XLU Options History — June 2017

In June 2017, XLU traded between $26.01 and $27.16. ATM implied volatility averaged 10.5%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.2% (HV 20d: 8.2%). Max pain ranged from $25.50 to $27.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.87.

Notable Days

  • 2017-06-15: Highest Volume — 261,136 contracts
  • 2017-06-16: Largest IV spike — 10.2% change
  • 2017-06-29: Highest IV Rank — 22.0%
  • 2017-06-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$26.01$27.16$27.09$26.08
Max Pain$26.65$25.50$27.00$25.50$26.75
ATM IV10.5%9.6%12.2%10.9%11.5%
Expected Move3.0%2.8%3.6%3.6%3.2%
HV 20d8.2%6.6%9.4%7.5%9.4%
HV 60d8.4%7.4%9.9%9.9%8.3%
IV Rank5.2%0.0%22.0%3.7%15.9%
IV Percentile3.6%0.0%18.7%1.2%13.9%
Term Structure0.2%-0.4%0.6%-0.4%0.1%
VWIV11.3%10.2%13.6%12.3%10.9%
Skew 25d1.9%0.7%2.6%1.9%1.8%
Skew 10d3.7%1.4%4.5%3.8%4.2%
Call IV 25d9.7%9.0%11.2%9.7%10.8%
Put IV 25d11.6%10.4%13.3%11.6%12.6%
Bid-Ask Spread %3.752.097.306.214.99
Gamma HHI0.160.120.200.190.17
Net GEX-22.9M-93.4M40.0M40.0M-88.2M
Net DEX-264.0M-879.8M688.2M-839.8M624.5M
Net VEX-5.9M-7.2M-4.3M-5.0M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.264.032.290.94
Total Volume137,672.18274,770261,13694,426151,700
Total OI1,611,067.4551,399,0021,757,1601,496,7201,691,642

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$27.09$25.5010.9%3.6%7.5%3.7%12.3%1.9%-0.4%40.0M-839.8M-5.0M2.296.2128,67865,748607,530889,190
2017-06-02$27.16$25.5010.3%3.5%7.5%0.0%12.1%1.9%-0.4%12.1M-792.7M-5.4M1.404.6842,70459,752613,940983,580
2017-06-05$27.05$26.5010.2%2.9%7.7%0.0%11.2%2.3%0.2%14.4M-667.0M-5.4M1.212.9235,81443,302588,586977,518
2017-06-06$26.99$26.5010.2%2.9%7.9%0.1%10.4%2.2%0.1%11.8M-629.2M-5.4M4.035.0324,18297,422592,024980,318
2017-06-07$27.12$26.5010.1%2.9%6.6%0.0%10.5%2.2%0.1%16.4M-716.1M-5.0M3.693.4021,76680,278593,8521,028,638
2017-06-08$26.81$26.5010.3%2.9%8.3%2.3%10.9%2.3%-0.3%-2.7M-466.9M-5.8M0.603.02112,23267,864595,7361,036,588
2017-06-09$26.80$26.5010.3%2.9%8.4%2.3%11.6%2.6%0.3%-20.3M-479.4M-6.0M3.686.0031,236115,090628,3461,060,310
2017-06-12$26.77$26.5010.6%3.0%8.4%4.6%13.2%2.2%0.2%2.7M-421.1M-6.1M2.682.2727,94874,784627,5901,092,024
2017-06-13$26.84$26.5010.2%2.9%8.3%0.8%13.6%2.3%0.1%12.3M-481.3M-6.1M1.292.0932,60442,166629,1521,103,246
2017-06-14$27.02$26.509.9%2.9%8.0%0.0%11.6%2.2%0.3%15.4M-617.7M-5.8M1.282.8441,62853,342633,6921,104,406
2017-06-15$27.16$26.509.6%2.9%8.1%0.0%11.1%0.7%0.3%22.0M-879.8M-4.3M0.263.41206,50854,628636,9161,120,244
2017-06-16$27.08$27.0010.6%3.1%8.2%8.3%10.9%1.6%0.4%-9.6M-382.6M-5.1M2.334.6863,348147,868475,1741,140,350
2017-06-19$26.94$27.0010.4%3.0%8.6%6.5%11.4%1.6%0.2%-21.6M-227.2M-5.5M2.312.6264,114148,100450,616948,386
2017-06-20$26.99$27.0010.0%2.9%7.8%3.5%10.2%1.4%0.4%-31.0M-224.0M-5.7M1.302.2751,43266,920465,2961,038,828
2017-06-21$26.79$27.0010.2%2.9%8.4%4.6%11.1%1.7%0.6%-49.7M-34.7M-6.3M1.262.2150,09063,050467,5321,045,090
2017-06-22$26.73$27.0010.0%2.8%8.2%2.8%10.3%1.6%0.6%-52.1M-26.4M-5.9M1.173.8449,37057,878471,1281,051,696
2017-06-23$26.59$27.0010.2%2.9%7.9%4.6%10.7%1.6%0.6%-60.8M84.4M-6.1M2.183.6744,36896,930476,2141,074,952
2017-06-26$26.80$27.0010.4%2.9%8.3%6.6%10.7%1.6%-0.1%-47.9M-79.1M-5.9M3.132.4745,866143,678472,1281,088,742
2017-06-27$26.51$27.0011.0%3.0%9.0%11.6%11.0%1.8%0.1%-83.7M280.5M-7.0M1.393.2056,29278,388470,5961,157,240
2017-06-28$26.29$27.0011.2%3.2%9.1%13.7%11.0%1.8%0.2%-93.4M479.9M-7.2M1.273.4660,61076,752485,3501,176,106
2017-06-29$26.01$27.0012.2%3.5%9.3%22.0%11.8%2.1%0.0%-90.5M688.2M-7.2M1.457.3062,25690,102499,4381,173,554
2017-06-30$26.08$26.7511.5%3.2%9.4%15.9%10.9%1.8%0.1%-88.2M624.5M-7.1M0.944.9978,37073,330519,9321,171,710