XLU Options History — September 2018

In September 2018, XLU traded between $25.80 and $27.43. ATM implied volatility averaged 13.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.7% (HV 20d: 12.3%). Max pain ranged from $26.50 to $27.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2018-09-25: Highest Volume — 172,948 contracts
  • 2018-09-07: Largest IV spike — 7.1% change
  • 2018-09-11: Highest IV Rank — 39.5%
  • 2018-09-04: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.79$25.80$27.43$26.84$26.31
Max Pain$26.63$26.50$27.00$26.50$26.50
ATM IV13.0%12.2%13.6%12.9%13.1%
Expected Move3.8%3.5%4.1%4.1%3.8%
HV 20d12.3%9.5%15.3%9.5%15.3%
HV 60d13.2%12.5%14.2%12.5%14.2%
IV Rank31.0%23.6%39.5%34.3%29.2%
IV Percentile46.0%24.6%63.5%42.9%49.6%
Term Structure0.1%-0.2%0.7%0.0%0.1%
VWIV13.3%12.5%14.1%14.1%13.3%
Skew 25d2.1%1.5%2.7%2.4%1.5%
Skew 10d3.9%2.9%4.7%4.1%3.0%
Call IV 25d12.2%11.3%13.0%11.6%12.6%
Put IV 25d14.3%13.7%14.8%14.0%14.1%
Bid-Ask Spread %3.692.077.664.492.19
Gamma HHI0.150.100.250.100.24
Net GEX-10.1M-76.4M20.1M7.3M-36.5M
Net DEX-142.4M-469.4M311.5M-226.0M-20.3M
Net VEX-2.3M-2.7M-2.1M-2.2M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.223.161.370.83
Total Volume76,453.26324,222172,94865,68078,776
Total OI1,073,750.737709,0241,277,8401,052,822945,966

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$26.84$26.5012.9%4.1%9.5%34.3%14.1%2.4%0.0%7.3M-226.0M-2.2M1.374.4927,74237,938337,134715,688
2018-09-05$27.18$26.5012.6%4.0%10.4%31.7%13.4%2.6%0.0%13.6M-371.7M-2.2M0.786.3529,99023,248349,346735,720
2018-09-06$27.43$26.5012.4%3.5%10.4%30.2%13.2%2.3%0.1%20.1M-469.4M-2.1M3.165.1122,10069,786364,816742,930
2018-09-07$27.04$26.5013.3%3.8%11.7%37.3%13.5%2.7%-0.0%-4.2M-248.5M-2.5M1.767.6623,83841,884367,188807,038
2018-09-10$27.21$26.5013.0%3.8%11.7%35.1%13.6%2.4%0.4%10.3M-351.4M-2.3M0.452.9524,57011,134367,088781,344
2018-09-11$27.11$26.5013.6%3.8%11.9%39.5%13.0%2.5%-0.2%5.9M-305.6M-2.4M1.972.8720,85441,078370,188780,948
2018-09-12$27.11$26.5012.8%3.7%11.9%31.1%12.9%2.5%0.1%-8.9M-298.8M-2.3M1.272.2210,68413,538373,978807,770
2018-09-13$27.28$26.5012.3%3.6%11.9%27.0%12.5%2.1%0.2%2.9M-378.8M-2.3M0.732.6515,82411,618376,194810,448
2018-09-14$27.16$26.5012.2%3.6%11.1%25.4%12.5%2.4%0.7%9.0M-362.1M-2.2M0.933.9925,61223,812382,520812,820
2018-09-17$27.26$26.5012.6%3.6%11.1%28.0%13.0%2.4%0.4%12.9M-372.3M-2.2M0.222.0758,13212,870377,300789,246
2018-09-18$27.20$26.5012.5%3.6%11.1%23.6%12.9%2.5%-0.1%19.9M-386.5M-2.2M1.922.3714,08827,090390,738793,232
2018-09-19$26.59$27.0013.2%3.8%13.5%30.0%13.6%2.0%0.1%-27.0M11.5M-2.4M1.472.9643,74664,136416,184842,806
2018-09-20$26.67$27.0013.1%3.8%13.1%28.8%13.5%2.0%0.1%-30.4M-17.1M-2.5M0.573.2088,07450,228415,236862,604
2018-09-21$26.62$27.0013.1%3.7%13.1%28.3%13.2%1.5%0.0%-76.4M73.7M-2.4M0.693.6531,55421,902354,452877,234
2018-09-24$26.30$27.0013.6%3.9%13.6%33.0%13.5%1.8%0.0%-34.2M141.6M-2.3M0.932.5620,32418,990292,752416,272
2018-09-25$25.95$27.0013.6%3.9%14.2%32.9%13.4%1.8%0.0%-32.2M288.1M-2.3M0.653.37104,95467,994301,962422,798
2018-09-26$25.80$26.5013.6%4.0%14.3%33.3%13.5%1.8%-0.0%-22.4M311.5M-2.3M0.854.7959,98850,954360,960427,774
2018-09-27$25.89$26.5013.3%3.9%14.0%30.5%13.6%1.6%0.1%-22.2M275.9M-2.4M0.844.6189,07674,486378,540452,050
2018-09-28$26.31$26.5013.1%3.8%15.3%29.2%13.3%1.5%0.1%-36.5M-20.3M-2.7M0.832.1943,01235,764438,240507,726