XLU Options History — May 2017

In May 2017, XLU traded between $25.63 and $26.95. ATM implied volatility averaged 11.5%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.2% (HV 20d: 7.2%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-05-04: Highest Volume — 233,130 contracts
  • 2017-05-17: Largest IV spike — 10.4% change
  • 2017-05-17: Highest IV Rank — 20.9%
  • 2017-05-04: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.06$25.63$26.95$25.73$26.95
Max Pain$25.34$25.00$26.00$26.00$25.50
ATM IV11.5%10.5%13.2%11.3%10.5%
Expected Move3.5%3.1%3.9%3.2%3.6%
HV 20d7.2%6.4%8.2%6.8%7.8%
HV 60d10.3%9.8%10.8%10.8%9.9%
IV Rank4.8%0.0%20.9%0.0%0.0%
IV Percentile3.8%0.0%22.2%0.0%0.0%
Term Structure0.2%-0.9%2.3%0.3%-0.2%
VWIV12.9%11.1%14.9%11.1%13.2%
Skew 25d1.7%1.1%2.4%1.4%2.2%
Skew 10d3.2%1.8%4.3%1.8%3.4%
Call IV 25d10.6%9.5%12.2%10.8%9.5%
Put IV 25d12.3%11.6%14.1%12.1%11.7%
Bid-Ask Spread %13.551.9274.6671.505.11
Gamma HHI0.150.120.190.140.18
Net GEX4.6M-29.1M43.0M4.0M34.9M
Net DEX-283.3M-756.3M27.6M-133.8M-756.3M
Net VEX-5.4M-5.9M-4.7M-4.8M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.302.540.550.71
Total Volume67,078.90933,210233,13077,20265,632
Total OI1,428,211.1821,212,0901,539,8061,212,0901,474,714

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$25.73$26.0011.3%3.2%6.8%0.0%11.1%1.4%0.3%4.0M-133.8M-4.8M0.5571.5049,86227,340497,776714,314
2017-05-02$25.73$26.0011.1%3.1%6.6%0.0%12.0%1.2%0.1%-1.1M-118.3M-4.7M1.2663.0423,49429,506498,460728,030
2017-05-03$25.63$26.0011.3%3.2%6.4%2.3%13.2%1.4%-0.3%-5.3M-70.8M-4.7M0.9574.6627,84626,480500,558726,668
2017-05-04$25.71$25.0011.3%3.9%6.4%2.3%14.0%1.7%0.4%-452.8K-102.0M-4.7M1.369.6698,740134,390504,826740,596
2017-05-05$25.86$25.0011.3%3.7%6.7%2.4%13.4%1.6%0.1%-2.6M-187.7M-5.8M0.665.8177,06050,896579,106860,684
2017-05-08$25.88$25.0011.1%3.6%6.6%0.1%13.0%1.1%1.2%-6.8M-168.2M-5.6M2.544.3121,81255,328554,310866,592
2017-05-09$25.64$25.0011.2%3.8%7.4%1.5%13.4%1.6%2.1%-25.7M27.6M-5.9M2.338.9023,34854,432555,872899,930
2017-05-10$25.68$25.0011.1%3.8%7.5%0.0%13.6%1.2%2.3%-29.1M1.3M-5.9M1.166.3323,34227,114558,424933,230
2017-05-11$25.72$25.0011.7%3.8%7.1%6.6%13.4%1.2%1.7%-27.7M-27.9M-5.9M0.857.9329,62825,276562,418936,404
2017-05-12$25.86$25.0011.5%3.6%7.4%4.0%12.8%1.6%1.1%-19.6M-148.7M-5.8M0.373.9524,2308,980567,770942,472
2017-05-15$25.96$25.0011.8%3.5%7.4%7.1%12.6%1.6%-0.3%-6.5M-212.0M-5.7M0.791.9227,98222,222565,894934,692
2017-05-16$25.81$25.0012.0%3.5%7.6%8.9%12.3%1.3%0.1%-6.9M-123.3M-5.6M0.302.8740,12611,996572,640927,606
2017-05-17$25.88$25.0013.2%3.8%7.0%20.9%13.4%1.9%-0.9%-3.1M-164.8M-5.6M0.652.7323,78215,432589,542929,444
2017-05-18$25.99$25.5013.1%3.8%7.1%19.8%14.9%1.9%-0.7%3.1M-245.4M-5.7M1.072.8221,68423,168591,618936,972
2017-05-19$26.00$25.5012.6%3.6%6.7%15.1%13.0%1.9%-0.4%-17.9M-259.3M-5.7M0.623.7930,83419,014592,714947,092
2017-05-22$26.30$25.5011.8%3.5%7.7%7.7%12.3%2.4%-0.2%27.0M-428.9M-5.4M0.843.8429,23624,546555,690836,818
2017-05-23$26.32$25.5011.6%3.6%7.7%5.3%12.8%2.0%-0.1%29.8M-453.4M-5.4M0.672.7828,42818,932563,502846,396
2017-05-24$26.49$25.5011.1%3.4%7.8%0.5%11.9%2.0%-0.3%36.6M-572.8M-5.3M0.534.4246,74624,674585,134853,020
2017-05-25$26.72$25.5011.1%3.4%8.2%0.5%11.6%2.0%-0.3%43.0M-703.7M-5.1M1.383.3821,98030,348599,460865,626
2017-05-26$26.68$25.5010.6%3.3%7.9%0.0%11.9%2.1%-0.3%38.0M-671.4M-5.3M1.024.4428,37429,040601,670882,636
2017-05-30$26.79$25.5010.7%3.5%7.7%1.1%13.0%2.0%-0.1%37.3M-712.8M-5.0M0.883.9327,96424,492589,650849,676
2017-05-31$26.95$25.5010.5%3.6%7.8%0.0%13.2%2.2%-0.2%34.9M-756.3M-5.0M0.715.1138,30627,326595,562879,152