XLU Options History — January 2017

In January 2017, XLU traded between $24.05 and $24.57. ATM implied volatility averaged 14.3%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.2% (HV 20d: 11.1%). Max pain ranged from $23.50 to $24.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-01-20: Highest Volume — 109,906 contracts
  • 2017-01-20: Largest IV drop — 9.8% change
  • 2017-01-03: Highest IV Rank — 48.7%
  • 2017-01-03: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.28$24.05$24.57$24.20$24.57
Max Pain$23.98$23.50$24.00$24.00$24.00
ATM IV14.3%12.2%16.8%16.8%13.0%
Expected Move4.0%3.4%4.7%4.7%3.7%
HV 20d11.1%9.1%12.9%12.3%10.5%
HV 60d17.8%16.8%18.0%18.0%17.0%
IV Rank21.0%0.0%48.7%48.7%8.9%
IV Percentile25.9%0.0%71.4%71.4%4.0%
Term Structure0.0%-0.6%0.5%-0.1%0.2%
VWIV14.4%12.1%16.7%16.7%13.2%
Skew 25d2.1%1.6%2.7%2.7%2.0%
Skew 10d4.8%3.5%6.5%6.0%4.6%
Call IV 25d13.6%11.8%16.0%16.0%12.2%
Put IV 25d15.7%13.4%18.6%18.6%14.3%
Bid-Ask Spread %12.568.7715.7712.7715.77
Gamma HHI0.160.120.250.130.25
Net GEX3.1M-12.3M18.9M-1.4M18.4M
Net DEX-125.0M-294.8M13.7M-83.5M-294.8M
Net VEX-2.0M-2.4M-1.8M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.623.101.691.29
Total Volume61,75332,566109,90664,15064,648
Total OI1,370,250.8623,8481,821,1881,686,800706,520

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$24.20$24.0016.8%4.7%12.3%48.7%16.7%2.7%-0.1%-1.4M-83.5M-2.4M1.6912.7723,89240,258552,7321,134,068
2017-01-04$24.32$24.0016.3%4.5%12.4%42.7%16.1%2.6%0.0%8.5M-168.8M-2.3M2.1914.6423,03850,496554,1621,143,402
2017-01-05$24.27$23.5015.9%4.5%12.4%38.9%16.7%2.0%-0.0%-2.9M-140.5M-2.3M3.1014.5020,89064,692561,4981,171,060
2017-01-06$24.43$24.0015.1%4.3%11.8%29.4%15.3%1.7%0.0%16.1M-246.8M-2.2M1.8911.8125,12847,402562,1841,207,138
2017-01-09$24.13$24.0015.7%4.5%12.9%35.9%15.7%1.9%0.0%-6.3M-42.5M-2.2M1.1313.2531,73035,762557,2241,177,098
2017-01-10$24.05$24.0015.4%4.4%12.4%33.1%15.4%1.9%0.0%-11.7M13.7M-2.1M1.7111.2530,08051,326553,1921,181,974
2017-01-11$24.27$24.0014.9%4.1%12.2%28.1%14.9%2.1%-0.5%-12.3M-46.3M-2.0M0.8910.6622,58220,012539,9881,181,034
2017-01-12$24.32$24.0014.4%4.1%11.6%21.7%14.4%2.3%-0.4%-11.9M-52.4M-2.0M1.5810.8017,71228,054549,0101,181,362
2017-01-13$24.28$24.0013.8%3.9%9.5%14.9%14.3%2.3%-0.4%-3.3M-69.0M-1.9M1.0511.9026,76628,084554,7501,189,646
2017-01-17$24.52$24.0014.4%4.1%10.1%21.7%14.0%2.0%0.1%18.9M-240.5M-1.8M1.1112.9830,19033,636553,0081,186,742
2017-01-18$24.51$24.0014.3%4.1%10.1%20.4%14.8%2.4%-0.2%-13.0K-196.7M-1.8M0.6214.3049,08430,422569,0141,201,366
2017-01-19$24.25$24.0015.2%4.4%10.7%30.5%15.0%2.5%-0.6%-7.4M-61.3M-1.9M1.1611.2929,60234,382595,4961,212,442
2017-01-20$24.30$24.0013.7%3.9%10.7%13.9%15.5%2.4%0.5%-4.5M-132.3M-1.9M0.8511.6759,33450,572604,7121,216,476
2017-01-23$24.20$24.0013.7%3.9%10.8%14.4%13.8%2.2%0.1%6.5M-111.9M-2.0M0.788.7719,33215,042302,534321,314
2017-01-24$24.20$24.0013.1%3.7%10.8%7.5%13.4%2.1%0.2%6.5M-115.1M-2.0M0.7013.9836,49225,580310,160326,848
2017-01-25$24.18$24.0012.8%3.6%10.8%4.3%12.9%1.7%0.2%11.5M-122.5M-2.0M0.689.9819,33813,228333,198334,232
2017-01-26$24.19$24.0012.5%3.5%10.8%1.1%12.1%1.8%0.2%12.5M-138.9M-2.0M0.7412.1933,59224,692341,166336,180
2017-01-27$24.18$24.0012.2%3.4%10.3%0.0%12.2%1.6%0.3%14.3M-129.6M-2.1M1.0613.0219,34820,584360,332348,608
2017-01-30$24.16$24.0012.6%3.6%9.1%5.0%12.5%2.2%0.2%9.8M-119.8M-2.0M0.9015.7620,02818,030345,494347,652
2017-01-31$24.57$24.0013.0%3.7%10.5%8.9%13.2%2.0%0.2%18.4M-294.8M-2.0M1.2915.7728,28836,360351,946354,574