XLU Options History — February 2016

In February 2016, XLU traded between $22.79 and $23.72. ATM implied volatility averaged 18.0%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 16.9%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.02.

Notable Days

  • 2016-02-26: Highest Volume — 239,180 contracts
  • 2016-02-08: Largest IV spike — 15.0% change
  • 2016-02-11: Highest IV Rank — 68.4%
  • 2016-02-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.17$22.79$23.72$22.95$23.20
Max Pain$22.77$22.00$23.00$22.00$23.00
ATM IV18.0%14.9%21.3%14.9%17.0%
Expected Move5.4%4.2%6.5%4.2%5.4%
HV 20d16.9%14.5%18.9%17.9%16.1%
HV 60d17.0%16.4%18.4%18.3%17.6%
IV Rank44.0%20.4%68.4%20.4%35.9%
IV Percentile71.9%24.2%95.2%24.2%61.5%
Term Structure0.1%-0.8%2.0%0.3%-0.1%
VWIV19.6%15.1%24.4%16.2%20.8%
Skew 25d3.8%2.1%4.8%3.3%4.0%
Skew 10d7.6%4.5%9.1%5.8%8.7%
Call IV 25d16.5%13.9%19.4%13.9%15.3%
Put IV 25d20.3%16.7%24.1%17.2%19.3%
Bid-Ask Spread %8.786.0613.8413.8410.30
Gamma HHI0.150.090.420.110.11
Net GEX-8.9M-58.5M14.8M12.9M-9.4M
Net DEX-159.5M-343.4M142.3M-253.1M-86.3M
Net VEX-3.6M-4.2M-3.1M-3.3M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.6310.360.646.58
Total Volume114,091.733,366239,18053,48089,726
Total OI997,129.4746,9361,129,404746,9361,019,798

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$22.95$22.0014.9%4.2%17.9%20.4%16.2%3.3%0.3%12.9M-253.1M-3.3M0.6413.8432,52620,954320,438426,498
2016-02-02$23.02$22.0015.4%4.4%17.6%24.1%15.1%2.1%-0.1%12.4M-258.5M-3.2M0.8412.2032,35427,088324,996431,396
2016-02-03$23.29$22.0016.6%4.8%17.7%32.7%16.5%3.0%0.0%14.8M-343.4M-3.1M1.219.1258,69071,304343,206445,978
2016-02-04$23.17$22.0018.5%5.9%17.9%47.2%21.3%3.6%-0.1%8.3M-280.8M-3.4M3.158.8034,096107,562382,470498,438
2016-02-05$23.32$22.5017.9%5.4%17.7%42.8%19.5%3.8%-0.1%-45.7M-265.7M-3.4M6.708.3120,508137,380395,786602,986
2016-02-08$23.15$23.0020.6%6.5%17.9%63.3%23.8%4.1%2.0%-12.9M-161.3M-3.6M1.769.4534,01659,968393,568620,060
2016-02-09$23.29$23.0019.7%5.8%17.9%56.3%19.5%4.2%0.3%-14.7M-175.5M-3.7M1.077.6561,61865,910382,508630,788
2016-02-10$23.25$23.0019.1%6.0%17.6%52.1%21.1%4.0%1.9%-15.6M-151.0M-4.0M1.859.2611,71021,656414,088644,756
2016-02-11$22.89$23.0021.3%6.4%18.9%68.4%24.4%4.8%0.9%-28.6M32.4M-4.2M6.236.0616,908105,274415,716661,158
2016-02-12$22.79$23.0020.2%5.9%18.6%60.2%22.2%3.9%0.5%-58.5M142.3M-4.2M3.687.2115,80458,222417,710711,694
2016-02-16$22.88$23.0020.0%5.8%18.2%58.7%22.0%3.8%-0.7%-17.7M8.0M-4.0M1.237.0829,20235,910413,776658,792
2016-02-17$22.86$23.0019.0%5.4%17.5%51.3%19.9%4.4%0.1%-20.7M6.7M-4.2M1.227.7222,51627,434431,700670,378
2016-02-18$23.25$23.0018.1%5.2%15.1%44.2%18.3%3.6%0.1%-8.6M-204.9M-3.6M0.636.6829,58218,704435,916677,062
2016-02-19$23.09$23.0018.2%5.3%15.6%45.4%17.7%3.4%-0.7%-28.1M-129.4M-3.7M2.116.6750,258106,118440,138682,700
2016-02-22$23.36$23.0017.4%5.2%15.2%39.5%19.2%3.4%-0.5%8.2M-206.2M-3.5M3.0010.2044,020131,934393,762572,882
2016-02-23$23.41$23.0016.5%4.9%14.6%32.6%18.1%3.8%-0.5%6.6M-215.0M-3.5M2.748.1647,366129,840395,868603,576
2016-02-24$23.50$23.0017.0%5.1%14.5%35.8%18.9%4.0%-0.8%8.9M-242.2M-3.4M2.249.1455,280124,098400,790603,354
2016-02-25$23.72$23.0015.9%4.9%14.7%27.8%17.9%4.2%-0.5%11.1M-297.4M-3.5M10.367.659,43297,686412,886623,040
2016-02-26$23.11$23.0017.7%5.5%17.3%41.5%19.4%4.4%-0.6%-833.5K-109.2M-3.5M3.1710.0557,328181,852415,394626,538
2016-02-29$23.20$23.0017.0%5.4%16.1%35.9%20.8%4.0%-0.1%-9.4M-86.3M-3.6M6.5810.3011,84477,882394,210625,588