XLU Options History — October 2016

In October 2016, XLU traded between $23.49 and $24.73. ATM implied volatility averaged 17.1%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 16.5%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-10-05: Highest Volume — 424,128 contracts
  • 2016-10-04: Largest IV spike — 7.4% change
  • 2016-10-05: Highest IV Rank — 81.3%
  • 2016-10-05: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.99$23.49$24.73$24.20$24.73
Max Pain$24.52$24.00$25.00$25.00$24.50
ATM IV17.1%14.9%19.6%17.5%16.3%
Expected Move4.9%4.4%5.5%5.0%5.0%
HV 20d16.5%13.9%21.6%20.8%14.9%
HV 60d16.3%15.7%16.7%15.7%16.7%
IV Rank53.7%27.9%81.3%59.0%44.2%
IV Percentile76.3%37.7%98.0%88.5%67.9%
Term Structure-0.2%-1.0%0.2%0.2%-0.1%
VWIV17.6%16.5%19.3%17.5%17.8%
Skew 25d3.3%2.8%4.2%3.4%3.5%
Skew 10d6.6%5.0%8.0%8.0%6.9%
Call IV 25d15.8%13.8%17.8%16.4%15.1%
Put IV 25d19.1%16.8%21.2%19.8%18.6%
Bid-Ask Spread %11.788.5317.8012.6617.80
Gamma HHI0.140.090.480.160.09
Net GEX-44.6M-168.2M6.3M-65.9M6.3M
Net DEX388.8M-221.9M833.4M475.1M-221.9M
Net VEX-4.3M-4.7M-4.0M-4.3M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.382.880.641.81
Total Volume139,082.85741,140424,128164,214196,994
Total OI1,781,828.6671,578,0442,004,7981,578,0441,643,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$24.20$25.0017.5%5.0%20.8%59.0%17.5%3.4%0.2%-65.9M475.1M-4.3M0.6412.66100,00664,208498,5801,079,464
2016-10-04$23.65$25.0018.9%5.3%21.6%73.3%17.9%3.2%0.1%-64.2M793.1M-4.1M1.4113.73101,138143,010540,0381,094,702
2016-10-05$23.62$25.0019.6%5.5%21.5%81.3%19.3%3.4%-0.0%-59.8M825.3M-4.3M1.6811.83158,106266,022588,9361,149,774
2016-10-06$23.58$24.5019.4%5.5%21.4%78.9%18.8%3.3%0.0%-51.5M778.0M-4.3M2.578.9575,456194,174667,0161,188,206
2016-10-07$23.61$24.5018.6%5.3%17.4%70.7%18.1%3.3%0.2%-85.8M833.4M-4.4M2.0710.6782,620170,828707,3781,264,564
2016-10-10$23.77$24.5017.8%4.8%16.2%61.9%17.3%3.6%-1.0%-48.7M547.5M-4.3M0.7510.7359,34844,424628,1981,142,054
2016-10-11$23.49$24.5018.3%5.1%15.7%67.1%18.4%3.6%-0.2%-53.4M744.9M-4.3M1.2511.1276,98296,190649,1901,154,478
2016-10-12$23.73$24.0017.2%5.1%16.1%54.6%17.6%4.2%-0.0%-47.6M576.8M-4.4M0.6311.5363,97640,214675,5281,207,786
2016-10-13$24.04$24.0017.7%5.0%16.6%60.5%17.0%4.0%-0.6%-35.1M288.9M-4.6M0.8810.06114,854100,710700,1081,220,028
2016-10-14$23.90$24.5017.4%5.0%16.7%57.7%17.3%2.8%-0.1%-50.4M439.9M-4.7M1.1410.1355,40863,248735,8141,268,984
2016-10-17$24.02$24.5017.4%5.0%16.4%57.0%17.0%3.2%-0.4%-47.5M422.2M-4.5M0.609.6629,07217,382690,9661,186,530
2016-10-18$24.20$24.5017.3%5.0%16.7%55.8%17.4%3.3%-1.0%-40.3M263.8M-4.5M0.389.8444,15216,884695,3721,188,944
2016-10-19$24.20$24.5016.8%4.8%14.7%50.4%17.1%3.2%-0.8%-37.4M245.4M-4.4M0.9712.5220,85820,282708,6261,189,928
2016-10-20$24.13$24.5016.5%4.7%14.4%46.7%17.4%3.1%-0.3%-45.0M306.8M-4.3M1.0010.5921,27021,184707,3281,193,034
2016-10-21$24.02$24.5015.9%4.6%14.4%40.3%17.4%2.9%-0.3%-168.2M377.9M-4.2M0.7911.0667,45853,380712,1141,197,434
2016-10-24$24.12$24.5015.6%4.6%14.6%36.6%16.8%3.3%0.2%-17.7M154.3M-4.1M1.9111.7821,93241,974628,242984,830
2016-10-25$24.20$24.5014.9%4.4%14.2%27.9%16.5%3.0%0.1%-10.0M107.5M-4.1M2.3113.1719,71045,488634,938992,758
2016-10-26$24.31$24.5015.0%4.5%14.4%29.1%17.6%2.9%0.1%-4.8M21.2M-4.0M0.788.5339,81030,930638,232976,222
2016-10-27$24.16$24.5015.5%4.7%14.0%34.6%17.9%2.9%0.1%-3.4M105.5M-4.1M2.8817.5319,96657,584661,790967,868
2016-10-28$24.20$24.5015.9%4.8%13.9%39.4%17.9%3.0%0.1%-5.7M78.3M-4.2M0.9613.4432,46031,048665,508993,846
2016-10-31$24.73$24.5016.3%5.0%14.9%44.2%17.8%3.5%-0.1%6.3M-221.9M-4.1M1.8117.8070,132126,862654,340988,726