XLU Options History — September 2015

In September 2015, XLU traded between $20.55 and $21.66. ATM implied volatility averaged 19.8%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 21.4%). Max pain ranged from $21.50 to $23.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.25.

Notable Days

  • 2015-09-17: Highest Volume — 110,004 contracts
  • 2015-09-17: Largest IV drop — 12.6% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.99$20.55$21.66$20.66$21.66
Max Pain$22.18$21.50$23.00$22.00$21.50
ATM IV19.8%16.2%25.4%25.4%17.3%
Expected Move5.7%4.6%8.3%8.3%4.8%
HV 20d21.4%18.4%23.4%22.3%18.9%
HV 60d18.0%17.6%18.4%17.6%18.4%
IV Rank61.5%35.3%100.0%100.0%35.3%
IV Percentile86.1%55.6%100.0%100.0%69.0%
Term Structure-0.3%-2.1%0.8%-2.1%-0.0%
VWIV20.1%16.6%28.9%28.9%17.7%
Skew 25d3.9%2.3%6.1%6.1%4.0%
Skew 10d7.5%4.3%10.2%7.2%10.2%
Call IV 25d18.4%15.7%22.4%22.4%16.0%
Put IV 25d22.3%18.8%28.5%28.5%20.0%
Bid-Ask Spread %14.387.6334.5728.2911.96
Gamma HHI0.150.110.220.110.17
Net GEX-7.2M-20.1M10.3M-11.4M6.7M
Net DEX177.1M44.5M289.6M254.3M44.5M
Net VEX-1.3M-1.7M-1.0M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.395.221.794.63
Total Volume48,695.97,626110,00429,66444,740
Total OI575,667.5422,844732,626593,456469,658

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$20.66$22.0025.4%8.3%22.3%100.0%28.9%6.1%-2.1%-11.4M254.3M-1.3M1.7928.2910,62619,038278,590314,866
2015-09-02$20.63$22.0023.7%7.6%22.1%89.0%27.0%5.9%-1.3%-13.8M265.9M-1.2M1.6729.9916,46027,488281,414318,166
2015-09-03$20.79$23.0022.1%5.9%22.3%78.7%22.6%5.2%-0.4%-15.0M249.9M-1.2M1.7215.9817,37029,938285,154334,474
2015-09-04$20.55$23.0022.9%6.4%21.7%83.7%22.6%3.6%0.8%-15.9M289.6M-1.2M1.2213.5311,82014,418291,520338,262
2015-09-08$20.91$23.0020.7%5.9%23.0%70.3%21.5%3.3%0.6%-13.9M219.2M-1.2M1.0411.893,7343,892280,132322,088
2015-09-09$20.63$23.0021.8%6.2%23.1%77.1%20.4%3.6%-0.3%-16.6M257.9M-1.1M0.809.9512,90210,268281,912323,686
2015-09-10$20.59$23.0022.3%6.1%21.7%80.2%21.0%5.5%-0.7%-17.4M259.2M-1.0M5.0012.919,35446,742283,520324,774
2015-09-11$20.75$23.0020.2%5.6%22.1%67.1%19.3%2.9%-0.6%-18.5M260.8M-1.2M1.9011.8413,87226,412284,610347,888
2015-09-14$20.82$23.0020.3%5.8%21.9%67.6%19.5%3.5%0.0%-20.1M235.2M-1.2M0.399.9746,02417,802282,028342,256
2015-09-15$20.93$22.0019.4%5.6%21.9%62.0%21.1%3.3%-0.4%-15.0M208.3M-1.3M1.029.3336,08836,748315,862348,462
2015-09-16$21.16$22.0018.5%5.3%22.5%56.3%18.4%2.7%-0.5%-11.9M150.6M-1.3M0.847.9431,26226,322324,962376,930
2015-09-17$21.41$22.0016.2%4.6%23.1%41.6%16.6%2.3%-0.3%10.3M59.5M-1.3M0.7634.5762,54047,464339,792378,166
2015-09-18$21.11$22.0017.9%5.1%23.4%52.6%17.4%3.8%0.0%186.6K177.3M-1.4M0.9511.4531,01829,554328,998403,628
2015-09-21$21.18$21.5017.0%4.8%23.3%46.9%17.0%3.5%0.1%2.8M89.1M-1.4M2.107.6310,35021,774166,232256,612
2015-09-23$20.99$21.5017.5%5.0%21.1%49.7%18.0%3.8%0.1%387.5K127.2M-1.5M4.797.966,52031,240169,064273,332
2015-09-24$21.15$21.5017.3%4.9%18.6%35.4%17.7%3.7%0.4%3.1M114.3M-1.6M5.2212.778,05241,998169,552286,622
2015-09-25$21.37$21.5017.7%4.9%18.7%38.3%17.4%3.5%0.2%2.4M75.2M-1.6M2.2713.4929,91468,000170,156294,748
2015-09-28$21.29$21.5019.1%5.4%18.4%49.6%19.4%4.5%-0.4%123.2K97.4M-1.6M3.1113.908,91627,748164,112292,942
2015-09-29$21.27$21.5018.9%5.3%18.4%48.2%18.9%4.0%-0.2%-224.6K106.7M-1.7M3.8212.317,37228,138166,720301,460
2015-09-30$21.66$21.5017.3%4.8%18.9%35.3%17.7%4.0%-0.0%6.7M44.5M-1.6M4.6311.967,94236,798167,656302,002