XLU Options History — September 2016

In September 2016, XLU traded between $24.26 and $25.50. ATM implied volatility averaged 16.1%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.1% (HV 20d: 19.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2016-09-02: Highest Volume — 251,760 contracts
  • 2016-09-09: Largest IV spike — 24.2% change
  • 2016-09-13: Highest IV Rank — 61.8%
  • 2016-09-13: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.87$24.26$25.50$24.50$24.57
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV16.1%14.1%18.4%16.3%16.7%
Expected Move4.6%4.1%5.2%5.0%4.8%
HV 20d19.1%14.2%21.2%14.2%20.6%
HV 60d15.2%12.8%16.3%12.8%15.6%
IV Rank39.9%17.4%61.8%30.6%49.3%
IV Percentile62.8%23.4%92.5%67.9%78.6%
Term Structure0.1%-0.4%0.7%0.0%0.7%
VWIV17.2%14.5%19.4%18.6%16.3%
Skew 25d3.9%2.5%5.0%4.3%3.4%
Skew 10d7.5%5.1%10.1%6.7%7.4%
Call IV 25d14.6%12.9%17.0%14.5%14.9%
Put IV 25d18.4%16.3%21.0%18.8%18.3%
Bid-Ask Spread %10.415.1815.829.198.91
Gamma HHI0.170.100.350.220.14
Net GEX-53.3M-114.9M-2.0M-88.5M-53.0M
Net DEX193.3M-225.3M801.9M581.7M328.4M
Net VEX-4.2M-4.5M-3.9M-4.5M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.498.032.240.81
Total Volume143,233.71466,820251,760176,872131,422
Total OI1,797,959.0481,468,3142,023,1361,897,0221,632,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$24.50$25.0016.3%5.0%14.2%30.6%18.6%4.3%0.0%-88.5M581.7M-4.5M2.249.1954,652122,220619,7101,277,312
2016-09-02$24.80$25.0015.3%4.5%14.4%23.2%16.6%4.4%-0.2%-34.2M266.7M-4.2M1.159.93116,870134,890621,4101,306,780
2016-09-06$25.09$25.0015.1%4.3%15.1%25.2%18.0%4.2%-0.2%-29.8M-42.7M-4.0M1.845.1843,30079,536651,9121,261,014
2016-09-07$25.09$25.0014.8%4.2%15.1%23.6%14.6%3.8%0.0%-8.9M-37.2M-4.0M3.5412.2419,02267,340646,4441,294,640
2016-09-08$25.17$25.0014.1%4.2%15.2%17.4%18.0%4.0%-0.2%-2.0M-111.4M-3.9M8.0311.3616,122129,428650,1901,308,522
2016-09-09$24.26$25.0017.5%4.9%19.9%52.3%17.5%3.9%-0.2%-95.8M801.9M-4.3M5.7513.0634,632199,138651,0281,372,108
2016-09-12$24.70$25.0016.8%4.9%21.1%45.7%18.2%4.5%0.6%-81.5M352.5M-4.2M3.4015.8230,310102,976649,1181,321,612
2016-09-13$24.30$25.0018.4%5.2%21.1%61.8%19.4%4.1%-0.4%-105.5M697.2M-4.2M1.3811.2348,89867,368655,9561,334,282
2016-09-14$24.41$25.0017.8%5.1%20.9%61.5%18.4%4.4%-0.1%-114.9M605.2M-4.2M2.219.2922,97850,860664,1801,339,032
2016-09-15$24.61$25.0016.5%4.7%20.5%47.4%18.4%2.5%-0.3%-58.7M320.9M-4.2M0.6313.78135,39885,848674,8081,340,548
2016-09-16$24.64$25.0016.7%4.8%19.9%49.5%18.9%5.0%0.1%-74.5M513.0M-4.3M0.598.17141,44083,932571,0901,416,214
2016-09-19$24.86$25.0017.0%4.8%19.8%53.2%16.4%4.4%-0.1%-35.1M82.7M-4.4M0.9910.9963,63463,174440,9761,027,338
2016-09-20$24.84$25.0017.3%4.9%19.8%56.1%17.6%3.8%-0.2%-39.3M96.7M-4.4M1.5612.2067,812105,746446,4281,063,960
2016-09-21$25.34$25.0015.1%4.3%21.0%32.2%16.8%3.4%-0.3%-34.8M-126.2M-4.1M1.7313.8988,536153,300448,3661,145,392
2016-09-22$25.50$25.0014.3%4.1%21.1%22.6%15.0%3.4%0.0%-18.6M-225.3M-4.3M1.899.5748,39091,300488,9361,211,988
2016-09-23$25.45$25.0014.3%4.1%21.2%22.9%14.5%3.4%0.0%-18.8M-201.3M-4.4M0.777.5648,42637,470493,8901,229,798
2016-09-26$25.41$25.0014.9%4.3%19.8%29.5%15.7%3.5%0.6%-30.5M-159.9M-4.2M0.539.6343,55623,264486,9681,131,128
2016-09-27$25.08$25.0016.0%4.7%20.3%41.6%16.7%3.3%0.7%-54.3M13.2M-4.3M0.499.4048,68623,794489,7621,130,350
2016-09-28$25.02$25.0015.9%4.7%20.1%40.5%16.5%3.6%0.5%-60.1M43.9M-4.2M0.498.2051,20224,950492,1981,137,040
2016-09-29$24.73$25.0017.0%5.0%20.6%52.6%18.4%3.8%0.6%-79.4M259.9M-4.3M0.978.9153,74652,342493,9461,138,200
2016-09-30$24.57$25.0016.7%4.8%20.6%49.3%16.3%3.4%0.7%-53.0M328.4M-4.2M0.818.9172,66658,756500,4541,132,112