XLU Options History — August 2013

In August 2013, XLU traded between $18.56 and $19.80. ATM implied volatility averaged 14.1%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.7% (HV 20d: 11.3%). Max pain ranged from $19.00 to $19.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.82.

Notable Days

  • 2013-08-14: Highest Volume — 421,058 contracts
  • 2013-08-14: Largest IV spike — 29.1% change
  • 2013-08-28: Highest IV Rank — 79.3%
  • 2013-08-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.11$18.56$19.80$19.80$18.65
Max Pain$19.34$19.00$19.50$19.00$19.00
ATM IV14.1%11.2%16.2%12.5%16.1%
Expected Move4.2%3.2%4.7%3.6%4.7%
HV 20d11.3%10.1%12.4%12.4%10.9%
HV 60d15.2%14.7%15.8%15.8%14.7%
IV Rank61.4%37.5%79.3%48.5%78.4%
IV Percentile80.0%48.8%95.6%67.5%94.4%
Term Structure-0.3%-1.1%1.4%0.4%-0.3%
VWIV15.0%11.9%16.4%14.6%16.1%
Skew 25d3.9%1.7%4.8%2.5%4.1%
Skew 10d8.3%4.2%10.3%4.5%8.5%
Call IV 25d13.0%11.5%14.2%12.6%14.1%
Put IV 25d16.9%13.2%18.3%15.1%18.1%
Bid-Ask Spread %33.9312.4996.6218.7684.53
Gamma HHI0.230.140.390.140.24
Net GEX-11.6M-26.7M11.8M11.8M-26.7M
Net DEX143.8M-180.7M402.4M-180.7M386.2M
Net VEX-3.0M-3.5M-2.4M-2.7M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.820.5413.5213.521.07
Total Volume58,869.6367,492421,05844,43018,926
Total OI1,048,964.273793,3001,290,298793,3001,290,298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$19.80$19.0012.5%3.6%12.4%48.5%14.6%2.5%0.4%11.8M-180.7M-2.7M13.5218.763,06041,370452,140341,160
2013-08-02$19.76$19.0011.2%3.2%12.3%37.5%11.9%1.7%1.4%8.4M-152.5M-2.7M1.1796.625,3266,242453,150365,392
2013-08-05$19.67$19.5012.8%4.1%12.1%50.6%14.1%4.2%-0.2%8.2M-125.8M-2.6M1.0124.655,0325,074457,760362,374
2013-08-06$19.54$19.5012.7%4.1%12.3%50.2%13.9%3.8%-0.5%5.6M-94.1M-2.5M11.1014.772,59228,776460,538364,892
2013-08-07$19.64$19.5012.5%4.1%12.3%48.8%14.0%3.8%-0.3%7.1M-132.0M-2.5M1.4812.716,3909,438460,564373,734
2013-08-08$19.70$19.5012.5%4.0%11.2%48.9%14.1%3.5%-0.2%9.2M-163.5M-2.5M2.6015.392,0845,408463,954377,132
2013-08-09$19.57$19.5011.9%4.0%11.5%43.6%14.5%4.2%-0.2%5.0M-99.0M-2.5M0.9163.144,2203,860464,672379,400
2013-08-12$19.44$19.5012.5%4.1%10.2%48.9%15.0%4.1%0.0%866.4K-46.8M-2.4M0.6917.079,5966,650465,224380,132
2013-08-13$19.36$19.5011.6%4.0%10.1%41.5%14.8%4.2%0.2%-290.8K-15.4M-2.4M2.1014.3855,242115,984467,190383,062
2013-08-14$19.23$19.5015.0%4.4%10.4%69.4%15.6%4.3%-0.7%-10.4M68.8M-3.0M5.1514.9568,504352,554520,182490,714
2013-08-15$18.98$19.5015.2%4.4%10.3%71.1%15.4%4.5%-0.4%-22.3M237.9M-3.5M2.3412.8833,50078,502572,020610,330
2013-08-16$18.77$19.5014.4%4.1%10.8%64.2%16.0%4.2%0.3%-26.6M362.6M-3.5M4.5567.5917,97281,844580,360634,332
2013-08-19$18.61$19.5015.6%4.5%11.0%73.7%15.8%4.2%-0.9%-24.5M356.5M-3.2M1.5612.495,1648,058537,214577,166
2013-08-20$18.79$19.5014.1%4.0%11.6%61.9%16.4%4.0%-0.1%-24.9M290.7M-3.4M1.0614.5733,03635,012539,892576,880
2013-08-21$18.56$19.5015.6%4.5%11.3%73.8%15.9%4.8%-0.5%-26.4M402.4M-3.1M3.0918.2822,28668,840561,402600,982
2013-08-22$18.68$19.5014.9%4.3%11.1%68.4%14.0%3.9%0.1%-25.6M332.8M-3.4M1.9231.553,1506,038575,164623,890
2013-08-23$18.83$19.5014.0%4.0%11.5%60.7%15.1%3.6%-0.9%-24.0M288.6M-3.4M0.8254.7849,73440,802575,138621,530
2013-08-26$18.69$19.0015.6%4.5%11.6%74.1%15.2%4.6%-0.7%-26.1M362.7M-3.4M0.6448.3712,5347,980620,760654,276
2013-08-27$18.68$19.0016.2%4.6%11.4%78.6%15.4%4.0%-1.0%-23.9M366.0M-3.4M2.0145.544,1748,400623,296652,984
2013-08-28$18.75$19.0016.2%4.7%11.5%79.3%15.8%3.5%-1.1%-23.8M330.8M-3.4M0.5433.155,6903,086624,650657,032
2013-08-29$18.64$19.0016.0%4.6%10.8%77.6%15.9%4.3%-0.7%-25.8M387.0M-3.3M2.6330.233,5829,420626,302657,950
2013-08-30$18.65$19.0016.1%4.7%10.9%78.4%16.1%4.1%-0.3%-26.7M386.2M-3.3M1.0784.539,1429,784627,574662,724