XLU Options History — December 2013

In December 2013, XLU traded between $18.76 and $19.22. ATM implied volatility averaged 13.9%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.7% (HV 20d: 11.2%). Max pain ranged from $18.50 to $19.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.99.

Notable Days

  • 2013-12-19: Highest Volume — 348,236 contracts
  • 2013-12-06: Largest IV spike — 77.0% change
  • 2013-12-03: Highest IV Rank — 100.0%
  • 2013-12-13: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.93$18.76$19.22$18.94$18.98
Max Pain$18.83$18.50$19.00$18.50$19.00
ATM IV13.9%8.4%23.7%13.2%12.9%
Expected Move4.6%4.4%4.8%4.6%4.6%
HV 20d11.2%10.2%12.1%10.7%10.9%
HV 60d12.5%11.5%14.0%13.4%11.5%
IV Rank44.8%10.5%100.0%54.4%36.8%
IV Percentile62.1%4.8%100.0%63.9%58.3%
Term Structure-0.1%-7.9%2.1%0.5%0.4%
VWIV17.2%14.7%19.9%17.7%17.4%
Skew 25d3.7%2.2%5.3%4.5%2.7%
Skew 10d7.7%0.7%15.1%11.0%5.9%
Call IV 25d11.8%10.3%13.0%11.6%12.1%
Put IV 25d15.5%13.3%17.2%16.1%14.8%
Bid-Ask Spread %22.8310.31115.8710.3117.66
Gamma HHI0.330.140.540.420.16
Net GEX-25.6M-70.1M4.1M-39.4M1.2M
Net DEX156.6M-13.5M365.1M195.9M10.2M
Net VEX-2.0M-2.5M-1.7M-2.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.084.730.870.57
Total Volume37,439.2389,072348,23618,35239,254
Total OI1,055,215.048621,2521,269,3101,191,410665,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$18.94$18.5013.2%4.6%10.7%54.4%17.7%4.5%0.5%-39.4M195.9M-2.4M0.8710.319,7928,560644,926546,484
2013-12-03$19.01$18.5021.1%4.6%10.8%100.0%15.8%5.3%-7.9%-33.8M110.7M-2.5M4.5118.744,34819,606646,062547,988
2013-12-04$19.11$18.5014.0%4.6%10.9%51.5%15.1%4.8%-1.0%-32.3M55.1M-2.5M0.7714.815,3624,118647,176552,856
2013-12-05$18.91$19.0013.4%4.6%10.2%47.1%0.0%4.2%0.1%-34.2M197.5M-2.3M1.7022.865,2588,964648,320554,086
2013-12-06$19.22$19.0023.7%4.5%11.5%100.0%17.7%4.7%1.4%-30.4M-13.5M-2.4M0.4118.296,8802,842649,866556,332
2013-12-09$19.12$19.0014.4%4.6%11.6%45.7%16.0%4.3%-0.7%-22.0M49.4M-2.3M4.0912.979,94440,638648,708541,004
2013-12-10$18.91$19.0013.9%4.6%12.1%42.7%18.9%4.6%-0.1%-33.7M231.1M-2.2M4.5818.643,87417,738650,576574,744
2013-12-11$18.76$18.5014.7%4.5%12.1%47.1%19.7%4.5%-1.1%-33.5M365.1M-2.1M0.9614.045,7865,550656,274582,354
2013-12-12$18.79$18.5014.4%4.5%12.0%45.5%19.9%4.5%-1.0%-30.5M342.3M-2.1M4.7317.121,6127,618658,572579,714
2013-12-13$18.77$18.5014.0%4.8%11.0%43.3%16.9%4.2%-0.5%-26.6M343.7M-2.0M3.2112.535,44017,468659,132580,434
2013-12-16$18.86$18.5014.0%4.7%10.9%43.4%17.5%4.1%1.3%-44.2M318.1M-1.9M0.4816.6512,1665,810655,542585,088
2013-12-17$18.82$19.0013.8%4.6%10.9%41.9%16.9%3.5%1.1%-37.7M304.6M-1.9M0.6317.1917,71211,104655,676581,414
2013-12-18$19.05$19.0012.7%4.6%11.9%35.7%16.5%4.1%2.1%-65.1M116.4M-1.9M2.4022.2217,64842,430659,134583,656
2013-12-19$18.95$19.0012.6%4.4%11.1%35.0%0.0%3.2%0.3%-70.1M257.4M-2.0M0.08115.87322,09826,138659,726609,584
2013-12-20$18.91$19.008.4%4.6%11.1%10.5%17.5%3.5%-0.1%-18.5M304.2M-1.8M1.6240.715,4108,760545,542621,374
2013-12-23$18.84$19.0011.9%4.5%11.1%31.0%18.0%2.4%0.4%3.7M26.5M-1.7M1.2421.2313,93017,308373,574247,678
2013-12-24$18.91$19.0011.5%4.5%11.2%28.7%14.7%2.3%0.9%3.0M15.5M-1.7M3.0117.352,2646,808385,110257,140
2013-12-26$18.84$19.0012.7%4.5%10.9%35.7%17.8%2.2%0.2%188.8K33.3M-1.7M0.4418.398,0943,542385,616262,482
2013-12-27$18.91$19.0011.8%4.5%11.0%30.6%16.5%2.4%0.3%2.4M20.4M-1.7M1.3616.274,4666,058389,118264,242
2013-12-30$18.95$19.0012.5%4.5%11.0%34.2%16.4%2.7%0.4%4.1M5.7M-1.7M4.2415.534,54819,278384,828262,078
2013-12-31$18.98$19.0012.9%4.6%10.9%36.8%17.4%2.7%0.4%1.2M10.2M-1.7M0.5717.6625,06614,188387,036278,270