XLU Options History — November 2018

In November 2018, XLU traded between $26.54 and $27.75. ATM implied volatility averaged 15.8%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.8% (HV 20d: 17.6%). Max pain ranged from $26.75 to $27.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2018-11-12: Highest Volume — 304,882 contracts
  • 2018-11-19: Largest IV spike — 8.6% change
  • 2018-11-21: Highest IV Rank — 69.6%
  • 2018-11-23: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.26$26.54$27.75$26.66$27.75
Max Pain$26.99$26.75$27.25$26.75$27.25
ATM IV15.8%13.6%17.9%16.8%13.6%
Expected Move4.8%4.5%5.3%5.0%4.5%
HV 20d17.6%14.0%20.1%19.8%14.2%
HV 60d16.4%15.8%16.9%15.8%16.8%
IV Rank49.5%28.1%69.6%59.7%28.1%
IV Percentile80.2%47.6%96.4%90.5%47.6%
Term Structure0.1%-1.5%2.1%0.1%-0.4%
VWIV17.6%16.1%19.4%18.1%16.1%
Skew 25d2.7%2.2%3.2%2.6%3.0%
Skew 10d5.8%4.5%7.7%5.6%6.1%
Call IV 25d14.7%12.4%17.4%16.0%12.4%
Put IV 25d17.4%15.4%20.1%18.5%15.4%
Bid-Ask Spread %6.062.3212.5910.463.76
Gamma HHI0.140.100.310.120.12
Net GEX-21.3M-119.9M55.4M-68.1M1.3M
Net DEX-139.1M-582.8M439.0M329.1M-326.5M
Net VEX-3.6M-4.2M-2.8M-3.5M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.299.322.242.89
Total Volume106,920.28624,352304,88285,97083,546
Total OI1,455,739.0481,282,6661,731,8901,424,6301,403,660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$26.66$26.7516.8%5.0%19.8%59.7%18.1%2.6%0.1%-68.1M329.1M-3.5M2.2410.4626,54459,426497,644926,986
2018-11-02$26.54$26.7516.8%5.1%18.7%60.1%17.9%2.6%0.2%-119.9M439.0M-3.4M2.3511.5636,97286,708499,156941,370
2018-11-05$26.95$27.0016.4%5.0%19.4%56.8%18.3%2.7%0.0%-35.7M33.5M-3.2M0.295.33130,77038,576432,662850,004
2018-11-06$27.07$27.0015.9%4.9%19.5%52.0%16.6%2.6%0.1%-10.4M-177.4M-3.6M1.952.3231,60061,520538,374861,478
2018-11-07$27.46$27.0014.6%4.5%20.1%39.5%16.4%2.9%0.1%20.1M-518.8M-3.3M1.444.6522,08031,878556,872882,494
2018-11-08$27.33$27.0014.7%4.5%18.4%40.6%16.1%2.5%0.2%15.7M-446.3M-3.3M1.5212.5923,44235,608558,712891,894
2018-11-09$27.48$27.0014.2%4.5%18.4%34.1%19.4%2.7%0.1%55.4M-582.8M-3.2M9.327.0823,682220,680564,490905,760
2018-11-12$27.48$27.0015.2%4.7%18.2%43.3%16.4%2.3%1.1%10.7M-440.0M-3.4M0.587.81193,336111,546515,432914,328
2018-11-13$27.55$27.0015.0%4.6%18.0%41.7%18.8%2.9%1.0%30.1M-579.2M-3.8M1.425.6122,41831,788630,310996,056
2018-11-14$27.23$27.0015.1%4.9%18.6%42.7%17.0%2.4%2.1%14.1M-301.1M-3.8M2.216.4717,19037,934615,8421,011,042
2018-11-15$27.03$27.0016.1%5.0%18.7%52.6%16.9%2.7%1.5%241.6K-57.0M-3.9M0.858.26121,558103,488618,8481,030,460
2018-11-16$27.45$27.0015.6%4.8%18.8%47.5%18.9%2.6%1.4%25.0M-527.0M-3.9M3.317.9249,278163,218649,5981,082,292
2018-11-19$27.49$27.0017.0%4.9%18.6%60.4%18.1%2.2%-0.8%-23.6M-162.5M-4.1M1.586.3734,55654,526474,586914,840
2018-11-20$27.49$27.0017.5%5.1%18.6%66.1%18.3%2.8%-1.1%-32.9M-126.6M-4.2M0.796.2942,75433,852479,086946,344
2018-11-21$26.99$27.0017.9%5.1%17.6%69.6%18.2%2.6%-1.1%-61.7M251.2M-4.1M0.952.4641,41439,420468,758951,700
2018-11-23$27.05$27.0017.9%5.3%16.4%69.4%18.3%2.7%-1.5%-59.2M255.2M-4.0M0.886.0512,96411,388453,164965,316
2018-11-26$27.20$27.0016.4%5.0%14.9%55.0%18.0%3.2%-0.4%-56.0M105.0M-3.7M0.302.8161,50218,556443,562947,756
2018-11-27$27.43$27.0015.3%4.8%14.5%44.2%17.2%2.8%-0.6%-46.2M-43.5M-3.1M0.592.9032,21418,850412,410951,168
2018-11-28$27.39$27.0014.7%4.7%14.4%39.0%16.7%2.9%-0.5%-49.5M-22.3M-3.2M0.872.9814,93412,960427,422958,556
2018-11-29$27.37$27.0014.6%4.7%14.0%37.7%17.0%3.0%-0.4%-57.7M-23.8M-3.1M1.443.6120,73229,918429,660970,428
2018-11-30$27.75$27.2513.6%4.5%14.2%28.1%16.1%3.0%-0.4%1.3M-326.5M-2.8M2.893.7621,45462,092430,742972,918