XLU Options History — April 2017

In April 2017, XLU traded between $25.59 and $26.02. ATM implied volatility averaged 13.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.3% (HV 20d: 9.7%). Max pain ranged from $25.50 to $26.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.81.

Notable Days

  • 2017-04-04: Highest Volume — 135,786 contracts
  • 2017-04-06: Largest IV spike — 11.6% change
  • 2017-04-17: Highest IV Rank — 22.4%
  • 2017-04-17: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.84$25.59$26.02$25.59$25.82
Max Pain$25.71$25.50$26.00$26.00$26.00
ATM IV13.0%11.4%14.2%13.2%12.0%
Expected Move3.6%3.2%4.1%3.5%3.3%
HV 20d9.7%6.8%13.9%13.7%6.8%
HV 60d11.7%10.9%12.3%12.3%10.9%
IV Rank11.2%0.0%22.4%12.0%5.6%
IV Percentile13.6%0.0%33.3%12.7%0.4%
Term Structure-0.1%-1.2%0.4%0.2%-0.4%
VWIV12.9%11.8%15.0%12.5%12.2%
Skew 25d1.8%1.0%2.9%1.1%1.8%
Skew 10d4.0%0.2%6.3%4.6%4.1%
Call IV 25d12.4%10.9%14.0%14.0%10.9%
Put IV 25d14.3%12.7%15.8%15.1%12.7%
Bid-Ask Spread %17.156.8672.4411.7072.44
Gamma HHI0.140.100.240.110.14
Net GEX-40.8M-103.1M6.5M-45.8M6.1M
Net DEX-106.1M-259.3M71.8M71.8M-190.6M
Net VEX-5.2M-5.7M-4.8M-5.1M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.545.762.570.86
Total Volume83,016.42144,050135,78664,34654,326
Total OI1,451,008.1051,207,3741,632,8521,339,8421,246,288

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$25.59$26.0013.2%3.5%13.7%12.0%12.5%1.1%0.2%-45.8M71.8M-5.1M2.5711.7018,04246,304454,426885,416
2017-04-04$25.73$26.0012.9%3.4%13.9%9.1%12.1%1.9%0.3%-37.7M-33.0M-4.8M1.2612.7160,02475,762456,494909,158
2017-04-05$25.84$26.0012.7%3.2%12.9%6.0%11.8%1.8%-0.1%-35.2M-78.6M-5.4M2.4113.6818,57444,802499,910952,812
2017-04-06$25.80$25.5014.1%3.6%12.9%21.8%13.4%1.3%-1.2%-36.3M-77.3M-5.3M1.6311.3237,66461,314502,780962,558
2017-04-07$25.71$25.5012.7%3.8%12.9%6.4%12.6%1.3%0.1%-103.1M31.3M-5.7M1.249.9847,68059,004519,7861,006,984
2017-04-10$25.74$25.5013.1%3.7%12.8%10.3%12.9%1.6%-0.2%-61.8M14.4M-5.4M2.086.8618,78239,114512,996996,812
2017-04-11$25.73$25.5013.6%3.9%12.7%15.7%15.0%2.0%0.2%-63.1M5.2M-5.3M5.768.2019,956115,020514,2381,001,466
2017-04-12$25.90$25.5013.6%3.8%10.4%15.7%14.7%2.2%-0.1%-56.8M-78.5M-5.5M2.619.9236,67895,716515,5901,117,262
2017-04-13$25.84$25.5014.0%3.7%9.1%20.3%12.7%2.9%-1.1%-63.1M-83.2M-5.4M2.0215.2532,13864,774529,9581,077,156
2017-04-17$25.93$25.5014.2%4.1%9.2%22.4%14.3%2.6%-0.3%-38.1M-163.5M-5.3M2.1713.8425,36654,962529,3961,067,440
2017-04-18$26.02$25.5013.9%4.0%8.3%19.1%13.8%2.4%0.3%-27.1M-232.9M-5.2M0.8715.0242,58637,222526,9321,062,512
2017-04-19$25.79$25.5013.6%3.9%7.1%15.7%13.3%2.0%-0.1%-82.0M-53.8M-5.3M1.4212.5933,93848,086541,0601,064,336
2017-04-20$25.73$25.5013.1%3.7%7.0%11.2%12.8%2.0%0.4%-102.6M-5.3M-5.2M1.3112.1727,48635,972545,1081,062,818
2017-04-21$25.91$25.5013.2%3.8%7.2%11.3%13.4%2.4%-0.2%-22.3M-192.9M-5.2M3.0723.1729,47290,554546,0041,059,052
2017-04-24$26.00$26.0012.5%3.5%7.0%4.8%12.3%1.0%0.0%-5.9M-235.7M-5.0M1.1913.1624,49029,072476,482730,892
2017-04-25$25.95$26.0012.2%3.4%7.0%0.7%12.0%1.3%-0.0%-249.6K-244.6M-4.8M0.7317.8333,42024,486481,910733,624
2017-04-26$25.88$26.0011.4%3.4%7.0%0.0%12.2%1.8%-0.1%-6.6M-209.7M-5.0M0.5429.0532,72017,756492,264747,468
2017-04-27$25.96$26.0012.0%3.3%7.0%5.7%11.8%1.7%-0.1%6.5M-259.3M-4.9M0.7117.0225,70418,346494,714745,052
2017-04-28$25.82$26.0012.0%3.3%6.8%5.6%12.2%1.8%-0.4%6.1M-190.6M-4.8M0.8672.4429,15025,176496,880749,408