XLU Options History — September 2014

In September 2014, XLU traded between $20.85 and $21.82. ATM implied volatility averaged 13.1%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.0% (HV 20d: 13.0%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.91.

Notable Days

  • 2014-09-11: Highest Volume — 195,558 contracts
  • 2014-09-22: Largest IV spike — 41.2% change
  • 2014-09-15: Highest IV Rank — 26.1%
  • 2014-09-15: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.29$20.85$21.82$21.45$21.05
Max Pain$20.43$20.00$21.00$20.00$21.00
ATM IV13.1%9.7%15.0%12.5%13.8%
Expected Move4.1%3.8%4.3%3.9%4.2%
HV 20d13.0%10.9%14.3%13.9%12.4%
HV 60d14.4%13.5%14.8%14.7%13.5%
IV Rank18.4%4.9%26.1%16.2%21.3%
IV Percentile57.3%1.6%90.5%35.7%77.8%
Term Structure-0.4%-10.3%1.0%-0.0%0.0%
VWIV14.5%11.8%17.6%14.4%14.5%
Skew 25d3.3%2.2%7.2%2.4%3.0%
Skew 10d5.8%2.2%8.7%4.5%5.0%
Call IV 25d12.2%10.2%13.7%11.6%12.6%
Put IV 25d15.6%14.0%17.4%14.0%15.7%
Bid-Ask Spread %22.8916.9849.4616.9819.59
Gamma HHI0.210.120.320.180.14
Net GEX-43.7M-101.0M404.9K-3.3M-42.3M
Net DEX145.5M-143.8M391.5M-53.0M148.8M
Net VEX-1.7M-2.0M-1.2M-1.2M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.4310.450.903.71
Total Volume67,206.6678,338195,55834,80029,464
Total OI779,424.952524,7681,092,406524,768795,048

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$21.45$20.0012.5%3.9%13.9%16.2%14.4%2.4%-0.0%-3.3M-53.0M-1.2M0.9016.9818,33216,468185,354339,414
2014-09-03$21.55$20.0012.6%3.9%13.1%16.6%15.6%2.8%-0.3%-1.3M-76.7M-1.2M0.7320.494,8123,526190,582348,288
2014-09-04$21.54$20.0012.7%3.9%11.8%17.1%13.3%2.8%-0.0%404.9K-73.4M-1.2M1.6320.0029,50048,206192,118349,512
2014-09-05$21.82$20.0012.0%3.8%12.0%14.1%13.6%3.6%-0.0%-5.2M-143.8M-1.2M4.5421.9119,33887,762213,158393,258
2014-09-08$21.68$20.0012.8%4.1%10.9%17.3%15.2%3.2%0.4%-23.7M-49.3M-1.4M1.1618.0015,45417,934213,130467,088
2014-09-09$21.43$20.0011.6%4.1%11.6%12.5%17.6%7.2%-0.6%-31.4M70.5M-1.5M3.3924.8122,02274,698217,910476,130
2014-09-10$21.34$20.0013.8%4.2%11.8%21.4%14.5%3.3%-0.7%-49.9M187.2M-1.6M2.1719.3313,62029,576232,098535,544
2014-09-11$21.52$20.0013.2%4.1%12.0%19.0%14.1%3.6%0.6%-37.8M76.4M-1.6M4.5321.9735,346160,212239,460542,344
2014-09-12$21.13$20.0014.1%4.3%13.7%22.5%16.2%3.8%0.7%-70.8M391.5M-1.9M2.1424.8724,18451,680266,512657,138
2014-09-15$21.20$20.0015.0%4.3%13.6%26.1%15.2%3.5%-0.4%-82.8M345.3M-1.9M7.2220.225,48239,604253,450678,962
2014-09-16$21.46$20.0014.1%4.2%14.2%22.5%14.5%3.1%0.1%-71.8M182.1M-1.9M2.8123.5427,88278,438256,152705,878
2014-09-17$21.43$20.5012.7%4.1%14.0%17.0%13.6%3.1%1.0%-101.0M225.2M-1.9M0.8349.4678,87265,394274,934749,032
2014-09-18$21.27$20.5010.8%4.1%14.1%9.6%14.4%5.3%-10.3%-69.8M316.6M-2.0M0.7743.2059,77645,748317,512774,894
2014-09-19$21.27$21.009.7%4.0%14.1%4.9%13.6%2.8%0.9%-98.4M381.0M-1.9M3.3519.0023,87879,902281,928783,508
2014-09-22$21.11$21.0013.6%4.1%14.3%20.6%14.0%2.7%0.2%-27.9M117.1M-1.8M0.9118.7414,57613,234238,996462,054
2014-09-23$21.05$21.0013.7%4.1%14.1%20.8%14.0%2.7%-0.5%-31.6M150.4M-1.7M10.4519.123,61437,772237,366462,454
2014-09-24$20.98$21.0013.6%4.1%13.5%20.6%13.6%2.6%-0.0%-38.2M188.6M-1.8M0.4317.7921,8649,404238,886495,488
2014-09-25$20.85$21.0014.1%4.1%13.4%22.6%15.4%2.2%-0.1%-40.7M222.0M-1.8M4.0520.397,25229,382254,364497,140
2014-09-26$20.86$21.0014.0%4.1%12.6%22.1%14.7%2.7%0.0%-45.7M256.5M-1.8M4.4020.195,27623,234260,342521,168
2014-09-29$21.02$21.0013.7%4.1%12.7%21.0%11.8%3.4%-0.2%-45.2M192.8M-1.8M1.0121.1419,18619,436247,116522,214
2014-09-30$21.05$21.0013.8%4.2%12.4%21.3%14.5%3.0%0.0%-42.3M148.8M-1.8M3.7119.596,25423,210263,112531,936