XLU Options History — December 2015

In December 2015, XLU traded between $20.88 and $21.90. ATM implied volatility averaged 15.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 2.3% (HV 20d: 17.9%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-12-16: Highest Volume — 128,174 contracts
  • 2015-12-18: Largest IV spike — 18.1% change
  • 2015-12-11: Highest IV Rank — 51.6%
  • 2015-12-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.40$20.88$21.90$21.58$21.67
Max Pain$21.89$21.00$22.00$21.00$22.00
ATM IV15.6%12.8%19.0%15.7%14.2%
Expected Move4.5%3.6%5.8%5.2%4.0%
HV 20d17.9%15.4%20.4%18.0%17.6%
HV 60d17.2%16.5%18.0%16.5%16.8%
IV Rank25.6%4.6%51.6%26.2%14.7%
IV Percentile37.4%1.6%88.9%37.3%9.9%
Term Structure-0.1%-1.2%0.9%-0.1%-0.1%
VWIV16.6%12.7%19.7%19.3%14.6%
Skew 25d3.3%2.1%4.6%3.5%3.1%
Skew 10d6.4%4.1%8.1%7.9%6.5%
Call IV 25d14.3%12.3%17.3%13.8%13.0%
Put IV 25d17.6%14.7%21.9%17.3%16.1%
Bid-Ask Spread %11.517.4425.4312.5814.92
Gamma HHI0.110.090.160.100.10
Net GEX-4.6M-17.6M9.4M-2.5M4.1M
Net DEX104.4M17.4M197.5M83.5M74.2M
Net VEX-2.0M-2.2M-1.7M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.573.130.701.60
Total Volume36,215.4557,808128,17413,05022,616
Total OI549,592513,028654,028532,650537,672

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$21.58$21.0015.7%5.2%18.0%26.2%19.3%3.5%-0.1%-2.5M83.5M-1.9M0.7012.587,6765,374180,190352,460
2015-12-02$21.10$21.0016.9%5.8%19.6%35.3%19.6%4.5%-0.1%-9.9M160.6M-1.9M1.3413.0918,49024,812186,316354,944
2015-12-03$20.91$22.0017.7%4.9%19.4%41.3%16.9%4.1%-0.5%-11.8M197.5M-1.9M1.389.1922,67031,364194,566358,386
2015-12-04$21.25$22.0016.2%4.7%20.4%29.8%16.5%3.8%-0.2%-5.6M136.7M-2.0M2.608.3211,31229,400204,890366,886
2015-12-07$21.33$22.0016.1%4.4%15.7%29.5%17.2%2.5%-0.6%-9.2M97.9M-1.7M0.7510.554,4543,354183,320354,316
2015-12-08$21.30$22.0016.4%4.5%15.7%31.9%18.1%3.9%-0.4%-7.7M119.5M-1.9M2.778.036,20617,170185,254356,168
2015-12-09$21.29$22.0016.2%4.4%15.4%30.1%17.1%2.8%-0.5%-10.0M98.6M-1.7M1.6912.2910,71418,066186,236356,652
2015-12-10$20.93$22.0016.9%4.8%16.5%35.3%17.7%3.0%-0.3%-14.5M165.8M-1.7M3.1310.025,39016,884185,028358,052
2015-12-11$20.88$22.0019.0%5.2%16.5%51.6%19.7%4.6%-1.1%-13.1M196.7M-1.9M2.749.3810,32628,286185,978359,728
2015-12-14$20.98$22.0018.1%5.2%16.6%44.8%18.3%3.5%-0.4%-16.1M160.5M-1.7M1.3310.0814,47019,254184,364365,054
2015-12-15$21.18$22.0017.9%5.2%15.8%43.3%17.7%4.2%-1.2%-10.7M135.5M-1.8M1.6112.7117,78428,656190,722365,622
2015-12-16$21.73$21.5015.5%4.4%17.2%24.8%15.8%4.0%-0.3%9.4M17.4M-1.8M1.5025.4351,31276,862198,480375,062
2015-12-17$21.76$22.0012.8%3.6%17.1%4.6%14.3%2.3%0.5%3.9M21.7M-2.2M0.6412.7666,39842,602225,650428,378
2015-12-18$21.28$22.0015.2%4.3%18.7%22.2%16.0%4.2%0.9%-17.6M124.8M-2.1M0.577.4427,78015,910215,864431,768
2015-12-21$21.25$22.0015.6%4.5%18.6%25.4%18.3%3.3%0.5%-9.3M144.0M-2.2M1.9810.727,58214,998148,536364,492
2015-12-22$21.42$22.0014.9%4.1%18.6%20.0%15.0%2.7%-0.0%-5.6M114.7M-2.2M1.1414.777,5688,602150,060372,114
2015-12-23$21.77$22.0013.5%3.8%19.4%9.5%14.6%2.1%0.2%4.4M56.4M-2.2M1.1511.699,30210,658151,786373,324
2015-12-24$21.73$22.0013.7%3.8%19.3%10.8%15.6%2.8%-0.1%4.6M63.8M-2.2M1.189.578,52410,018154,062375,006
2015-12-28$21.76$22.0014.4%4.0%19.2%16.5%16.1%3.0%-0.1%3.7M59.7M-2.1M1.3811.067,42610,240150,138371,682
2015-12-29$21.90$22.0013.2%3.7%19.3%7.1%13.6%2.9%0.4%5.8M36.3M-2.1M1.237.659,40411,606152,270371,356
2015-12-30$21.88$22.0013.2%3.6%19.2%7.3%12.7%2.9%0.3%6.5M31.6M-2.0M1.1610.9911,68413,536153,772374,420
2015-12-31$21.67$22.0014.2%4.0%17.6%14.7%14.6%3.1%-0.1%4.1M74.2M-2.1M1.6014.928,70413,912157,770379,902