XLU Options History — November 2013

In November 2013, XLU traded between $19.02 and $19.70. ATM implied volatility averaged 12.5%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.7% (HV 20d: 11.9%). Max pain ranged from $18.50 to $19.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2013-11-08: Highest Volume — 102,138 contracts
  • 2013-11-04: Largest IV drop — 23.5% change
  • 2013-11-01: Highest IV Rank — 62.7%
  • 2013-11-14: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.41$19.02$19.70$19.52$19.02
Max Pain$18.80$18.50$19.50$19.25$18.50
ATM IV12.5%9.9%14.2%14.2%13.5%
Expected Move4.2%2.7%4.6%3.6%4.6%
HV 20d11.9%10.9%13.1%12.5%11.1%
HV 60d13.7%13.4%14.1%13.9%13.5%
IV Rank48.9%27.1%62.7%62.7%56.7%
IV Percentile51.4%17.5%71.4%71.4%64.3%
Term Structure1.4%-1.3%11.0%11.0%-0.5%
VWIV16.8%12.1%23.9%13.3%19.8%
Skew 25d2.7%-4.4%5.8%5.8%3.5%
Skew 10d5.2%-5.3%13.3%-1.9%10.1%
Call IV 25d12.1%10.6%17.3%11.7%11.6%
Put IV 25d14.7%8.3%22.7%17.5%15.2%
Bid-Ask Spread %33.868.49116.41116.1025.78
Gamma HHI0.270.210.380.350.38
Net GEX2.2M-31.8M44.5M44.5M-31.8M
Net DEX-210.4M-490.6M161.0M-430.4M153.5M
Net VEX-3.0M-3.6M-2.5M-3.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.346.481.480.66
Total Volume36,070.17,104102,13841,2807,104
Total OI1,255,383.61,144,8101,362,2041,362,2041,211,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$19.52$19.2514.2%3.6%12.5%62.7%13.3%5.8%11.0%44.5M-430.4M-3.6M1.48116.1016,64824,632776,716585,488
2013-11-04$19.56$19.5010.9%3.0%12.2%35.2%14.2%0.9%4.3%14.1M-374.6M-3.3M0.4456.347,2183,204686,004590,212
2013-11-05$19.45$19.009.9%2.7%12.5%27.1%12.1%2.2%7.0%11.5M-310.5M-3.3M0.5257.5016,1548,396690,790591,390
2013-11-06$19.70$19.0012.1%3.5%13.0%45.2%12.3%-2.9%2.5%15.3M-443.4M-3.4M5.2165.398,21442,812697,078597,828
2013-11-07$19.49$19.5012.7%3.7%13.1%50.5%13.1%2.8%1.7%6.3M-309.3M-3.4M1.2063.2510,67612,760685,564634,346
2013-11-08$19.48$19.5013.1%3.8%13.0%53.5%14.3%2.5%1.7%4.9M-272.9M-3.3M4.65116.4118,08684,052686,938641,294
2013-11-11$19.47$0.0013.4%4.6%12.7%55.5%18.5%2.7%1.1%10.1M-295.6M-3.2M1.0015.1541,25441,186676,204599,876
2013-11-12$19.30$19.5014.0%4.6%12.2%60.5%18.0%-4.4%0.7%2.4M-175.1M-3.2M2.2610.9510,64224,050705,772628,624
2013-11-13$19.34$18.5013.6%4.6%11.9%57.4%19.6%3.7%0.2%12.0M-243.3M-3.2M0.6210.3325,06215,610707,378631,450
2013-11-14$19.57$18.5013.0%4.6%11.3%52.4%20.4%2.4%0.7%38.7M-391.2M-3.1M0.349.9724,0168,086709,560614,692
2013-11-15$19.68$18.5010.5%4.6%11.3%31.8%0.0%5.4%1.9%18.8M-490.6M-3.0M0.428.4926,46211,108706,534616,874
2013-11-18$19.68$18.5012.5%4.6%11.3%48.9%18.8%2.4%-0.9%9.5M-313.9M-3.0M2.1319.9213,05827,842633,152511,658
2013-11-19$19.55$18.5012.6%4.6%10.9%49.6%16.1%2.9%-0.5%1.8M-255.9M-2.9M1.0916.018,9009,688637,744523,014
2013-11-20$19.29$18.5012.9%4.5%11.9%51.5%18.4%3.8%-0.2%-10.4M-82.2M-2.9M1.9913.238,14616,182642,892530,302
2013-11-21$19.34$18.5012.2%4.5%11.9%45.8%16.4%4.1%1.2%-7.1M-95.0M-2.9M0.9412.4516,72615,726646,918541,780
2013-11-22$19.33$18.5011.6%4.5%11.0%41.3%23.9%3.9%-0.5%-11.6M-102.4M-2.9M0.5812.1710,2085,912651,892548,984
2013-11-25$19.25$18.5012.4%4.6%11.0%48.0%0.0%3.6%-1.3%-22.3M-37.4M-2.7M0.5813.795,2783,086642,060541,688
2013-11-26$19.09$18.5013.1%4.6%11.3%53.2%16.2%4.0%-0.3%-30.4M101.6M-2.6M6.4814.025,41235,074643,896543,508
2013-11-27$19.02$18.5012.9%4.6%11.2%51.6%0.0%3.8%-1.1%-31.3M161.0M-2.5M0.9520.0227,00025,732645,296550,352
2013-11-29$19.02$18.5013.5%4.6%11.1%56.7%19.8%3.5%-0.5%-31.8M153.5M-2.6M0.6625.784,2922,812655,478556,446