XLU Options History — December 2016

In December 2016, XLU traded between $23.14 and $24.48. ATM implied volatility averaged 16.5%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.8% (HV 20d: 19.3%). Max pain ranged from $23.50 to $24.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-12-14: Highest Volume — 189,106 contracts
  • 2016-12-14: Largest IV spike — 8.3% change
  • 2016-12-01: Highest IV Rank — 75.3%
  • 2016-12-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.01$23.14$24.48$23.14$24.23
Max Pain$23.81$23.50$24.00$24.00$24.00
ATM IV16.5%14.9%19.2%19.2%15.8%
Expected Move4.8%4.3%6.6%6.6%4.4%
HV 20d19.3%12.8%25.0%24.6%12.8%
HV 60d18.9%17.9%20.6%20.5%18.0%
IV Rank45.6%27.9%75.3%75.3%37.6%
IV Percentile63.4%36.1%94.0%94.0%55.2%
Term Structure0.1%-0.7%0.7%-0.7%0.6%
VWIV18.0%15.9%23.6%23.6%16.8%
Skew 25d2.5%1.5%3.6%3.2%2.1%
Skew 10d5.0%1.6%6.6%6.6%3.7%
Call IV 25d15.7%14.2%18.1%18.1%14.9%
Put IV 25d18.3%16.4%21.3%21.3%17.0%
Bid-Ask Spread %9.264.7813.659.368.19
Gamma HHI0.130.110.160.150.12
Net GEX-13.6M-62.6M25.9M-57.5M10.8M
Net DEX82.1M-264.3M689.4M689.4M-141.1M
Net VEX-3.1M-3.7M-2.4M-3.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.553.682.043.68
Total Volume78,565.04835,280189,106139,65082,106
Total OI1,836,2241,657,9722,051,7941,853,2201,697,996

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$23.14$24.0019.2%6.6%24.6%75.3%23.6%3.2%-0.7%-57.5M689.4M-3.6M2.049.3645,88493,766669,8941,183,326
2016-12-02$23.41$24.0018.6%6.3%25.0%68.9%22.3%3.2%-0.6%-57.2M536.9M-3.7M2.599.4427,99072,580683,4581,222,844
2016-12-05$23.41$23.5018.2%5.0%25.0%64.6%18.5%3.6%-0.0%-58.8M522.2M-3.6M0.949.9134,16832,282667,8301,226,982
2016-12-06$23.35$23.5018.1%4.9%24.3%63.2%17.8%2.7%-0.4%-62.6M567.6M-3.5M2.028.5919,35439,028677,0901,236,302
2016-12-07$23.66$23.5016.9%4.8%24.3%50.2%19.2%2.8%0.0%-51.1M374.7M-3.5M1.4910.1221,86232,610680,1361,246,702
2016-12-08$23.71$23.5017.6%5.1%20.2%57.1%18.5%2.7%-0.0%-51.8M329.9M-3.5M1.367.2925,56434,836683,3041,274,962
2016-12-09$23.97$23.5016.7%4.8%17.8%47.9%17.6%2.8%0.1%-32.2M144.3M-3.4M1.519.3940,27060,672687,6261,288,466
2016-12-12$24.23$23.5016.5%4.8%18.0%45.5%18.0%3.1%0.1%-4.5M-43.1M-3.3M0.568.9953,99430,414692,1361,251,928
2016-12-13$24.48$23.5016.1%4.6%18.1%41.1%16.8%2.7%-0.1%15.6M-205.2M-3.3M1.527.7438,26457,978722,2661,260,526
2016-12-14$24.04$23.5017.4%5.0%19.1%55.9%18.5%2.4%-0.1%-5.5M108.0M-3.3M1.5913.3073,048116,058751,7021,288,510
2016-12-15$24.11$24.0016.5%4.7%18.9%45.2%17.1%1.5%0.3%-4.2M-75.6M-2.7M0.734.7862,81245,798746,1161,305,678
2016-12-16$24.16$24.0016.2%4.8%18.9%42.4%18.1%2.1%0.6%4.4M31.7M-3.0M1.486.2536,12453,286677,5361,302,058
2016-12-19$24.27$24.0015.7%4.5%18.8%36.1%17.1%2.4%0.2%3.2M-114.1M-2.8M1.228.6122,00426,838542,9341,117,078
2016-12-20$24.30$24.0015.5%4.5%18.7%34.4%16.7%2.3%0.1%7.1M-138.1M-2.8M1.527.2318,26627,796550,2161,122,428
2016-12-21$24.25$24.0015.4%4.4%18.6%33.6%17.2%2.4%0.1%2.1M-106.0M-2.8M0.799.8519,75815,522553,8421,128,276
2016-12-22$24.30$24.0015.3%4.4%18.1%31.9%16.1%2.5%0.0%9.6M-143.9M-2.7M1.1710.2223,42827,408556,4301,132,004
2016-12-23$24.32$24.0014.9%4.3%17.6%27.9%15.9%2.3%0.2%9.9M-155.0M-2.6M0.9312.5736,23033,790560,9181,138,626
2016-12-27$24.30$24.0015.2%4.3%16.2%31.1%16.8%2.1%0.7%16.5M-172.5M-2.5M0.558.8836,92620,150561,0701,096,902
2016-12-28$24.09$24.0015.8%4.5%16.5%37.2%18.3%2.3%0.6%-4.5M-22.3M-2.7M2.6613.6516,79644,610582,4921,105,632
2016-12-29$24.41$24.0015.2%4.4%13.6%31.1%16.1%2.1%0.6%25.9M-264.3M-2.4M1.0510.1524,21625,380584,0981,102,384
2016-12-30$24.23$24.0015.8%4.4%12.8%37.6%16.8%2.1%0.6%10.8M-141.1M-2.5M3.688.1917,55464,552586,8421,111,154