XLU Options History — July 2017

In July 2017, XLU traded between $25.69 and $26.66. ATM implied volatility averaged 10.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.3% (HV 20d: 9.2%). Max pain ranged from $26.00 to $26.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-07-12: Highest Volume — 221,594 contracts
  • 2017-07-19: Largest IV drop — 13.7% change
  • 2017-07-03: Highest IV Rank — 23.5%
  • 2017-07-03: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.13$25.69$26.66$25.86$26.66
Max Pain$26.32$26.00$26.50$26.50$26.50
ATM IV10.6%9.1%12.4%12.4%9.8%
Expected Move3.0%2.6%3.5%3.5%2.9%
HV 20d9.2%8.3%9.9%9.6%8.5%
HV 60d8.6%8.4%8.9%8.5%8.9%
IV Rank10.0%0.0%23.5%23.5%6.0%
IV Percentile7.5%0.0%19.8%19.8%2.4%
Term Structure0.1%-0.5%1.1%0.1%0.0%
VWIV10.7%8.1%12.7%11.4%10.4%
Skew 25d2.1%1.8%2.4%2.0%2.3%
Skew 10d4.7%3.8%5.5%3.8%5.0%
Call IV 25d9.8%8.4%11.4%11.4%9.2%
Put IV 25d11.9%10.3%13.5%13.4%11.5%
Bid-Ask Spread %3.831.349.059.053.89
Gamma HHI0.150.130.180.170.15
Net GEX-49.5M-92.0M11.3M-82.5M11.3M
Net DEX414.0M-262.1M919.7M755.5M-219.9M
Net VEX-7.0M-7.6M-6.6M-7.0M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.251.811.810.47
Total Volume104,874.542,316221,59486,39655,962
Total OI1,987,675.91,725,3322,226,0921,725,3321,937,534

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$25.86$26.5012.4%3.5%9.6%23.5%11.4%2.0%0.1%-82.5M755.5M-7.0M1.819.0530,78855,608555,0421,170,290
2017-07-05$25.75$26.5012.1%3.3%9.6%21.2%12.6%2.2%0.1%-84.9M854.7M-6.9M1.518.6156,69285,846555,7681,172,432
2017-07-06$25.73$26.5012.0%3.5%9.3%20.2%11.4%2.2%-0.4%-92.0M919.7M-6.9M1.124.3378,54688,304581,5741,241,586
2017-07-07$25.76$26.5011.6%3.1%8.8%16.5%12.7%2.0%-0.1%-65.6M833.0M-6.8M1.741.3468,442118,744629,2161,247,812
2017-07-10$25.75$26.5011.5%3.2%8.8%16.2%10.7%2.1%-0.5%-87.8M901.9M-7.1M1.243.7854,99267,948645,3781,307,410
2017-07-11$25.69$26.0011.2%3.3%8.8%13.3%11.6%2.1%0.4%-91.1M909.0M-7.1M1.402.0679,516111,304647,6921,293,276
2017-07-12$25.93$26.0010.9%3.2%9.5%11.2%11.7%2.0%0.1%-70.1M646.2M-7.6M0.771.93125,51896,076697,5281,311,600
2017-07-13$25.85$26.0011.1%3.0%9.0%12.8%11.1%1.8%-0.5%-82.7M762.0M-7.1M0.252.0777,96819,576703,2641,364,174
2017-07-14$26.00$26.0010.8%3.1%9.0%9.6%10.9%2.2%-0.2%-77.1M626.8M-7.6M0.802.2150,61840,532707,6221,377,418
2017-07-17$26.05$26.0010.8%3.1%9.1%10.2%10.9%2.0%0.2%-83.4M610.3M-7.5M0.631.4969,42443,924690,4461,379,980
2017-07-18$26.14$26.0010.5%3.0%9.3%7.8%10.8%2.1%-0.1%-68.3M525.5M-7.5M0.701.8129,59220,610712,5881,410,446
2017-07-19$26.26$26.009.1%2.6%9.4%0.0%8.1%1.9%1.1%-48.1M320.5M-7.1M0.794.0254,81043,232712,8421,414,140
2017-07-20$26.43$26.509.4%2.7%9.5%2.8%8.5%2.0%0.4%-37.7M68.3M-6.8M1.343.3942,70657,350737,4121,436,126
2017-07-21$26.59$26.509.3%2.6%9.8%1.5%9.3%1.8%0.3%5.9M-262.1M-6.6M1.042.3446,18048,154760,1921,465,900
2017-07-24$26.43$26.509.6%2.7%9.9%3.9%9.8%2.0%0.1%3.9M16.4M-7.1M0.711.8342,61430,208671,9781,273,526
2017-07-25$26.22$26.509.9%2.8%9.8%6.5%11.3%2.2%0.3%-37.5M222.8M-7.0M0.893.4437,50433,240678,8881,289,256
2017-07-26$26.43$26.509.4%2.7%9.6%2.9%9.9%2.0%0.3%-5.7M1.8M-6.6M0.468.7532,18414,902680,6321,302,448
2017-07-27$26.55$26.509.9%2.9%9.2%6.1%10.2%2.1%0.2%10.5M-119.1M-6.8M0.374.8330,79011,526684,5201,307,548
2017-07-28$26.50$26.5010.0%2.9%8.3%7.1%10.6%2.4%0.1%-7.0M-92.6M-6.8M0.485.4830,79814,762687,7261,310,308
2017-07-31$26.66$26.509.8%2.9%8.5%6.0%10.4%2.3%0.0%11.3M-219.9M-6.7M0.473.8938,03817,924662,5121,275,022