7M-2.7M23.5728.435,258123,912453,176370,980