XLU Options History — September 2017

In September 2017, XLU traded between $26.45 and $27.91. ATM implied volatility averaged 10.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.7% (HV 20d: 9.4%). Max pain ranged from $26.50 to $28.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-09-14: Highest Volume — 276,240 contracts
  • 2017-09-12: Largest IV spike — 13.7% change
  • 2017-09-28: Highest IV Rank — 23.1%
  • 2017-09-27: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.13$26.45$27.91$27.39$26.50
Max Pain$27.48$26.50$28.00$26.50$27.00
ATM IV10.2%8.6%11.6%9.7%11.2%
Expected Move2.9%2.5%3.3%3.0%3.2%
HV 20d9.4%6.4%12.0%6.4%12.0%
HV 60d8.8%8.0%9.4%8.0%9.2%
IV Rank11.3%0.0%23.1%4.5%20.0%
IV Percentile13.7%0.0%35.7%3.2%30.2%
Term Structure0.3%-0.1%0.6%0.3%0.4%
VWIV10.5%8.9%12.1%10.2%11.1%
Skew 25d2.5%1.8%3.2%3.0%1.8%
Skew 10d5.0%3.6%6.6%5.6%3.6%
Call IV 25d9.3%8.1%10.8%8.6%10.5%
Put IV 25d11.8%10.4%13.1%11.6%12.4%
Bid-Ask Spread %3.742.817.285.263.75
Gamma HHI0.140.110.190.120.12
Net GEX-2.4M-60.2M63.6M33.0M-59.9M
Net DEX-132.0M-946.3M576.6M-558.3M492.3M
Net VEX-5.5M-6.6M-4.4M-4.4M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.162.080.941.10
Total Volume137,675.259,564276,240134,702122,574
Total OI1,901,1821,253,7022,518,0622,253,8681,616,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$27.39$26.509.7%3.0%6.4%4.5%10.2%3.0%0.3%33.0M-558.3M-4.4M0.945.2669,25665,446850,6141,403,254
2017-09-05$27.49$27.5010.2%2.9%6.4%8.7%9.6%3.2%-0.0%39.3M-663.1M-4.4M1.247.2846,81258,056876,2921,360,454
2017-09-06$27.34$27.5010.3%2.8%6.6%9.5%10.8%3.1%0.1%54.5M-553.8M-4.6M0.914.6687,63479,698890,8401,375,324
2017-09-07$27.57$27.509.6%2.8%6.9%4.3%8.9%3.1%0.2%36.5M-711.1M-4.9M1.383.0454,51475,492914,5641,431,124
2017-09-08$27.67$27.509.0%2.8%6.9%0.0%10.3%2.9%0.4%45.3M-761.2M-4.8M2.085.0640,34283,846917,5081,436,780
2017-09-11$27.91$27.508.6%2.5%6.8%0.0%10.0%2.6%0.4%63.6M-946.3M-4.4M1.062.8185,29690,070918,9861,425,672
2017-09-12$27.43$28.009.8%2.9%9.5%9.2%10.8%2.7%0.2%41.8M-606.9M-5.3M0.812.92113,11892,008968,5481,439,268
2017-09-13$27.30$28.009.5%2.7%9.5%6.8%10.0%2.6%0.2%11.7M-528.5M-5.5M0.513.2985,90443,7901,023,0901,488,664
2017-09-14$27.54$28.009.1%2.7%9.9%3.9%9.4%2.3%0.5%58.3M-658.1M-5.9M0.163.19238,90837,3321,019,0341,499,028
2017-09-15$27.36$27.509.3%2.6%10.0%5.3%9.8%1.9%-0.1%749.8K-129.6M-5.6M0.644.0136,25623,308806,0281,499,618
2017-09-18$27.09$27.5010.2%2.9%10.4%12.4%11.1%2.4%0.3%-17.2M152.8M-5.5M2.043.1037,45676,476418,524835,178
2017-09-19$27.05$27.5010.3%2.9%10.3%12.8%10.4%2.1%0.4%-28.3M186.7M-5.6M0.682.8951,11234,740421,374866,216
2017-09-20$26.82$27.5010.8%3.1%10.6%17.0%10.2%2.3%0.1%-40.2M296.8M-5.6M1.343.9449,44266,296438,350871,814
2017-09-21$26.81$27.5010.6%3.0%10.5%15.6%10.2%2.3%0.2%-46.8M313.1M-5.7M0.983.0967,52866,484463,932901,586
2017-09-22$26.64$27.5010.3%2.9%10.6%12.6%10.3%2.3%0.3%-50.7M435.7M-5.9M1.072.9476,32682,006496,538933,934
2017-09-25$26.84$27.5011.0%3.2%11.0%18.6%11.1%2.2%0.5%-43.4M287.5M-6.2M0.302.8692,74428,226518,554966,856
2017-09-26$26.82$27.5011.0%3.1%10.9%18.4%12.1%2.1%0.6%-44.5M305.6M-6.5M0.903.8173,18465,926548,8281,013,008
2017-09-27$26.45$27.5011.6%3.3%11.8%22.9%11.4%2.3%0.5%-60.2M576.6M-6.4M0.954.0681,26476,962560,6621,001,762
2017-09-28$26.58$27.0011.6%3.3%12.0%23.1%12.1%1.8%0.4%-42.2M429.5M-6.6M1.192.9044,64253,030590,6181,015,206
2017-09-29$26.50$27.0011.2%3.2%12.0%20.0%11.1%1.8%0.4%-59.9M492.3M-6.5M1.103.7558,35064,224593,6001,022,410