XLU Options History — March 2015

In March 2015, XLU traded between $21.55 and $22.50. ATM implied volatility averaged 17.5%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.5% (HV 20d: 21.0%). Max pain ranged from $22.00 to $23.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-03-18: Highest Volume — 276,042 contracts
  • 2015-03-18: Largest IV drop — 9.7% change
  • 2015-03-16: Highest IV Rank — 86.8%
  • 2015-03-13: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.08$21.55$22.50$22.18$22.21
Max Pain$22.50$22.00$23.50$23.50$22.50
ATM IV17.5%15.9%19.3%17.7%17.7%
Expected Move5.1%4.5%5.7%5.5%5.1%
HV 20d21.0%18.6%25.9%24.7%18.7%
HV 60d20.2%19.4%20.7%19.6%19.4%
IV Rank67.7%32.7%86.8%33.9%72.4%
IV Percentile87.2%75.4%97.6%90.1%88.1%
Term Structure-0.0%-0.9%1.2%-0.2%-0.1%
VWIV18.1%16.3%20.3%18.4%17.8%
Skew 25d3.5%2.6%4.5%4.2%3.9%
Skew 10d6.2%4.2%7.7%7.5%6.9%
Call IV 25d16.3%14.9%17.8%16.1%16.0%
Put IV 25d19.8%18.3%21.6%20.3%19.9%
Bid-Ask Spread %13.658.0934.7912.1114.01
Gamma HHI0.180.110.360.200.12
Net GEX-49.4M-68.6M-21.0M-63.8M-26.2M
Net DEX590.6M179.8M970.6M757.9M284.5M
Net VEX-2.2M-2.7M-1.8M-2.2M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.803.621.681.42
Total Volume90,954.63622,222276,04290,73060,442
Total OI958,655.364750,2781,211,618886,742869,502

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$22.18$23.5017.7%5.5%24.7%33.9%18.4%4.2%-0.2%-63.8M757.9M-2.2M1.6812.1133,85856,872218,186668,556
2015-03-03$22.32$23.5017.4%5.5%24.2%32.7%20.3%4.2%-0.3%-62.4M691.0M-2.2M2.2810.9529,94668,368231,212669,984
2015-03-04$22.19$23.5017.1%5.6%24.0%67.4%18.7%3.8%-0.5%-62.6M741.7M-2.2M1.308.0925,96233,754248,180691,882
2015-03-05$22.38$22.5016.8%4.7%24.3%64.9%17.5%3.7%0.0%-62.1M663.3M-2.3M1.9011.1424,08045,760255,400703,206
2015-03-06$21.68$22.5017.5%5.2%25.9%71.3%17.9%3.1%-0.3%-61.1M970.6M-2.0M3.6210.9243,960158,926258,132718,540
2015-03-09$21.73$22.5017.5%5.1%25.5%71.5%18.6%3.0%0.3%-62.5M887.3M-1.9M1.228.9911,64614,160251,436683,178
2015-03-10$21.68$22.5017.7%5.2%21.2%72.5%18.0%2.9%0.9%-57.9M870.8M-1.9M0.809.0221,88417,570255,642677,610
2015-03-11$21.55$22.5018.2%5.2%21.2%77.1%18.6%3.3%0.1%-55.1M927.7M-1.8M1.4311.5116,86424,046269,838687,870
2015-03-12$21.95$22.5018.1%5.2%20.7%76.6%18.1%4.0%0.2%-54.0M767.6M-2.0M0.9411.4873,76869,144278,316688,470
2015-03-13$21.74$22.0019.0%5.7%19.6%84.3%19.8%4.0%1.2%-58.4M831.8M-2.1M1.5916.5924,38038,776338,630733,866
2015-03-16$21.90$22.0019.3%5.5%19.9%86.8%19.4%3.8%-0.9%-51.2M691.4M-2.3M2.3212.0524,61857,206336,692749,464
2015-03-17$22.08$22.0018.4%5.3%19.6%79.1%19.0%2.6%-0.4%-68.6M682.9M-2.2M2.769.377,69821,234345,556797,092
2015-03-18$22.50$22.0016.6%4.8%20.9%63.3%18.2%3.8%-0.6%-58.4M375.7M-2.2M0.9418.63141,924134,118350,230797,708
2015-03-19$22.49$22.0017.2%4.9%18.9%67.9%17.6%3.1%-0.3%-32.0M411.5M-2.3M0.8319.3656,14446,334396,294815,324
2015-03-20$22.49$22.0016.2%4.7%18.6%59.1%16.5%2.7%0.1%-58.1M474.1M-2.1M2.7534.7955,704153,196334,946838,290
2015-03-23$22.50$22.5015.9%4.5%18.6%57.0%16.9%3.4%0.2%-21.0M179.8M-2.3M2.0114.5213,50827,178226,936523,342
2015-03-24$22.28$22.5016.7%4.7%18.6%63.5%16.3%3.3%-0.1%-29.6M273.9M-2.2M0.9513.8211,41410,808235,562540,858
2015-03-25$21.91$22.5017.5%5.1%19.2%70.6%16.7%4.5%-0.2%-34.4M374.2M-2.2M2.4815.4326,72266,170238,182543,758
2015-03-26$21.82$22.5018.2%5.3%19.2%76.7%18.3%3.6%0.3%-48.3M479.3M-2.3M1.129.5066,02873,704257,134595,796
2015-03-27$21.94$22.5017.5%5.1%19.4%70.5%18.7%3.1%0.6%-35.7M401.0M-2.7M1.8716.0516,64031,040305,470628,030
2015-03-30$22.23$22.5017.4%5.0%18.8%69.7%17.7%3.5%-0.1%-22.4M254.4M-2.7M2.6411.9017,95847,490286,250549,868
2015-03-31$22.21$22.5017.7%5.1%18.7%72.4%17.8%3.9%-0.1%-26.2M284.5M-2.7M1.4214.0125,00035,442291,786577,716