XLU Options History — October 2015

In October 2015, XLU traded between $21.29 and $22.70. ATM implied volatility averaged 14.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.0% (HV 20d: 16.3%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2015-10-29: Highest Volume — 91,856 contracts
  • 2015-10-23: Largest IV spike — 11.3% change
  • 2015-10-01: Highest IV Rank — 45.8%
  • 2015-10-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.07$21.29$22.70$21.29$21.91
Max Pain$21.41$21.00$22.00$21.50$22.00
ATM IV14.3%12.3%18.6%18.6%13.7%
Expected Move4.1%3.5%5.2%5.2%4.0%
HV 20d16.3%14.1%18.1%16.9%14.1%
HV 60d18.4%18.1%18.7%18.1%18.3%
IV Rank13.6%0.0%45.8%45.8%10.7%
IV Percentile19.4%0.0%86.1%86.1%4.8%
Term Structure0.0%-0.7%0.8%-0.1%0.1%
VWIV15.2%12.1%18.4%18.4%14.4%
Skew 25d3.2%2.5%4.2%4.2%3.1%
Skew 10d7.2%4.7%8.9%7.3%7.5%
Call IV 25d13.2%11.4%16.8%16.8%12.4%
Put IV 25d16.4%14.0%21.0%21.0%15.5%
Bid-Ask Spread %12.738.6826.1915.4112.23
Gamma HHI0.160.100.250.140.13
Net GEX1.3M-25.1M13.1M-16.6K-11.6M
Net DEX23.0M-65.7M168.1M108.6M103.3M
Net VEX-1.7M-1.8M-1.6M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.3012.333.471.52
Total Volume36,750.63618,55891,85634,66619,148
Total OI468,051407,728504,664485,012491,358

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$21.29$21.5018.6%5.2%16.9%45.8%18.4%4.2%-0.1%-16.6K108.6M-1.7M3.4715.417,76226,904168,338316,674
2015-10-02$21.64$21.5017.2%4.6%17.6%34.2%16.9%4.0%0.0%6.2M54.9M-1.7M2.8916.168,98025,946169,858318,988
2015-10-05$21.95$21.5016.2%4.6%18.1%26.8%17.5%3.4%0.3%7.5M8.9M-1.7M0.4710.5618,3908,574153,454312,618
2015-10-06$21.80$21.5016.3%4.4%17.7%27.1%17.3%3.8%-0.1%7.8M35.1M-1.7M0.849.2119,85016,614148,978311,272
2015-10-07$21.73$21.0015.8%4.6%16.9%23.1%18.3%3.5%-0.2%8.1M35.9M-1.6M1.078.6821,35022,888158,706315,598
2015-10-08$21.99$21.0015.1%4.3%16.2%17.5%17.3%3.2%0.0%10.7M5.1M-1.8M2.5110.149,50623,876159,538325,922
2015-10-09$21.89$21.0014.3%4.1%16.3%11.9%15.3%3.2%0.0%10.1M17.1M-1.6M2.4212.857,96419,300155,696328,532
2015-10-12$22.09$21.0014.9%4.2%16.3%16.3%14.9%3.4%-0.3%9.9M-7.6M-1.6M1.4212.4910,77215,244157,592328,564
2015-10-13$22.05$21.0014.5%4.1%16.4%10.2%14.2%3.7%0.2%11.4M-5.3M-1.6M3.5911.076,45823,156160,698332,374
2015-10-14$22.02$21.0014.5%4.1%16.5%10.1%13.9%2.7%0.1%13.1M4.4M-1.7M1.5613.2512,82020,030160,508330,618
2015-10-15$22.36$21.0013.5%3.8%16.9%2.3%16.0%3.4%-0.7%3.6M-62.8M-1.6M0.9311.9515,67214,590167,308336,634
2015-10-16$22.40$21.0012.3%3.5%16.5%0.0%12.1%2.6%0.1%986.1K-60.4M-1.7M0.3012.9342,36212,862167,190337,474
2015-10-19$22.39$21.0012.3%3.5%15.3%0.8%14.9%3.2%-0.2%3.7M-14.9M-1.7M1.8515.116,50812,050131,654276,074
2015-10-20$22.50$21.5012.8%3.7%15.3%4.0%13.3%2.7%-0.2%4.6M-32.6M-1.6M2.4010.515,62213,498133,234278,696
2015-10-21$22.43$21.5012.9%3.7%14.9%4.9%14.0%3.1%-0.1%4.0M-31.9M-1.6M1.4710.618,85613,034134,078281,672
2015-10-22$22.70$21.5012.3%3.5%15.1%0.3%13.2%2.5%0.1%6.4M-65.7M-1.6M1.6614.278,43413,958135,946283,066
2015-10-23$22.30$21.5013.7%4.0%16.7%10.8%14.3%3.0%-0.4%-1.1M-3.6M-1.7M7.5911.939,30470,626137,866286,072
2015-10-26$22.22$22.0013.7%4.1%16.7%10.9%14.8%3.0%0.6%-12.9M64.1M-1.8M2.7510.386,48217,808134,670329,368
2015-10-27$22.16$22.0013.4%4.0%16.7%8.6%14.7%3.0%0.8%-14.3M55.4M-1.6M2.0210.987,66615,472135,962329,488
2015-10-28$21.88$22.0013.4%4.0%16.4%9.0%15.4%3.4%0.7%-14.7M129.3M-1.8M5.3626.1912,00464,318137,766332,546
2015-10-29$21.77$22.0014.1%4.2%15.1%14.3%14.3%3.0%0.2%-25.1M168.1M-1.8M12.3313.056,89084,966140,884363,590
2015-10-30$21.91$22.0013.7%4.0%14.1%10.7%14.4%3.1%0.1%-11.6M103.3M-1.6M1.5212.237,60611,542141,230350,128