XLU Options History — November 2016

In November 2016, XLU traded between $23.00 and $24.66. ATM implied volatility averaged 18.7%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.8% (HV 20d: 20.5%). Max pain ranged from $24.00 to $24.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.51.

Notable Days

  • 2016-11-10: Highest Volume — 286,384 contracts
  • 2016-11-10: Largest IV spike — 10.9% change
  • 2016-11-14: Highest IV Rank — 100.0%
  • 2016-11-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.64$23.00$24.66$24.25$23.46
Max Pain$24.29$24.00$24.50$24.50$24.00
ATM IV18.7%16.6%21.4%18.5%18.7%
Expected Move5.7%4.9%6.3%5.8%6.3%
HV 20d20.5%14.2%24.7%14.2%24.4%
HV 60d18.9%17.2%20.3%17.2%20.3%
IV Rank70.7%46.5%100.0%69.2%70.1%
IV Percentile89.6%69.4%100.0%94.4%91.3%
Term Structure-0.1%-1.7%2.2%0.2%-0.8%
VWIV20.2%17.0%22.5%20.3%22.4%
Skew 25d3.4%2.7%4.1%3.5%3.0%
Skew 10d6.3%4.1%9.4%5.7%4.1%
Call IV 25d17.2%14.9%20.0%17.3%17.6%
Put IV 25d20.6%18.5%23.4%20.8%20.6%
Bid-Ask Spread %11.218.4916.3116.3111.38
Gamma HHI0.110.080.170.080.14
Net GEX-39.1M-70.4M4.8M-25.0M-47.6M
Net DEX452.3M-176.6M944.2M148.4M488.0M
Net VEX-3.6M-4.3M-2.9M-4.3M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.779.023.402.68
Total Volume111,851.42938,308286,384122,78699,986
Total OI1,751,579.3331,554,7861,882,1781,717,4761,813,930

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$24.25$24.5018.5%5.8%14.2%69.2%20.3%3.5%0.2%-25.0M148.4M-4.3M3.4016.3127,88294,904668,7661,048,710
2016-11-02$24.02$24.5018.6%5.9%14.7%70.6%21.8%3.0%-0.2%-36.2M314.4M-4.3M3.0714.3623,07870,736675,6981,052,444
2016-11-03$24.04$24.5019.0%5.9%14.7%74.0%20.6%3.5%-0.2%-36.7M290.0M-4.3M0.9711.3719,43418,874680,5161,059,176
2016-11-04$23.98$24.5019.3%6.0%14.7%77.4%20.7%3.2%-0.2%-27.9M320.2M-4.2M1.3410.4922,89630,646678,9301,062,208
2016-11-07$24.34$24.5017.9%5.5%15.4%62.6%20.7%4.0%1.0%-11.3M57.6M-3.9M1.2710.8237,07846,966661,4381,022,614
2016-11-08$24.66$24.5017.3%5.6%15.1%54.7%19.7%3.7%2.2%4.8M-176.6M-3.9M1.489.1824,34836,054678,4141,021,104
2016-11-09$23.73$24.5018.9%6.0%20.7%73.9%20.8%3.6%2.1%-35.0M476.7M-3.7M3.2912.6045,106148,306687,4221,039,686
2016-11-10$23.09$24.5021.0%6.3%22.1%97.4%22.1%3.8%1.2%-70.4M904.5M-3.5M4.5410.8751,658234,726689,3301,095,360
2016-11-11$23.02$24.5020.9%6.2%22.1%96.3%21.9%4.1%0.9%-61.6M944.2M-3.6M1.969.0040,49879,408704,0161,130,416
2016-11-14$23.00$24.5021.4%6.2%21.9%100.0%22.5%3.5%-1.0%-59.4M855.4M-3.4M3.088.4937,390115,346697,8521,090,310
2016-11-15$23.35$24.5020.3%5.9%22.5%87.2%20.1%2.8%-0.1%-51.9M652.4M-3.5M1.869.5036,99468,960712,2521,131,014
2016-11-16$23.21$24.5020.3%5.8%22.6%87.3%20.0%2.8%-1.7%-55.7M746.0M-3.3M2.7212.4435,38096,338716,1261,117,530
2016-11-17$23.22$24.0019.5%5.6%22.6%78.9%20.5%2.7%-1.1%-54.7M748.5M-3.3M1.309.2446,86460,848726,0121,134,194
2016-11-18$23.15$24.0018.7%5.5%22.6%69.7%18.8%2.7%-1.5%-47.6M781.2M-3.1M1.168.6028,38233,032740,4201,141,758
2016-11-21$23.34$24.0017.5%5.2%22.8%56.4%18.8%3.3%-0.8%-38.3M453.9M-3.0M2.289.4529,10266,338598,990955,796
2016-11-22$23.51$24.0016.6%4.9%22.9%46.5%17.0%3.9%-0.5%-29.7M368.8M-2.9M9.0210.2419,326174,356610,476949,402
2016-11-23$23.27$24.0017.4%5.3%23.0%55.5%18.7%3.4%-0.6%-52.4M584.3M-3.4M0.8413.6648,01440,410611,2201,103,504
2016-11-25$23.58$24.0017.5%5.4%23.6%56.2%18.9%3.8%-0.6%-37.3M375.4M-3.4M3.3513.8815,47251,906645,1301,106,058
2016-11-28$24.05$24.0016.8%5.5%24.7%49.0%19.1%3.5%-0.2%-23.3M90.8M-3.3M2.3913.4541,86699,950628,5661,104,458
2016-11-29$24.11$24.0017.2%5.6%23.4%52.7%19.6%3.7%-0.2%-23.0M73.8M-3.6M0.7710.1228,20421,818646,8041,145,116
2016-11-30$23.46$24.0018.7%6.3%24.4%70.1%22.4%3.0%-0.8%-47.6M488.0M-3.6M2.6811.3827,20072,786662,1081,151,822