XLU Options History — May 2015

In May 2015, XLU traded between $21.63 and $22.40. ATM implied volatility averaged 16.3%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.4% (HV 20d: 14.9%). Max pain ranged from $22.00 to $22.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.62.

Notable Days

  • 2015-05-05: Highest Volume — 212,348 contracts
  • 2015-05-05: Largest IV spike — 9.9% change
  • 2015-05-07: Highest IV Rank — 74.4%
  • 2015-05-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.09$21.63$22.40$22.20$22.27
Max Pain$22.48$22.00$22.50$22.00$22.50
ATM IV16.3%14.8%17.9%15.8%14.8%
Expected Move5.0%4.6%5.5%4.8%4.6%
HV 20d14.9%13.0%16.5%14.1%13.0%
HV 60d16.6%15.1%19.6%19.3%15.1%
IV Rank60.0%46.7%74.4%55.4%46.7%
IV Percentile67.8%47.6%89.7%64.7%47.6%
Term Structure0.1%-1.2%2.7%-0.3%-1.2%
VWIV17.7%15.9%19.6%19.2%16.4%
Skew 25d3.2%2.5%3.9%3.1%2.7%
Skew 10d6.4%4.6%7.8%7.5%4.6%
Call IV 25d14.9%13.5%16.1%14.8%13.6%
Put IV 25d18.0%16.3%19.7%17.9%16.3%
Bid-Ask Spread %13.309.3719.9012.0811.70
Gamma HHI0.250.220.320.260.25
Net GEX-63.2M-104.0M15.3M-66.3M-53.0M
Net DEX431.9M262.1M755.5M384.3M266.6M
Net VEX-2.4M-2.8M-2.0M-2.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.407.654.461.29
Total Volume67,329.127,074212,34864,07027,074
Total OI1,076,576.5939,7381,232,6621,087,898956,284

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$22.20$22.0015.8%4.8%14.1%55.4%19.2%3.1%-0.3%-66.3M384.3M-2.6M4.4612.0811,72452,346256,366831,532
2015-05-04$22.40$22.5015.7%5.0%13.7%54.7%18.5%3.3%0.1%-48.8M274.1M-2.5M1.1319.5225,48828,838245,390809,272
2015-05-05$21.89$22.5017.3%5.4%15.5%68.7%19.0%3.9%-0.2%-72.6M556.7M-2.5M7.6515.7524,544187,804264,044821,870
2015-05-06$21.75$22.5017.1%5.4%15.5%67.0%18.2%3.9%-0.2%-89.2M709.4M-2.7M3.8714.3615,31459,268268,702900,928
2015-05-07$21.88$22.5017.9%5.5%15.7%74.4%19.6%3.5%-0.3%-69.2M587.2M-2.8M1.3314.6151,17468,206277,650884,056
2015-05-08$22.00$22.5016.5%5.3%15.5%61.3%18.1%3.4%0.2%15.3M495.3M-2.7M1.7219.9060,346103,584308,372921,100
2015-05-11$21.86$22.5017.4%5.3%15.2%69.8%18.8%3.7%0.7%-85.6M606.8M-2.6M4.1918.5210,24442,924281,428895,622
2015-05-12$21.84$22.5017.1%5.3%15.1%67.1%19.2%3.0%1.0%-84.3M616.4M-2.6M1.3111.1228,59437,464285,038894,088
2015-05-13$21.63$22.5016.7%5.4%15.3%63.3%18.3%3.2%2.4%-104.0M755.5M-2.6M1.2711.7735,37844,964302,528911,450
2015-05-14$21.88$22.5016.1%5.1%15.9%57.6%18.4%3.2%1.9%-98.7M569.4M-2.6M1.969.3716,68832,690305,464916,124
2015-05-15$22.16$22.5015.5%4.9%16.5%52.9%16.6%3.0%2.7%-70.3M368.2M-2.5M1.899.7816,16230,502313,388919,274
2015-05-18$22.24$22.5016.1%4.8%15.6%58.2%17.5%2.8%-0.5%-55.0M343.3M-2.5M2.9114.0610,47030,476256,056683,682
2015-05-19$22.25$22.5016.6%4.8%15.2%62.0%17.5%3.0%-0.7%-55.7M318.3M-2.4M3.7716.526,71625,286261,548690,004
2015-05-20$22.34$22.5016.6%4.8%15.2%62.4%15.9%2.9%-0.8%-57.6M285.1M-2.4M0.4011.8139,89216,108262,520709,832
2015-05-21$22.32$22.5016.4%4.7%15.0%60.6%16.1%2.7%-0.8%-52.4M262.1M-2.3M3.1011.697,59823,576290,916704,514
2015-05-22$22.29$22.5016.0%4.6%14.6%57.4%16.6%2.9%-0.3%-51.0M302.0M-2.3M2.3111.0712,73029,444293,606717,634
2015-05-26$22.14$22.5016.5%5.0%14.0%61.5%17.4%3.2%-0.4%-57.7M375.9M-2.2M1.2711.8415,24819,310287,544681,428
2015-05-27$22.25$22.5015.4%4.6%13.9%52.0%16.7%2.5%-0.6%-57.6M299.7M-2.1M4.369.5912,98456,632290,412679,816
2015-05-28$22.29$22.5014.9%4.6%13.9%47.4%16.2%3.1%-0.1%-50.6M262.4M-2.1M2.1711.009,08419,708296,176655,872
2015-05-29$22.27$22.5014.8%4.6%13.0%46.7%16.4%2.7%-1.2%-53.0M266.6M-2.0M1.2911.7011,80815,266297,790658,494