XLU Options History — October 2018

In October 2018, XLU traded between $26.20 and $27.67. ATM implied volatility averaged 15.7%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.1% (HV 20d: 17.8%). Max pain ranged from $26.00 to $26.75. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.21.

Notable Days

2018-10-03: Highest Volume — 324,462 contracts
2018-10-11: Largest IV spike — 11.6% change
2018-10-11: Highest IV Rank — 68.7%
2018-10-29: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.86	$26.20	$27.67	$26.23	$26.91
Max Pain	$26.46	$26.00	$26.75	$26.50	$26.75
ATM IV	15.7%	13.3%	17.6%	13.3%	17.2%
Expected Move	4.6%	3.8%	5.4%	3.8%	5.3%
HV 20d	17.8%	15.3%	20.8%	15.3%	19.5%
HV 60d	14.1%	12.5%	15.8%	14.1%	15.8%
IV Rank	51.7%	30.2%	68.7%	30.2%	63.9%
IV Percentile	84.9%	53.6%	96.0%	53.6%	93.7%
Term Structure	-0.0%	-0.7%	0.5%	0.2%	0.0%
VWIV	16.6%	13.4%	20.7%	13.4%	20.7%
Skew 25d	2.6%	1.4%	3.2%	1.4%	2.8%
Skew 10d	5.7%	3.0%	7.5%	3.0%	5.6%
Call IV 25d	14.8%	12.8%	16.5%	12.9%	16.4%
Put IV 25d	17.5%	14.3%	19.4%	14.3%	19.3%
Bid-Ask Spread %	5.32	2.22	9.03	2.84	8.03
Gamma HHI	0.13	0.10	0.29	0.11	0.10
Net GEX	-31.6M	-163.7M	24.6M	7.5M	-47.4M
Net DEX	-42.4M	-604.3M	582.6M	28.1M	116.9M
Net VEX	-3.5M	-4.2M	-2.7M	-2.7M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	1.00	4.21	1.56	2.97
Total Volume	130,106.174	51,656	324,462	51,856	71,962
Total OI	1,354,382.261	888,154	1,652,004	888,154	1,416,916

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-10-01	$26.23	$26.50	13.3%	3.8%	15.3%	30.2%	13.4%	1.4%	0.2%	7.5M	28.1M	-2.7M	1.56	2.84	20,286	31,570	424,308	463,846
2018-10-02	$26.61	$26.50	13.6%	3.9%	16.1%	32.8%	14.0%	1.8%	0.1%	24.6M	-185.0M	-2.7M	1.25	2.22	29,090	36,458	430,326	472,108
2018-10-03	$26.20	$26.50	14.5%	4.2%	16.3%	41.0%	14.6%	1.9%	0.1%	5.8M	50.0M	-2.8M	4.21	9.03	62,226	262,236	439,838	479,820
2018-10-04	$26.38	$26.00	15.1%	4.3%	16.1%	46.9%	15.4%	2.5%	0.2%	-39.0M	99.0M	-3.4M	2.09	2.22	53,862	112,400	447,658	673,612
2018-10-05	$26.85	$26.00	15.4%	4.3%	16.8%	49.0%	16.2%	2.9%	-0.1%	23.0M	-252.0M	-3.6M	3.06	8.02	61,634	188,758	487,498	722,654
2018-10-08	$27.05	$26.00	15.9%	4.4%	16.9%	53.9%	15.5%	2.8%	-0.7%	5.2M	-307.4M	-3.4M	2.71	5.18	40,222	108,920	478,968	760,762
2018-10-09	$27.11	$26.00	15.4%	4.4%	16.9%	49.7%	17.1%	2.9%	-0.2%	1.9M	-335.1M	-3.5M	3.66	3.74	49,494	180,970	498,212	824,318
2018-10-10	$27.15	$26.50	15.8%	4.6%	16.9%	52.4%	17.3%	3.2%	0.5%	-25.9M	-256.3M	-3.8M	3.14	4.66	35,830	112,650	526,118	967,876
2018-10-11	$26.56	$26.50	17.6%	5.0%	18.4%	68.7%	17.4%	2.9%	-0.1%	-114.2M	439.2M	-4.1M	2.90	7.56	67,142	194,968	541,876	1,045,716
2018-10-12	$26.45	$26.50	17.0%	4.9%	18.4%	63.8%	16.8%	2.6%	-0.1%	-130.5M	582.6M	-4.2M	2.57	6.93	33,034	84,888	577,626	1,074,378
2018-10-15	$26.68	$26.50	16.7%	4.8%	18.7%	60.5%	16.3%	2.8%	-0.7%	-50.7M	152.9M	-3.9M	1.79	2.77	27,602	49,470	559,768	973,522
2018-10-16	$26.89	$26.50	15.2%	4.3%	18.9%	47.3%	15.5%	2.8%	-0.1%	-22.8M	-102.7M	-3.8M	1.85	5.38	37,620	69,718	573,138	991,010
2018-10-17	$26.80	$26.50	14.3%	4.1%	17.1%	39.5%	14.8%	2.5%	0.3%	-50.0M	-777.0K	-3.7M	1.00	2.65	29,306	29,288	588,576	1,028,942
2018-10-18	$26.91	$26.50	14.8%	4.3%	17.1%	44.2%	15.4%	2.6%	-0.2%	-40.2M	-135.8M	-3.6M	1.65	3.54	32,302	53,326	589,148	1,036,462
2018-10-19	$27.30	$26.50	14.6%	4.2%	17.7%	42.5%	15.0%	3.2%	-0.1%	24.0M	-604.3M	-3.3M	1.67	8.87	58,836	98,226	585,186	1,051,634
2018-10-22	$27.08	$26.50	15.4%	4.6%	17.4%	47.0%	16.4%	2.6%	0.1%	-17.6M	-121.8M	-3.4M	2.14	7.21	16,440	35,216	416,622	825,850
2018-10-23	$27.02	$26.50	15.2%	4.5%	16.6%	45.6%	16.4%	2.5%	-0.0%	-30.5M	-56.6M	-3.4M	2.07	3.30	33,758	69,786	421,614	841,786
2018-10-24	$27.67	$26.50	16.4%	5.0%	18.0%	55.9%	19.1%	2.8%	0.1%	-968.7K	-400.1M	-3.2M	1.44	8.25	69,318	99,538	430,100	859,046
2018-10-25	$27.16	$26.50	16.7%	4.9%	19.7%	59.6%	17.7%	2.9%	-0.1%	-32.4M	-91.0M	-3.5M	1.53	4.43	45,868	70,380	476,476	931,594
2018-10-26	$26.64	$26.75	17.5%	5.3%	20.4%	66.5%	18.4%	2.9%	0.1%	-163.7M	428.6M	-3.8M	2.95	6.90	24,500	72,174	496,246	984,734
2018-10-29	$27.00	$26.75	17.5%	5.4%	20.8%	66.6%	19.1%	2.7%	-0.2%	-30.7M	35.5M	-3.6M	1.37	4.83	24,498	33,526	471,196	888,572
2018-10-30	$27.13	$26.75	16.9%	5.2%	20.2%	61.1%	18.1%	2.7%	-0.1%	-21.9M	-58.1M	-3.5M	1.13	3.84	34,270	38,876	477,778	897,358
2018-10-31	$26.91	$26.75	17.2%	5.3%	19.5%	63.9%	20.7%	2.8%	0.0%	-47.4M	116.9M	-3.6M	2.97	8.03	18,106	53,856	495,450	921,466