XLU Options History — November 2015

In November 2015, XLU traded between $21.12 and $22.07. ATM implied volatility averaged 16.6%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.9% (HV 20d: 17.5%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.78.

Notable Days

  • 2015-11-06: Highest Volume — 88,066 contracts
  • 2015-11-12: Largest IV spike — 13.4% change
  • 2015-11-16: Highest IV Rank — 45.4%
  • 2015-11-09: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.49$21.12$22.07$21.91$21.43
Max Pain$21.29$21.00$22.00$22.00$21.00
ATM IV16.6%14.5%18.2%14.6%16.0%
Expected Move5.0%4.6%5.3%4.6%5.3%
HV 20d17.5%13.1%19.6%13.1%18.0%
HV 60d18.6%16.5%19.8%18.3%16.5%
IV Rank32.8%17.2%45.4%17.8%28.3%
IV Percentile55.6%18.7%84.5%21.4%42.9%
Term Structure-0.1%-2.0%2.2%0.1%-0.1%
VWIV18.4%15.0%22.9%15.6%19.5%
Skew 25d3.3%2.5%4.2%3.1%3.8%
Skew 10d6.6%5.1%7.9%6.9%7.9%
Call IV 25d14.9%13.2%17.0%13.6%14.2%
Put IV 25d18.1%16.1%20.1%16.7%18.0%
Bid-Ask Spread %10.615.6414.3710.4912.98
Gamma HHI0.100.080.150.140.10
Net GEX-6.2M-12.7M9.8M-11.8M-5.6M
Net DEX121.0M-10.7M226.1M68.1M103.9M
Net VEX-1.9M-2.1M-1.5M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.174.840.170.77
Total Volume35,735.1585,13488,06687,44616,678
Total OI560,802.421465,498629,398465,498521,984

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$21.91$22.0014.6%4.6%13.1%17.8%15.6%3.1%0.1%-11.8M68.1M-1.6M0.1710.4974,73212,714136,428329,070
2015-11-04$22.07$22.0014.8%4.6%13.1%19.3%15.0%2.9%0.1%9.8M-10.7M-1.8M2.6214.375,99815,732202,884327,794
2015-11-05$21.91$21.5014.5%4.6%13.3%17.2%15.8%3.0%0.2%6.9M8.0M-1.6M4.8413.375,27825,568203,636328,228
2015-11-06$21.12$21.5016.2%5.2%18.0%29.6%17.9%3.2%-0.0%-10.4M226.1M-1.5M1.5813.8334,15453,912203,744341,040
2015-11-09$21.18$21.5016.8%5.3%18.1%34.3%20.8%2.5%1.9%-10.4M217.3M-1.9M2.099.414,7709,970206,366354,854
2015-11-10$21.36$21.5016.4%4.9%18.0%31.5%18.9%2.8%0.3%-7.1M163.6M-1.8M3.218.926,32420,290208,964351,650
2015-11-11$21.41$21.5015.1%5.0%18.1%21.6%18.3%2.7%2.1%-6.7M142.3M-1.7M1.687.736,35410,668210,486352,508
2015-11-12$21.35$21.5017.1%5.0%18.1%37.0%17.2%4.2%0.6%-7.7M180.8M-2.1M1.355.6418,73025,328223,376373,196
2015-11-13$21.27$21.5017.2%5.3%17.0%37.5%19.8%3.3%2.2%-12.7M184.5M-2.0M0.7610.1338,11429,116224,528375,404
2015-11-16$21.63$21.0018.2%5.2%18.2%45.4%18.2%3.2%-1.6%-565.3K99.7M-2.1M0.6613.689,8006,474239,432364,436
2015-11-17$21.26$21.0018.2%5.2%19.0%44.9%22.7%3.1%-0.2%-10.4M164.1M-1.9M0.8711.0930,44426,618244,578369,922
2015-11-18$21.41$21.0018.0%5.2%19.2%43.9%22.9%3.5%-1.1%-11.5M154.7M-2.1M0.7511.8827,47820,626248,452377,924
2015-11-19$21.60$21.0017.6%5.1%19.6%40.7%18.4%3.5%-0.8%-12.5M114.4M-2.1M3.818.036,08023,168249,868379,530
2015-11-20$21.70$21.0017.2%5.1%19.0%37.6%16.3%2.9%-2.0%-4.1M82.2M-2.1M1.159.9216,69619,224249,650375,582
2015-11-23$21.50$21.0017.2%5.1%18.3%37.3%17.9%4.0%-1.0%-3.4M84.6M-2.0M1.2312.588,0729,918171,578340,548
2015-11-24$21.46$21.0016.5%5.0%18.3%32.4%17.9%3.5%-1.0%-5.3M100.4M-2.0M0.759.412,9282,206173,698345,118
2015-11-25$21.33$21.0016.6%5.1%18.4%33.3%18.3%3.9%-0.7%-6.8M115.8M-2.0M2.8011.017,69421,556174,952346,696
2015-11-27$21.38$21.0016.6%5.3%18.0%32.8%17.6%3.4%-0.7%-8.2M98.8M-1.8M2.707.116,91018,646176,598350,544
2015-11-30$21.43$21.0016.0%5.3%18.0%28.3%19.5%3.8%-0.1%-5.6M103.9M-1.9M0.7712.989,4247,254173,178348,806