XLU Options History — May 2016

In May 2016, XLU traded between $23.86 and $24.79. ATM implied volatility averaged 15.9%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.7% (HV 20d: 15.1%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2016-05-18: Highest Volume — 289,398 contracts
  • 2016-05-18: Largest IV spike — 12.7% change
  • 2016-05-18: Highest IV Rank — 49.8%
  • 2016-05-18: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.41$23.86$24.79$24.40$24.57
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV15.9%14.1%18.8%14.9%15.5%
Expected Move4.8%4.4%5.4%4.5%4.7%
HV 20d15.1%14.3%16.4%16.2%14.4%
HV 60d14.2%13.5%14.9%14.4%13.8%
IV Rank27.4%14.4%49.8%20.5%24.5%
IV Percentile50.8%15.5%88.9%34.1%48.8%
Term Structure0.2%-1.4%2.4%-0.0%-0.4%
VWIV17.0%15.7%19.3%16.5%16.5%
Skew 25d3.3%2.7%4.2%3.1%4.2%
Skew 10d7.0%5.2%10.0%8.0%8.1%
Call IV 25d14.3%12.9%17.2%14.1%13.3%
Put IV 25d17.6%15.9%20.8%17.1%17.4%
Bid-Ask Spread %5.964.028.674.828.67
Gamma HHI0.130.100.160.110.13
Net GEX-5.7M-25.0M17.9M-3.3M13.8M
Net DEX-295.2M-502.8M75.8M-340.8M-458.2M
Net VEX-3.4M-3.9M-2.9M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.664.424.421.65
Total Volume99,813.52431,192289,39881,62851,178
Total OI1,317,886.3811,228,2121,518,3701,228,2121,293,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$24.40$24.0014.9%4.5%16.2%20.5%16.5%3.1%-0.0%-3.3M-340.8M-3.2M4.424.8215,07266,556475,210753,002
2016-05-03$24.41$24.0015.0%4.5%14.7%21.1%17.8%3.4%0.2%-16.8M-301.4M-3.2M1.904.1710,77220,420479,278804,860
2016-05-04$24.68$24.0015.1%4.7%15.2%21.4%17.1%3.3%-0.2%-6.6M-442.6M-3.3M4.204.0230,284127,220480,474805,086
2016-05-05$24.56$24.0015.6%5.0%15.3%25.2%17.0%3.0%0.5%-20.1M-328.9M-3.5M2.884.8421,08260,760496,962869,862
2016-05-06$24.42$24.0015.3%4.8%15.4%23.0%17.7%2.8%0.4%-11.1M-262.8M-3.2M3.045.7933,132100,818500,722875,778
2016-05-09$24.55$24.0015.0%4.7%15.5%21.1%16.6%2.9%1.4%-9.1M-358.8M-3.2M3.695.0914,57053,786483,966761,358
2016-05-10$24.58$24.0014.9%4.7%15.4%20.4%15.8%3.0%1.2%-11.1M-389.0M-3.1M2.904.3518,14452,600484,218766,162
2016-05-11$24.66$24.0014.1%4.7%15.1%14.4%16.9%2.9%2.2%-6.4M-435.8M-3.0M3.834.0214,81456,746489,226761,538
2016-05-12$24.79$24.0014.6%4.5%15.2%17.7%16.8%3.0%1.3%1.4M-494.1M-3.0M2.974.6025,81076,776488,060777,956
2016-05-13$24.68$24.0015.0%4.7%15.2%21.2%15.9%2.7%2.4%17.9M-427.4M-3.3M2.618.0425,82467,322501,006813,796
2016-05-16$24.71$24.0016.3%4.8%15.2%30.9%16.6%3.2%-1.4%3.3M-449.2M-3.1M1.045.2486,16689,298497,408772,814
2016-05-17$24.55$24.0016.7%4.8%15.4%33.7%16.5%3.3%-0.7%5.2M-502.8M-3.3M1.007.2584,20283,816565,022808,170
2016-05-18$23.86$24.0018.8%5.4%16.4%49.8%19.3%3.6%0.1%-19.1M75.8M-3.9M1.776.11104,346185,052558,598868,568
2016-05-19$24.09$24.0018.3%5.3%14.7%46.1%18.0%3.2%-0.3%-25.0M-71.6M-3.8M1.007.4656,24256,418576,080931,224
2016-05-20$24.13$24.0017.7%5.1%14.3%41.5%17.9%2.8%-0.5%-20.0M-127.5M-3.9M1.555.8134,81253,910590,842927,528
2016-05-23$23.92$24.0016.9%5.0%14.7%35.4%17.9%4.0%-0.8%-4.5M-28.5M-3.9M2.226.3133,08873,578477,894766,710
2016-05-24$24.17$24.0016.3%4.8%15.1%31.1%17.2%4.0%-0.1%-7.3M-138.4M-3.9M0.715.5734,55624,698481,726797,076
2016-05-25$24.11$24.0016.4%4.9%14.3%31.2%16.5%3.9%-0.2%-9.1M-99.8M-3.9M0.667.8739,39625,832485,998799,586
2016-05-26$24.36$24.0015.5%4.6%14.8%24.8%15.7%3.6%-0.3%-249.0K-296.0M-3.5M1.388.2220,49028,190493,458806,166
2016-05-27$24.43$24.0014.9%4.4%14.6%19.9%15.7%3.5%-0.6%8.3M-321.8M-3.5M1.537.0115,12823,180496,830811,874
2016-05-31$24.57$24.0015.5%4.7%14.4%24.5%16.5%4.2%-0.4%13.8M-458.2M-2.9M1.658.6719,33231,846492,212801,310