XLU Options History — June 2014

In June 2014, XLU traded between $21.04 and $22.14. ATM implied volatility averaged 11.8%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.1% (HV 20d: 11.7%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.07.

Notable Days

  • 2014-06-19: Highest Volume — 292,366 contracts
  • 2014-06-18: Largest IV drop — 7.0% change
  • 2014-06-02: Highest IV Rank — 16.5%
  • 2014-06-12: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.57$21.04$22.14$21.32$22.14
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV11.8%11.0%12.6%12.6%11.8%
Expected Move4.0%3.8%4.2%3.9%4.0%
HV 20d11.7%9.0%13.3%13.0%13.3%
HV 60d12.5%11.9%13.2%12.3%13.1%
IV Rank13.5%10.3%16.5%16.5%13.3%
IV Percentile18.6%6.0%35.7%35.7%17.5%
Term Structure0.0%-0.5%1.0%-0.5%0.1%
VWIV15.3%12.9%22.7%14.0%13.4%
Skew 25d2.5%1.6%3.3%2.6%1.7%
Skew 10d4.9%2.9%7.1%4.8%3.2%
Call IV 25d11.0%10.2%11.9%11.0%11.4%
Put IV 25d13.5%12.6%14.5%13.6%13.1%
Bid-Ask Spread %28.6915.58120.3421.4318.08
Gamma HHI0.290.130.530.270.18
Net GEX-31.9M-154.6M2.3M-26.1M2.3M
Net DEX-120.2M-364.1M50.6M-165.7M-91.6M
Net VEX-1.6M-2.1M-1.1M-2.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.0623.252.760.61
Total Volume42,974.4763,632292,36629,3669,616
Total OI650,710.857381,156790,848708,722381,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$21.32$19.0012.6%3.9%13.0%16.5%14.0%2.6%-0.5%-26.1M-165.7M-2.0M2.7621.437,81221,554315,972392,750
2014-06-03$21.45$19.0012.1%4.0%12.8%14.6%15.4%2.9%-0.2%-28.6M-193.2M-2.0M1.3718.7810,65014,574321,182410,348
2014-06-04$21.45$19.0011.7%4.0%12.7%12.9%14.3%2.9%-0.1%-29.9M-184.8M-2.1M4.7115.581,7268,136328,898418,104
2014-06-05$21.60$19.0011.8%3.9%11.6%13.2%12.9%2.5%-0.3%-20.8M-260.2M-2.0M3.20120.3411,47036,706325,236421,554
2014-06-06$21.54$19.0011.5%4.0%11.2%12.2%15.5%2.3%-0.4%-32.5M-240.7M-1.9M0.3621.7831,91611,452328,110419,096
2014-06-09$21.41$19.0011.3%4.0%9.6%11.6%16.1%2.8%0.2%-46.0M-166.4M-1.8M1.6625.464,1306,848299,182410,400
2014-06-10$21.32$19.0011.4%3.9%9.2%12.0%16.9%2.8%-0.0%-57.6M-122.2M-1.7M1.4127.253,3504,722298,934412,434
2014-06-11$21.07$19.0012.0%4.1%10.3%14.3%15.8%3.1%-0.1%-54.1M11.3M-1.8M23.2519.076,642154,394300,076414,980
2014-06-12$21.04$19.0012.1%4.2%9.9%14.7%14.9%3.1%-0.5%-62.3M7.6M-1.9M6.1773.447,42445,820303,686468,420
2014-06-13$21.27$19.0011.5%4.0%10.6%12.1%14.3%3.3%-0.1%-154.6M-65.9M-1.9M4.2621.094,38818,706305,220485,628
2014-06-16$21.42$19.0012.2%4.0%10.8%14.9%19.1%2.5%0.0%-37.0M-157.1M-1.9M1.6019.187,45811,968298,672454,710
2014-06-17$21.38$19.0011.8%4.0%9.0%13.6%14.9%3.2%0.6%-45.2M-113.9M-1.9M0.6225.903,0941,908294,350464,722
2014-06-18$21.86$19.0011.0%4.0%11.6%10.3%16.0%2.2%0.6%-16.6M-305.8M-1.7M1.4423.3127,27439,248294,696465,112
2014-06-19$22.05$19.0011.8%4.0%11.8%13.3%14.7%1.9%-0.1%-4.2M-364.1M-1.5M0.0618.66276,72015,646294,138481,762
2014-06-20$21.73$19.0011.3%4.0%13.2%11.7%14.7%2.8%1.0%-29.6M50.6M-1.2M1.0426.7519,26020,026126,996493,204
2014-06-23$21.65$19.0012.1%4.0%13.3%14.7%15.3%2.2%0.2%-14.1M-169.1K-1.2M2.8117.694,53812,750126,146310,970
2014-06-24$21.70$19.0011.9%4.0%13.3%13.8%13.6%1.6%0.2%-6.4M-23.5M-1.2M0.5618.625,3543,010129,022314,252
2014-06-25$21.82$19.0012.2%3.8%13.2%15.1%13.5%1.6%0.1%-3.9M-37.2M-1.2M2.4025.892,5066,008133,718315,804
2014-06-26$21.86$19.0012.2%4.0%13.2%15.1%22.7%2.2%0.2%-2.5M-45.1M-1.2M1.9521.191,2322,400134,810316,786
2014-06-27$21.93$19.0011.9%3.9%13.1%13.7%13.5%2.7%0.0%-132.1K-54.8M-1.2M2.1922.926,28613,742135,270318,422
2014-06-30$22.14$19.0011.8%4.0%13.3%13.3%13.4%1.7%0.1%2.3M-91.6M-1.1M0.6118.085,9763,640132,754248,402