XLU Options History — April 2016

In April 2016, XLU traded between $23.45 and $24.92. ATM implied volatility averaged 14.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.4% (HV 20d: 13.3%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2016-04-21: Highest Volume — 167,170 contracts
  • 2016-04-05: Largest IV spike — 14.7% change
  • 2016-04-21: Highest IV Rank — 29.9%
  • 2016-04-21: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.23$23.45$24.92$24.92$24.20
Max Pain$24.36$24.00$25.00$24.00$24.00
ATM IV14.7%13.2%16.2%13.2%14.7%
Expected Move4.2%3.4%4.7%3.4%4.4%
HV 20d13.3%10.4%15.9%10.6%15.9%
HV 60d14.8%13.5%15.5%14.9%14.4%
IV Rank18.4%7.1%29.9%7.1%18.6%
IV Percentile26.4%2.8%57.9%2.8%25.4%
Term Structure-0.2%-0.8%0.6%-0.1%-0.4%
VWIV15.3%12.4%17.5%13.8%15.8%
Skew 25d3.1%2.5%3.8%2.5%3.6%
Skew 10d7.0%5.3%9.0%7.8%9.0%
Call IV 25d13.4%12.2%15.0%12.3%13.5%
Put IV 25d16.6%14.7%18.1%14.7%17.1%
Bid-Ask Spread %5.413.528.724.814.33
Gamma HHI0.130.090.170.170.15
Net GEX-14.3M-41.6M7.4M7.4M-21.9M
Net DEX-185.6M-572.6M325.2M-572.6M-186.8M
Net VEX-3.6M-3.9M-2.9M-2.9M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.434.052.080.77
Total Volume89,914.76258,102167,17079,82464,502
Total OI1,211,023.5241,120,3821,269,9461,236,3361,269,946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$24.92$24.0013.2%3.4%10.6%7.1%13.8%2.5%-0.1%7.4M-572.6M-2.9M2.084.8125,89853,926441,902794,434
2016-04-04$24.80$24.5013.7%3.9%10.4%11.1%13.6%2.9%0.6%5.7M-476.1M-3.3M2.265.2725,78258,368431,452718,982
2016-04-05$24.34$25.0015.7%4.3%12.9%26.3%15.2%3.2%-0.0%-8.0M-240.5M-3.7M1.904.1733,42263,528436,164740,552
2016-04-06$24.30$25.0015.1%4.2%12.5%22.0%17.5%3.1%-0.2%-16.9M-204.5M-3.8M2.036.0519,64639,828439,088765,020
2016-04-07$24.30$25.0015.2%4.3%12.4%22.5%17.2%3.3%0.0%-17.9M-208.2M-3.7M2.355.4227,54864,684438,502770,786
2016-04-08$24.39$25.0014.2%4.1%12.5%15.1%14.1%3.4%0.1%-13.2M-273.6M-3.7M1.555.4135,35254,850449,492755,216
2016-04-11$24.34$25.0015.3%4.2%12.5%22.9%14.6%3.1%-0.8%-7.7M-264.8M-3.6M1.116.2834,06237,668454,060746,666
2016-04-12$24.50$25.0014.5%4.1%12.7%17.2%15.5%3.3%0.1%580.6K-358.4M-3.4M3.306.1914,70648,562459,198746,386
2016-04-13$24.32$25.0014.4%4.0%13.0%16.4%16.2%3.3%-0.2%-5.2M-274.2M-3.4M0.438.7277,18432,848460,822748,458
2016-04-14$24.30$24.0014.4%4.0%12.4%16.2%16.8%3.1%-0.7%-10.0M-278.6M-3.6M0.738.5953,16038,724477,898763,720
2016-04-15$24.45$24.0013.5%3.9%12.0%9.8%15.5%3.0%0.2%-8.7M-336.6M-3.7M2.886.0114,98443,118478,042790,146
2016-04-18$24.52$24.0013.5%3.9%10.9%9.4%12.4%3.0%0.3%-3.3M-330.8M-3.6M1.564.4524,71838,536432,880687,502
2016-04-19$24.55$24.0013.6%3.9%10.9%10.0%12.8%3.2%0.1%1.6M-361.5M-3.4M4.054.3126,274106,494447,846689,524
2016-04-20$23.96$24.0015.6%4.5%13.9%25.2%15.6%3.8%-0.8%-26.9M-6.9M-3.7M3.573.5232,074114,564453,236757,932
2016-04-21$23.45$24.0016.2%4.7%15.3%29.9%15.7%3.1%-0.8%-32.6M325.2M-3.6M3.634.8436,124131,046457,676799,326
2016-04-22$23.68$24.0015.3%4.4%15.8%23.3%15.7%3.2%-0.2%-20.9M153.6M-3.9M2.266.0330,34868,594471,654757,658
2016-04-25$23.70$24.0015.3%4.4%15.8%22.8%15.9%3.4%-0.2%-24.0M97.5M-3.6M2.704.9316,22243,722456,400736,012
2016-04-26$23.74$24.0015.1%4.5%14.8%21.7%16.1%3.0%-0.2%-25.9M69.9M-3.5M3.994.8318,65274,452460,792739,662
2016-04-27$24.08$24.0014.8%4.4%15.9%19.2%14.9%2.7%-0.2%-30.0M-115.5M-3.6M2.844.2825,70272,980466,962769,898
2016-04-28$24.02$24.0015.0%4.4%15.7%20.6%15.9%2.9%-0.6%-41.6M-54.5M-3.6M2.515.1818,61646,742475,264794,338
2016-04-29$24.20$24.0014.7%4.4%15.9%18.6%15.8%3.6%-0.4%-21.9M-186.8M-3.5M0.774.3336,39828,104477,316792,630