XLU Options History — July 2014

In July 2014, XLU traded between $20.64 and $21.95. ATM implied volatility averaged 12.9%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.9% (HV 20d: 14.8%). Max pain ranged from $18.00 to $21.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.90.

Notable Days

  • 2014-07-02: Highest Volume — 55,702 contracts
  • 2014-07-25: Largest IV spike — 18.5% change
  • 2014-07-31: Highest IV Rank — 22.6%
  • 2014-07-31: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.33$20.64$21.95$21.95$20.64
Max Pain$19.29$18.00$21.50$19.00$19.50
ATM IV12.9%11.8%14.1%12.2%14.1%
Expected Move4.0%3.8%4.2%3.9%4.2%
HV 20d14.8%13.0%16.3%13.7%14.2%
HV 60d13.8%13.2%14.2%13.2%14.2%
IV Rank17.7%13.4%22.6%15.1%22.6%
IV Percentile51.2%19.0%79.8%31.7%79.8%
Term Structure-0.1%-2.7%1.0%-0.0%-2.7%
VWIV15.3%13.2%17.1%14.3%16.5%
Skew 25d2.3%1.6%6.2%1.6%6.2%
Skew 10d4.8%2.9%6.7%3.3%6.7%
Call IV 25d12.1%10.3%13.0%11.8%10.3%
Put IV 25d14.4%13.3%16.5%13.4%16.5%
Bid-Ask Spread %20.7014.1432.0919.3832.09
Gamma HHI0.190.120.370.150.13
Net GEX-13.0M-42.5M-3.0M-3.0M-10.3M
Net DEX44.3M-56.4M188.2M-56.4M188.2M
Net VEX-1.2M-1.3M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.2611.078.760.65
Total Volume20,955.7275,75455,70228,01229,166
Total OI443,862.182389,844501,454389,844441,448

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$21.95$19.0012.2%3.9%13.7%15.1%14.3%1.6%-0.0%-3.0M-56.4M-1.1M8.7619.382,87025,142135,756254,088
2014-07-02$21.48$19.0013.2%4.0%15.9%18.7%15.1%2.3%-0.1%-18.5M63.1M-1.2M2.0722.9318,11837,584135,784275,824
2014-07-03$21.25$19.0013.3%4.1%16.1%19.3%15.5%2.5%0.1%-42.5M134.0M-1.2M4.6321.475,94027,500146,616305,252
2014-07-07$21.35$19.0013.4%3.9%16.2%19.6%15.3%2.1%-0.4%-17.1M91.8M-1.2M1.2323.3411,30413,874144,914302,014
2014-07-08$21.48$19.0013.0%3.9%16.3%18.1%15.7%2.5%-0.2%-11.0M46.4M-1.2M0.2617.8910,6062,756153,936303,208
2014-07-09$21.45$19.0012.5%4.0%16.2%16.2%14.8%1.6%0.3%-11.8M52.8M-1.3M0.3725.744,7841,788161,150304,306
2014-07-10$21.60$19.0012.9%4.0%15.7%17.6%13.2%1.8%-0.2%-7.1M16.0M-1.2M0.2717.344,5341,220163,048304,704
2014-07-11$21.41$19.0013.0%4.0%16.1%18.0%16.3%2.3%0.0%-8.2M43.3M-1.2M11.0717.463,99044,164165,998305,286
2014-07-14$21.18$19.0013.6%4.0%16.1%20.6%13.3%2.3%-0.7%-23.6M81.6M-1.3M3.6919.094,51016,660165,516299,358
2014-07-15$21.30$19.0012.7%4.0%16.1%17.0%0.0%2.1%0.7%-19.9M53.4M-1.3M1.0117.1817,32617,526166,032302,218
2014-07-16$21.33$19.0012.6%3.9%16.1%16.5%16.3%2.2%0.7%-11.4M17.3M-1.3M5.2514.142,21811,644181,632314,336
2014-07-17$21.16$19.0013.6%4.1%13.9%20.4%14.4%2.0%-0.6%-28.0M66.1M-1.3M1.5018.764,8787,322178,972317,084
2014-07-18$21.37$19.0012.5%3.9%14.0%16.0%15.4%2.6%1.0%-5.9M16.4M-1.3M1.0920.027,0127,640181,172320,282
2014-07-21$21.35$0.0012.7%3.8%13.1%16.8%17.1%2.3%0.1%-6.1M6.3M-1.3M1.3325.123,4504,584158,858249,196
2014-07-22$21.27$18.0012.5%3.9%13.1%16.1%15.0%2.3%0.5%-7.2M10.0M-1.2M8.0722.471,41211,392160,788252,196
2014-07-23$21.30$18.0012.3%3.9%13.1%15.5%17.0%1.8%-0.2%-8.3M10.7M-1.2M3.6422.171,6065,850161,266254,238
2014-07-24$21.39$18.5011.8%3.8%13.0%13.4%13.2%1.9%0.2%-7.4M-707.3K-1.2M5.5320.981,0805,972161,770254,300
2014-07-25$21.21$21.5014.0%4.0%13.2%22.0%17.0%2.2%-0.9%-16.3M48.8M-1.3M0.5120.7811,7465,954161,994259,716
2014-07-28$21.54$21.5012.2%3.8%14.4%14.9%0.0%2.0%0.0%-4.6M-33.9M-1.1M0.8816.136,4325,648154,698255,540
2014-07-29$21.30$21.5012.8%3.9%14.3%17.3%16.3%2.3%-0.0%-7.3M18.4M-1.2M1.1119.2211,56012,778158,508259,672
2014-07-30$21.05$19.5013.1%4.0%14.5%18.6%14.5%2.0%-0.2%-10.7M100.0M-1.2M0.8021.6716,36013,126164,658267,636
2014-07-31$20.64$19.5014.1%4.2%14.2%22.6%16.5%6.2%-2.7%-10.3M188.2M-1.2M0.6532.0917,67611,490169,048272,400