XLU Options History — July 2015

In July 2015, XLU traded between $20.84 and $21.96. ATM implied volatility averaged 15.0%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.1% (HV 20d: 15.2%). Max pain ranged from $21.00 to $21.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-07-09: Highest Volume — 144,942 contracts
  • 2015-07-08: Largest IV spike — 10.7% change
  • 2015-07-08: Highest IV Rank — 64.4%
  • 2015-07-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.48$20.84$21.96$20.84$21.96
Max Pain$21.05$21.00$21.50$21.50$21.00
ATM IV15.0%13.5%16.8%16.0%13.5%
Expected Move4.3%3.8%4.7%4.7%3.8%
HV 20d15.2%12.4%16.4%12.4%14.9%
HV 60d14.0%13.1%14.3%13.1%13.4%
IV Rank48.4%34.2%64.4%57.2%34.2%
IV Percentile41.4%9.9%72.2%59.1%9.9%
Term Structure0.1%-0.4%2.1%0.1%0.5%
VWIV16.2%13.4%20.2%17.1%15.1%
Skew 25d3.1%2.0%4.0%2.7%3.0%
Skew 10d6.7%4.2%8.8%6.5%5.4%
Call IV 25d13.9%12.3%15.5%14.9%12.3%
Put IV 25d16.9%14.4%19.3%17.6%15.3%
Bid-Ask Spread %12.057.2821.0712.8713.32
Gamma HHI0.200.130.460.210.23
Net GEX9.5M-14.5M101.9M-14.5M25.9M
Net DEX-136.3K-237.6M180.8M180.8M-237.6M
Net VEX-1.2M-1.4M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.192.431.450.33
Total Volume46,513.81817,864144,94234,67070,504
Total OI482,241.818402,758594,064408,752569,908

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$20.84$21.5016.0%4.7%12.4%57.2%17.1%2.7%0.1%-14.5M180.8M-1.1M1.4512.8714,15820,512152,176256,576
2015-07-02$21.14$21.5015.1%4.3%13.7%49.0%15.1%2.4%-0.3%-11.6M122.4M-1.1M0.368.5620,1887,328155,606260,120
2015-07-06$21.19$21.0015.6%4.5%13.2%53.8%16.1%2.3%-0.0%-9.5M109.9M-1.1M0.757.4510,1907,674151,160251,598
2015-07-07$21.70$21.0015.2%4.5%15.6%49.8%16.7%2.7%0.1%-1.5M15.7M-1.1M1.7913.9020,65437,060154,040252,358
2015-07-08$21.62$21.0016.8%4.7%15.6%64.4%16.3%2.9%-0.3%-1.6M19.1M-1.2M1.4616.0317,94426,134165,244249,620
2015-07-09$21.41$21.0016.6%4.7%16.0%62.8%15.5%4.0%-0.3%-4.0M62.2M-1.2M0.5218.1995,53649,406169,654249,334
2015-07-10$21.49$21.0016.3%4.6%16.0%60.1%16.8%3.4%-0.1%10.6M-21.5M-1.4M2.339.7820,90848,740254,286257,290
2015-07-13$21.50$21.0015.4%4.4%15.7%51.4%15.6%4.0%-0.0%3.6M-5.6M-1.2M1.4410.057,71211,098235,404254,172
2015-07-14$21.48$21.0014.8%4.3%15.7%46.6%14.9%3.5%0.2%3.6M1.5M-1.2M1.168.559,17010,628235,590254,528
2015-07-15$21.56$21.0014.4%4.2%15.7%42.7%15.7%2.3%0.1%5.0M-18.7M-1.2M2.438.598,14419,784238,084254,854
2015-07-16$21.92$21.0013.8%3.8%16.4%37.5%13.4%2.0%-0.4%19.0M-113.1M-1.2M0.3913.4740,79615,794239,532263,194
2015-07-17$21.67$21.0013.7%4.2%16.3%36.2%15.7%3.5%2.1%12.7M-74.3M-1.2M0.8013.1817,57014,112258,496270,590
2015-07-20$21.56$21.0014.3%4.1%15.0%42.1%14.7%2.6%-0.1%10.6M-16.2M-1.2M1.2412.1720,59225,470235,144230,506
2015-07-21$21.37$21.0015.1%4.3%15.3%49.3%14.7%3.4%0.4%4.1M33.2M-1.2M0.2613.5627,2287,188238,392249,180
2015-07-22$21.45$21.0014.5%4.1%14.5%43.3%14.5%3.1%-0.1%8.3M5.2M-1.2M0.4012.4721,3328,636246,016247,564
2015-07-23$21.14$21.0015.1%4.3%15.2%49.1%17.3%3.1%0.2%3.5M83.1M-1.2M0.7412.2617,51012,924252,418248,092
2015-07-24$21.18$21.0015.4%4.4%15.0%52.0%18.5%3.5%-0.2%3.8M72.8M-1.2M0.6512.2816,58810,824253,260251,208
2015-07-27$21.41$21.0015.6%4.5%15.4%53.4%19.2%3.3%-0.0%9.1M9.1M-1.2M1.1311.4110,95012,374248,970246,092
2015-07-28$21.53$21.0014.9%4.4%15.3%46.9%20.2%3.5%0.3%13.9M-13.0M-1.2M0.437.2824,47610,460251,210248,194
2015-07-29$21.61$21.0014.6%4.1%15.3%44.1%16.1%3.5%0.1%17.0M-36.9M-1.2M0.1921.0799,68618,848265,754249,842
2015-07-30$21.79$21.0013.9%4.0%15.4%38.2%17.1%3.1%0.1%101.9M-181.0M-1.2M0.298.5843,75412,720337,594256,470
2015-07-31$21.96$21.0013.5%3.8%14.9%34.2%15.1%3.0%0.5%25.9M-237.6M-1.2M0.3313.3252,84217,662311,468258,440