XLU Options History — December 2017

In December 2017, XLU traded between $26.07 and $28.21. ATM implied volatility averaged 12.1%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.4% (HV 20d: 10.7%). Max pain ranged from $27.00 to $27.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-12-21: Highest Volume — 226,564 contracts
  • 2017-12-26: Largest IV spike — 9.1% change
  • 2017-12-26: Highest IV Rank — 62.7%
  • 2017-12-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.19$26.07$28.21$28.21$26.36
Max Pain$27.30$27.00$27.50$27.50$27.00
ATM IV12.1%10.7%13.8%11.5%12.8%
Expected Move3.5%3.1%4.2%4.2%3.4%
HV 20d10.7%9.3%12.2%9.3%12.1%
HV 60d10.0%9.3%10.5%9.9%10.3%
IV Rank40.6%23.2%62.7%27.3%50.4%
IV Percentile58.4%25.8%85.3%46.8%71.0%
Term Structure0.2%-0.2%0.7%-0.1%0.2%
VWIV12.7%11.2%15.7%15.7%12.6%
Skew 25d2.8%2.2%3.4%3.0%2.8%
Skew 10d5.5%4.0%6.5%6.1%5.5%
Call IV 25d11.1%9.9%12.7%10.3%11.1%
Put IV 25d13.9%12.6%15.3%13.2%13.9%
Bid-Ask Spread %4.172.3512.395.352.40
Gamma HHI0.190.130.740.230.16
Net GEX-38.8M-428.0M19.1M-40.1M-48.8M
Net DEX-2.8M-547.3M542.7M-534.0M377.0M
Net VEX-4.0M-4.5M-3.7M-3.9M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.232.881.310.84
Total Volume113,99265,652226,56482,48674,402
Total OI1,453,467.11,231,0701,665,1121,537,7521,390,690

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$28.21$27.5011.5%4.2%9.3%27.3%15.7%3.0%-0.1%-40.1M-534.0M-3.9M1.315.3535,74246,744493,1321,044,620
2017-12-04$28.06$27.0012.2%3.4%9.6%36.0%12.4%3.3%0.0%1.6M-466.7M-3.9M1.112.4231,08234,570487,7281,031,254
2017-12-05$27.70$27.0012.4%3.5%10.7%39.6%12.6%3.4%0.1%-11.1M-202.0M-4.2M2.882.9134,48099,474490,0481,047,440
2017-12-06$27.80$27.0012.0%3.2%9.8%35.2%12.4%3.2%0.1%-15.3M-283.8M-4.1M1.122.8032,26636,232492,0541,089,326
2017-12-07$27.84$27.0011.6%3.1%9.8%33.7%11.7%3.2%0.1%-2.6M-343.6M-3.9M0.832.8739,34032,762493,2381,042,372
2017-12-08$27.92$27.0010.7%3.1%9.9%23.2%11.6%2.7%0.1%2.9M-441.7M-3.7M0.462.9571,62632,838498,0821,048,608
2017-12-11$28.09$27.0011.6%3.4%10.0%33.8%13.3%3.1%0.3%19.1M-547.3M-4.0M0.448.7997,09642,642524,6381,023,392
2017-12-12$27.63$27.5011.9%3.6%10.7%36.9%12.5%3.2%0.7%-223.0K-227.1M-4.5M0.603.9561,13236,524569,1741,068,434
2017-12-13$27.72$27.5011.7%3.5%9.8%35.0%12.4%2.8%0.5%-2.5M-348.7M-4.4M0.7112.3944,10831,396582,5941,079,500
2017-12-14$27.66$27.5011.5%3.4%9.4%32.1%15.4%2.8%0.5%1.6M-291.4M-4.4M0.233.44109,40225,336583,1621,081,950
2017-12-15$27.48$27.5011.6%3.4%9.5%36.8%12.3%2.3%0.2%-428.0M54.5M-4.1M0.943.5554,38451,392449,5221,083,928
2017-12-18$27.20$27.5011.4%3.3%9.9%33.9%11.2%2.5%0.3%-7.1M19.4M-4.0M0.722.7648,93035,052406,584824,486
2017-12-19$26.70$27.5012.2%3.5%11.6%43.9%11.9%2.5%0.4%-35.2M273.6M-4.1M1.074.4576,34281,452409,910835,518
2017-12-20$26.52$27.5012.2%3.5%11.6%44.0%11.9%2.7%-0.2%-53.6M401.5M-4.0M0.794.16109,79886,630405,954869,156
2017-12-21$26.18$27.5012.7%3.6%12.1%49.6%12.4%2.8%0.2%-54.6M541.4M-3.9M1.085.92109,002117,562420,348862,292
2017-12-22$26.23$27.5012.6%3.6%12.2%48.6%12.3%2.2%0.4%15.1M519.9M-4.0M0.562.3582,52046,380452,426898,476
2017-12-26$26.07$27.5013.8%3.9%11.8%62.7%14.1%2.6%0.0%-48.2M542.7M-3.9M0.842.3548,20240,486431,068868,578
2017-12-27$26.18$27.5013.3%3.7%11.9%56.9%12.8%2.5%0.1%-39.6M491.1M-3.8M1.204.5459,23871,074444,142869,992
2017-12-28$26.33$27.0012.9%3.5%12.2%51.9%12.3%2.5%0.2%-28.6M409.4M-4.0M0.683.0666,75245,450470,334905,192
2017-12-29$26.36$27.0012.8%3.4%12.1%50.4%12.6%2.8%0.2%-48.8M377.0M-4.0M0.842.4040,41433,988477,038913,652