XLU Options History — April 2015

In April 2015, XLU traded between $22.05 and $22.58. ATM implied volatility averaged 16.6%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.2% (HV 20d: 14.4%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2015-04-16: Highest Volume — 173,266 contracts
  • 2015-04-15: Largest IV drop — 10.9% change
  • 2015-04-07: Highest IV Rank — 73.5%
  • 2015-04-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.27$22.05$22.58$22.22$22.09
Max Pain$22.29$22.00$23.00$22.50$22.00
ATM IV16.6%15.4%17.8%17.8%17.1%
Expected Move4.8%4.4%5.2%5.1%5.2%
HV 20d14.4%12.6%18.6%18.6%14.0%
HV 60d19.4%19.1%19.8%19.3%19.3%
IV Rank62.6%51.3%73.5%73.3%66.8%
IV Percentile75.0%61.9%88.9%88.9%77.8%
Term Structure-0.1%-1.0%0.5%-0.0%0.2%
VWIV18.0%15.7%26.6%17.1%17.8%
Skew 25d3.3%2.7%4.1%3.2%2.7%
Skew 10d7.1%6.0%9.2%7.1%6.7%
Call IV 25d15.3%14.3%16.5%16.5%15.7%
Put IV 25d18.6%17.2%20.1%19.7%18.4%
Bid-Ask Spread %14.558.3722.6316.3314.62
Gamma HHI0.200.110.330.130.27
Net GEX-32.8M-73.5M19.1M-25.4M-73.5M
Net DEX304.6M68.6M480.3M273.9M470.1M
Net VEX-2.6M-2.9M-2.5M-2.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.849.531.323.04
Total Volume70,616.28621,598173,26692,17269,478
Total OI1,029,833.524891,0121,123,464891,0121,086,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$22.22$22.5017.8%5.1%18.6%73.3%17.1%3.2%-0.0%-25.4M273.9M-2.7M1.3216.3339,71052,462301,090589,922
2015-04-02$22.30$22.5017.2%4.8%18.4%67.4%26.6%3.9%0.5%-26.1M239.4M-2.9M1.3912.8050,28469,752311,224773,140
2015-04-06$22.57$22.5017.7%5.0%14.7%72.4%18.6%4.1%-0.4%-20.0M68.6M-2.7M1.6414.8836,94860,666326,290716,986
2015-04-07$22.32$22.5017.8%4.9%15.4%73.5%17.5%4.0%-0.7%-26.3M225.0M-2.8M4.0410.518,85635,788328,792730,030
2015-04-08$22.16$23.0017.4%5.1%15.7%69.8%17.5%3.8%0.5%-31.0M282.7M-2.8M2.9811.8623,11668,818321,744735,716
2015-04-09$22.14$22.5016.9%4.9%15.5%64.8%17.1%3.7%0.4%-41.9M387.8M-2.8M4.718.3715,21871,746326,146791,540
2015-04-10$22.34$22.5016.4%4.6%14.4%60.6%23.2%3.1%-0.7%-26.3M267.0M-2.8M8.3210.7010,25885,342325,200771,246
2015-04-13$22.10$22.5017.5%5.1%14.6%71.0%18.4%4.0%-0.1%-30.1M424.8M-2.7M2.549.3115,73439,928309,124744,300
2015-04-14$22.21$22.5017.2%5.0%14.4%68.2%16.5%2.9%-1.0%-25.8M350.5M-2.6M2.1313.4811,16423,772317,836755,010
2015-04-15$22.25$22.5015.4%4.4%14.2%51.3%17.0%3.3%0.3%-27.1M332.0M-2.6M2.0513.8613,19026,980322,264761,216
2015-04-16$22.11$22.5016.8%4.8%12.6%64.0%18.0%3.5%0.2%-28.1M480.3M-2.6M3.5114.9838,444134,822320,860771,522
2015-04-17$22.05$22.0017.1%4.9%12.6%66.5%17.7%3.3%0.2%19.1M406.9M-2.6M3.3410.9511,65638,922343,512779,952
2015-04-20$22.39$22.0015.9%4.5%13.9%55.9%15.8%2.7%-0.6%-35.8M257.1M-2.5M1.9316.0218,88036,458230,022698,246
2015-04-21$22.16$22.0016.0%4.6%14.3%57.5%17.2%3.0%-0.4%-48.9M362.4M-2.5M1.8317.1413,33624,366235,054716,608
2015-04-22$22.22$22.0015.9%4.6%13.9%56.2%16.2%2.9%-0.4%-45.7M332.8M-2.5M0.8415.5631,62426,442239,410717,828
2015-04-23$22.38$22.0016.0%4.6%12.6%56.6%15.7%3.0%-0.3%-41.0M253.8M-2.5M0.8518.0019,67816,746254,556727,694
2015-04-24$22.58$22.0015.5%4.5%12.7%52.8%16.3%2.9%0.3%-28.3M151.9M-2.5M1.8813.6317,42632,798259,408730,776
2015-04-27$22.27$22.0015.9%4.9%13.7%56.2%17.9%3.3%0.1%-41.5M306.4M-2.5M1.3717.989,12212,476248,554725,564
2015-04-28$22.43$22.0015.4%4.5%13.2%51.3%16.3%3.0%0.3%-40.5M241.9M-2.5M3.4521.9110,60036,610249,954730,360
2015-04-29$22.39$22.0016.2%4.9%13.2%58.6%19.0%3.5%0.2%-43.5M282.3M-2.5M9.5322.6311,712111,614251,488749,928
2015-04-30$22.09$22.0017.1%5.2%14.0%66.8%17.8%2.7%0.2%-73.5M470.1M-2.7M3.0414.6217,19452,284252,722833,670