XLU Options History — May 2018

In May 2018, XLU traded between $24.43 and $25.76. ATM implied volatility averaged 13.4%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.0% (HV 20d: 13.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.37.

Notable Days

  • 2018-05-08: Highest Volume — 122,284 contracts
  • 2018-05-08: Largest IV spike — 10.0% change
  • 2018-05-15: Highest IV Rank — 50.8%
  • 2018-05-08: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.12$24.43$25.76$25.66$25.48
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV13.4%12.3%14.9%13.0%12.5%
Expected Move4.1%3.8%4.5%3.9%4.1%
HV 20d13.4%11.6%14.7%12.1%13.8%
HV 60d14.3%12.2%15.9%15.9%12.2%
IV Rank38.7%29.6%50.8%35.3%31.1%
IV Percentile69.0%55.2%84.1%67.9%56.0%
Term Structure0.1%-1.3%1.9%0.1%-0.3%
VWIV14.6%13.5%15.7%14.0%14.8%
Skew 25d2.0%1.3%2.9%1.6%2.9%
Skew 10d3.8%2.2%5.2%3.1%5.2%
Call IV 25d12.4%11.2%14.1%12.5%11.2%
Put IV 25d14.4%13.5%15.7%14.1%14.1%
Bid-Ask Spread %4.132.788.993.294.88
Gamma HHI0.150.100.300.110.17
Net GEX-26.0M-72.5M13.7M13.7M-5.2M
Net DEX174.9M-142.8M559.5M-142.8M-17.9M
Net VEX-2.6M-3.0M-2.4M-2.6M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.883.693.302.15
Total Volume63,638.09128,304122,28464,85040,146
Total OI1,072,217.545957,2441,181,488957,2441,073,644

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$25.66$25.0013.0%3.9%12.1%35.3%14.0%1.6%0.1%13.7M-142.8M-2.6M3.303.2915,08449,766490,448466,796
2018-05-02$25.63$25.0013.1%3.9%12.1%36.1%13.8%1.7%0.0%9.7M-84.6M-2.7M3.698.9911,29241,698493,422493,360
2018-05-03$25.63$25.0013.1%4.1%11.8%35.9%14.8%1.8%0.1%7.3M-65.0M-2.8M2.584.2017,38444,924492,784510,204
2018-05-04$25.76$25.0012.9%4.0%11.6%34.3%14.3%1.5%0.0%-4.7M-142.0M-2.7M3.434.9727,45294,274495,480520,670
2018-05-07$25.63$25.0012.9%4.2%11.7%34.6%14.5%1.9%1.7%880.1K-22.9M-2.9M2.165.038,95019,354479,886546,862
2018-05-08$25.02$25.0014.2%4.5%14.1%45.1%15.4%1.8%1.5%-20.0M237.7M-2.8M1.754.6944,45077,834480,684552,792
2018-05-09$24.77$25.0014.2%4.4%14.6%45.0%15.5%1.8%1.0%-31.9M372.6M-2.9M1.582.8139,22461,834502,436587,566
2018-05-10$25.11$25.0013.7%4.3%14.7%40.3%14.8%1.9%1.3%-28.0M224.6M-3.0M0.882.8042,08437,126506,790616,400
2018-05-11$25.20$25.0013.5%4.2%14.6%39.2%14.6%1.6%1.9%-20.8M160.8M-2.9M0.893.2131,71028,314516,796625,308
2018-05-14$25.05$25.0014.3%4.2%13.9%45.4%14.5%1.8%-0.9%-25.4M214.3M-2.7M1.963.2211,70222,890511,370591,882
2018-05-15$24.82$25.0014.9%4.3%13.4%50.8%15.4%1.7%-0.4%-42.3M325.7M-2.7M3.114.6812,79839,772512,128596,764
2018-05-16$24.66$25.0014.4%4.1%13.6%46.4%14.2%1.3%-1.3%-61.3M431.9M-2.6M3.292.8017,17456,480515,036614,932
2018-05-17$24.46$25.0014.2%4.1%13.7%44.7%15.0%2.3%-0.7%-64.8M537.0M-2.5M3.343.7422,34474,524519,172622,648
2018-05-18$24.43$25.0013.9%4.1%13.4%42.4%14.7%1.9%-0.5%-72.5M559.5M-2.5M3.453.1014,60050,382529,258652,230
2018-05-21$24.59$25.0013.8%4.1%13.7%41.3%15.2%2.4%-0.4%-56.3M381.0M-2.5M3.122.7814,70245,888448,256592,672
2018-05-22$24.70$25.0013.1%4.0%13.7%35.9%14.0%2.5%-0.2%-56.3M333.4M-2.5M1.413.7716,29222,900453,484601,852
2018-05-23$24.93$25.0013.0%4.0%14.1%35.3%13.5%2.4%-0.3%-38.2M224.9M-2.6M0.964.1526,92625,802459,796609,404
2018-05-24$25.11$25.0013.0%4.0%13.8%35.2%14.1%2.5%-0.3%-22.1M130.4M-2.5M2.723.7510,25427,872470,960612,780
2018-05-25$25.25$25.0012.3%3.8%13.6%29.6%14.1%2.2%-0.1%-11.8M65.4M-2.5M3.214.8714,42246,226472,946615,182
2018-05-29$25.23$25.0013.1%4.3%13.5%36.1%15.7%2.3%-0.6%-28.0M108.6M-2.5M1.964.5013,04425,580467,448599,752
2018-05-30$25.43$25.0012.5%4.1%13.7%31.4%14.3%2.6%-0.4%-13.2M15.1M-2.4M1.164.5925,22429,340469,280597,226
2018-05-31$25.48$25.0012.5%4.1%13.8%31.1%14.8%2.9%-0.3%-5.2M-17.9M-2.4M2.154.8812,73827,408481,304592,340