XLU Options History — November 2014

In November 2014, XLU traded between $22.48 and $23.30. ATM implied volatility averaged 14.9%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 2.6% (HV 20d: 17.5%). Max pain ranged from $21.50 to $22.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.56.

Notable Days

  • 2014-11-05: Highest Volume — 241,274 contracts
  • 2014-11-06: Largest IV spike — 16.5% change
  • 2014-11-06: Highest IV Rank — 33.5%
  • 2014-11-13: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.86$22.48$23.30$22.91$23.00
Max Pain$21.82$21.50$22.50$21.50$22.50
ATM IV14.9%13.5%16.9%14.6%13.5%
Expected Move4.2%4.0%4.4%4.2%4.1%
HV 20d17.5%16.2%18.0%16.7%16.2%
HV 60d15.0%13.4%15.6%13.4%15.3%
IV Rank25.5%20.2%33.5%24.4%20.2%
IV Percentile85.8%62.7%98.0%88.5%62.7%
Term Structure-0.0%-5.0%1.6%-0.5%-5.0%
VWIV15.4%13.9%16.7%14.9%13.9%
Skew 25d3.1%-2.3%4.6%3.6%-2.3%
Skew 10d7.7%4.4%10.6%7.1%4.4%
Call IV 25d13.6%12.1%15.3%13.5%12.1%
Put IV 25d16.7%9.8%18.8%17.1%9.8%
Bid-Ask Spread %25.2218.4164.3822.8764.38
Gamma HHI0.210.130.360.160.22
Net GEX-27.3M-70.5M-3.0M-13.8M-3.0M
Net DEX-178.7M-371.4M59.1M-279.5M-207.7M
Net VEX-1.4M-1.7M-1.1M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.560.469.125.211.07
Total Volume67,100.84212,880241,27490,61616,508
Total OI918,937.053655,1521,062,172852,222673,690

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$22.91$21.5014.6%4.2%16.7%24.4%14.9%3.6%-0.5%-13.8M-279.5M-1.4M5.2122.8714,59076,026269,848582,374
2014-11-04$22.75$21.5015.4%4.2%17.0%27.6%15.5%3.6%-0.7%-17.3M-233.1M-1.4M6.2218.4111,49271,486274,968604,612
2014-11-05$23.30$21.5014.5%4.0%17.3%24.1%15.4%4.6%-0.1%-8.4M-371.4M-1.2M4.2121.5446,332194,942277,400620,542
2014-11-06$22.86$21.5016.9%4.4%17.8%33.5%16.6%3.5%-0.5%-40.1M-209.2M-1.7M4.4919.9319,56487,746310,430735,574
2014-11-07$23.11$21.5015.4%4.2%18.0%27.8%15.2%4.1%-0.8%-19.4M-278.8M-1.4M2.0925.1713,38427,974278,354724,118
2014-11-10$23.25$21.5014.0%4.2%18.0%22.1%15.0%3.9%1.1%-14.3M-352.8M-1.1M3.1525.2211,35035,720274,662663,692
2014-11-11$23.16$21.5014.2%4.2%17.7%22.8%15.0%2.6%1.4%-16.1M-328.9M-1.1M3.0723.7111,19634,350270,924659,206
2014-11-12$22.75$21.5015.5%4.4%17.3%28.0%15.6%3.6%1.6%-39.8M-96.9M-1.6M1.7726.6732,80658,106280,396705,356
2014-11-13$22.54$21.5015.9%4.4%17.8%29.5%16.4%3.6%1.3%-52.3M38.7M-1.6M6.7525.7416,812113,476296,556729,834
2014-11-14$22.48$21.5015.5%4.3%17.9%28.0%15.2%2.8%0.6%-70.5M59.1M-1.6M3.1435.858,94028,054299,364762,808
2014-11-17$22.77$21.5015.1%4.1%17.8%26.4%15.5%3.5%0.5%-44.9M-101.1M-1.5M1.3820.6617,08823,622282,544747,008
2014-11-18$22.85$21.5014.8%4.1%17.8%25.3%15.9%2.6%0.7%-31.3M-206.0M-1.3M1.9018.5115,67029,738288,646747,108
2014-11-19$22.81$21.5015.0%4.1%17.6%26.0%15.0%2.4%-0.1%-35.3M-186.7M-1.3M9.1221.983,04027,722292,954737,288
2014-11-20$22.76$22.5015.1%4.1%17.7%26.4%14.8%3.0%0.5%-38.3M-162.9M-1.3M4.9522.958,83643,756285,858751,954
2014-11-21$22.86$22.5014.7%4.0%17.4%24.8%15.1%3.4%0.7%-38.5M-216.9M-1.3M0.4622.4660,26827,620285,502757,926
2014-11-24$22.66$22.5014.4%4.2%17.7%23.9%16.7%2.6%-0.6%-9.4M-76.9M-1.3M6.7520.364,69231,682226,794428,358
2014-11-25$22.68$22.5014.3%4.2%17.6%23.2%16.1%3.7%-0.4%-13.8M-75.7M-1.3M0.8020.7120,86016,588229,200436,584
2014-11-26$22.76$22.5013.6%4.0%17.5%20.6%15.3%3.4%-0.6%-12.8M-108.0M-1.3M1.0622.066,2446,636228,686438,686
2014-11-28$23.00$22.5013.5%4.1%16.2%20.2%13.9%-2.3%-5.0%-3.0M-207.7M-1.2M1.0764.387,9588,550232,576441,114