XLU Options History — August 2015

In August 2015, XLU traded between $21.20 and $22.93. ATM implied volatility averaged 17.7%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.7% (HV 20d: 16.0%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-08-21: Highest Volume — 163,514 contracts
  • 2015-08-21: Largest IV spike — 21.9% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$21.20$22.93$22.12$21.26
Max Pain$21.86$21.00$22.00$21.00$22.00
ATM IV17.7%14.1%24.7%14.1%22.8%
Expected Move5.4%4.1%7.6%4.1%7.3%
HV 20d16.0%12.3%21.0%15.0%21.0%
HV 60d14.7%13.4%16.9%13.4%16.7%
IV Rank63.5%40.0%100.0%40.0%87.8%
IV Percentile60.6%21.8%100.0%21.8%98.4%
Term Structure-0.1%-1.8%2.5%-0.0%-1.0%
VWIV19.3%15.9%26.2%18.5%25.6%
Skew 25d3.8%2.2%7.4%2.6%5.0%
Skew 10d7.4%5.3%12.4%6.3%7.3%
Call IV 25d16.1%12.8%22.1%12.8%20.3%
Put IV 25d19.9%15.4%28.3%15.4%25.2%
Bid-Ask Spread %14.846.1230.4410.9226.37
Gamma HHI0.200.090.390.230.10
Net GEX15.8M-10.7M42.7M28.0M-10.7M
Net DEX-167.6M-454.0M165.9M-179.0M165.9M
Net VEX-1.2M-1.4M-1.0M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.435.971.801.16
Total Volume47,950.09510,860163,51435,62244,526
Total OI599,331.81527,530696,604528,692593,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$22.12$21.0014.1%4.1%15.0%40.0%18.5%2.6%-0.0%28.0M-179.0M-1.2M1.8010.9212,70222,920272,352256,340
2015-08-04$21.71$21.0014.8%4.4%14.5%45.8%16.4%3.3%-0.9%16.6M-62.1M-1.2M2.018.849,75619,578281,510274,674
2015-08-05$21.82$21.0014.9%4.4%14.5%47.0%16.2%3.2%-0.3%19.1M-83.6M-1.2M5.976.128,08048,240281,976282,068
2015-08-06$21.93$22.0014.7%4.6%14.0%45.8%17.1%2.8%0.5%14.7M-109.2M-1.2M1.5413.3614,47822,330283,522309,688
2015-08-07$22.21$22.0014.3%4.7%14.6%42.2%16.7%2.8%0.1%42.7M-227.7M-1.2M0.5112.1334,28217,430290,858310,398
2015-08-10$22.09$22.0015.2%4.8%14.8%49.4%16.7%3.8%1.4%27.2M-192.0M-1.1M0.9013.5313,93012,482283,624284,280
2015-08-11$22.21$22.0014.7%4.9%14.8%45.1%16.9%3.0%2.5%29.4M-233.1M-1.1M2.3713.593,9949,460290,430286,514
2015-08-12$22.62$22.0014.8%4.8%15.9%45.9%16.1%2.5%1.5%23.9M-324.4M-1.1M0.4810.6328,75613,910292,212290,290
2015-08-13$22.62$22.0014.8%4.7%15.0%46.6%16.1%2.2%1.7%27.4M-363.4M-1.1M0.7310.6019,25013,970318,498294,862
2015-08-14$22.79$22.0014.7%4.5%14.3%45.5%16.4%3.3%0.6%27.0M-394.4M-1.2M0.7111.5317,93212,772323,294298,638
2015-08-17$22.89$22.0015.4%4.6%14.1%51.3%17.1%2.8%-1.1%20.9M-450.2M-1.0M2.189.8511,50825,100322,864296,034
2015-08-18$22.83$22.0015.8%4.6%13.5%55.4%15.9%2.7%0.1%25.4M-403.5M-1.1M0.439.3955,37423,684324,364310,894
2015-08-19$22.93$22.0016.0%4.6%13.5%56.9%16.5%2.8%-0.3%15.7M-454.0M-1.2M0.5218.167,1403,720345,042324,422
2015-08-20$22.80$22.0017.1%4.9%12.3%66.5%18.6%3.7%-0.0%14.5M-423.4M-1.2M3.9216.1812,74249,976343,350326,306
2015-08-21$22.53$22.0020.8%6.0%13.5%100.0%19.7%4.2%-1.3%30.8M-351.7M-1.3M0.4715.52111,37452,140343,726352,878
2015-08-24$21.85$22.0024.7%7.6%17.7%100.0%25.7%4.7%-0.7%1.7M37.3M-1.4M0.8630.4440,60834,856243,186284,344
2015-08-25$21.20$22.0023.9%7.2%20.7%95.2%26.2%7.4%-1.2%-6.1M160.6M-1.4M1.2819.8831,33840,076269,268300,816
2015-08-26$21.37$22.0023.9%7.4%20.9%95.0%25.1%6.1%-0.9%-6.2M147.6M-1.4M0.8518.4826,52222,498279,302312,598
2015-08-27$21.59$22.0022.1%7.0%21.0%83.1%24.0%5.2%-1.4%-5.3M96.0M-1.3M0.6917.9918,79612,984280,274320,432
2015-08-28$21.54$22.0022.9%7.1%20.8%88.4%24.8%5.8%-1.8%-5.5M125.2M-1.4M1.0518.1712,58213,156281,476324,366
2015-08-31$21.26$22.0022.8%7.3%21.0%87.8%25.6%5.0%-1.0%-10.7M165.9M-1.3M1.1626.3720,65223,874274,660319,338