XLU Options History — June 2018

In June 2018, XLU traded between $24.23 and $26.02. ATM implied volatility averaged 13.1%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.8% (HV 20d: 13.9%). Max pain ranged from $24.50 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2018-06-12: Highest Volume — 179,808 contracts
  • 2018-06-25: Largest IV spike — 7.9% change
  • 2018-06-25: Highest IV Rank — 41.3%
  • 2018-06-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.03$24.23$26.02$25.11$26.02
Max Pain$24.98$24.50$25.00$25.00$25.00
ATM IV13.1%12.2%13.8%12.7%13.2%
Expected Move3.8%3.4%4.2%4.2%3.8%
HV 20d13.9%13.1%14.7%14.7%13.3%
HV 60d13.2%12.6%13.5%12.6%13.2%
IV Rank36.0%28.3%41.3%32.9%36.3%
IV Percentile62.8%50.8%70.6%58.3%61.9%
Term Structure0.0%-0.6%0.3%-0.6%0.3%
VWIV13.7%12.4%14.7%14.7%13.8%
Skew 25d2.1%1.7%2.7%2.7%2.1%
Skew 10d4.2%3.3%5.6%5.0%4.2%
Call IV 25d12.4%11.3%13.1%11.5%12.2%
Put IV 25d14.4%13.4%15.3%14.2%14.3%
Bid-Ask Spread %4.792.7712.453.323.68
Gamma HHI0.220.130.650.160.65
Net GEX-23.8M-89.5M110.0M-34.9M110.0M
Net DEX165.3M-234.1M556.1M175.2M-234.1M
Net VEX-2.5M-2.8M-2.1M-2.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.307.432.722.46
Total Volume80,803.71433,418179,80851,54294,294
Total OI988,903.524688,4181,268,2021,093,704893,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$25.11$25.0012.7%4.2%14.7%32.9%14.7%2.7%-0.6%-34.9M175.2M-2.4M2.723.3213,86037,682494,064599,640
2018-06-04$24.93$25.0012.2%3.4%14.6%28.3%12.6%2.4%0.3%-44.4M252.0M-2.3M2.719.7014,30238,774480,282598,534
2018-06-05$24.80$25.0012.2%3.4%14.7%28.5%12.4%2.1%0.2%-56.0M330.6M-2.2M2.392.9312,50629,888483,998611,438
2018-06-06$24.23$25.0013.0%3.8%14.5%35.0%13.2%2.2%0.1%-62.9M556.1M-2.1M2.725.4143,370117,766486,152603,622
2018-06-07$24.32$25.0013.3%3.7%14.3%37.6%13.7%2.4%0.1%-58.7M486.4M-2.2M1.114.1249,89855,526524,056621,770
2018-06-08$24.33$25.0013.4%3.7%13.3%38.4%13.8%2.3%-0.0%-89.5M483.0M-2.3M1.584.3327,26043,198541,792631,484
2018-06-11$24.30$25.0013.8%4.0%13.2%41.2%14.5%2.1%0.1%-50.2M463.5M-2.3M0.663.8043,02628,540517,020610,960
2018-06-12$24.55$25.0013.2%3.8%13.7%36.7%13.5%2.1%-0.0%-41.5M343.8M-2.3M7.433.0021,330158,478543,346625,022
2018-06-13$24.59$25.0013.2%3.8%13.4%36.7%13.7%1.8%0.0%-38.2M367.3M-2.6M0.3112.4578,56823,976544,568692,012
2018-06-14$24.78$24.5012.7%3.6%13.5%32.8%13.6%1.9%-0.3%-21.1M229.4M-2.6M0.306.6197,25028,960574,656693,546
2018-06-15$24.71$25.0013.1%3.8%13.2%36.0%12.9%1.8%0.2%-4.9M308.8M-2.5M2.675.2528,95877,446514,036697,252
2018-06-18$24.80$25.0013.3%3.8%13.2%37.2%13.6%1.7%-0.0%-31.8M162.2M-2.6M1.024.3625,26425,778223,942464,476
2018-06-19$25.07$25.0013.4%3.8%13.5%37.9%13.5%1.8%0.0%-25.3M82.9M-2.6M2.072.7936,86476,298232,008471,058
2018-06-20$25.11$25.0013.2%3.8%13.4%36.9%13.6%1.8%0.2%-24.5M67.2M-2.8M0.502.7722,33211,086252,016529,850
2018-06-21$25.14$25.0013.0%3.7%13.1%35.2%13.9%1.9%0.1%-23.4M60.4M-2.8M1.196.2117,52420,940263,856540,626
2018-06-22$25.36$25.0012.8%3.7%13.2%33.2%13.3%1.8%-0.0%532.0K-45.5M-2.7M0.734.4928,78220,914284,582561,882
2018-06-25$25.84$25.0013.8%3.9%14.6%41.3%14.7%2.1%-0.3%-3.2M-135.4M-2.6M1.314.3926,95035,198262,498536,250
2018-06-26$25.82$25.0013.5%3.9%14.6%39.1%14.1%1.9%-0.0%-12.5M-127.7M-2.5M0.964.1636,19834,816267,576564,382
2018-06-27$25.96$25.0013.1%3.8%14.5%35.9%13.7%1.9%0.1%1.7M-170.1M-2.5M0.613.7926,95016,506281,758576,296
2018-06-28$25.96$25.0013.4%3.8%14.5%38.2%13.9%2.3%0.2%11.0M-185.0M-2.5M0.413.1249,28620,336292,872578,778
2018-06-29$26.02$25.0013.2%3.8%13.3%36.3%13.8%2.1%0.3%110.0M-234.1M-2.5M2.463.6827,26667,028306,080586,938