XLU Options History — December 2018

In December 2018, XLU traded between $25.73 and $28.54. ATM implied volatility averaged 17.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.3% (HV 20d: 15.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.33.

Notable Days

  • 2018-12-20: Highest Volume — 184,674 contracts
  • 2018-12-17: Largest IV spike — 29.3% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-26: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.47$25.73$28.54$28.00$26.43
Max Pain$27.77$27.00$28.00$27.50$28.00
ATM IV17.3%13.3%23.0%13.3%20.1%
Expected Move5.1%4.1%6.9%4.3%6.0%
HV 20d15.9%11.6%23.0%14.2%22.3%
HV 60d17.3%15.8%19.5%16.6%19.0%
IV Rank57.3%24.7%100.0%24.7%73.2%
IV Percentile79.2%37.7%100.0%37.7%97.2%
Term Structure-0.1%-0.8%0.5%0.1%-0.0%
VWIV18.7%14.9%24.9%15.6%21.2%
Skew 25d3.1%2.7%3.7%2.8%2.8%
Skew 10d6.1%4.0%7.5%6.2%6.4%
Call IV 25d16.1%11.9%21.4%11.9%19.1%
Put IV 25d19.2%14.8%25.1%14.8%22.0%
Bid-Ask Spread %5.202.8125.002.813.60
Gamma HHI0.190.130.510.160.17
Net GEX-37.9M-188.6M23.2M1.1M-52.0M
Net DEX-2.8M-629.6M775.7M-489.9M491.3M
Net VEX-2.7M-3.1M-2.2M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.646.900.980.92
Total Volume103,868.933,684184,674103,86838,242
Total OI1,353,491910,3581,655,1681,390,064938,860

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$28.00$27.5013.3%4.3%14.2%24.7%15.6%2.8%0.1%1.1M-489.9M-2.4M0.982.8152,55251,316422,036968,028
2018-12-04$28.08$27.5014.0%4.6%13.4%31.4%15.8%2.9%-0.1%2.6M-532.3M-2.3M0.643.89109,73270,040427,906984,710
2018-12-05$28.09$27.5013.9%4.7%13.4%30.6%16.3%2.9%-0.0%4.6M-509.4M-2.3M0.6625.00110,10672,128427,906984,710
2018-12-06$28.05$27.0014.5%4.2%12.6%36.8%15.2%3.3%0.0%3.9M-490.2M-2.5M2.433.9820,51649,850455,8241,002,840
2018-12-07$28.21$27.0014.4%4.3%12.5%35.5%14.9%3.1%0.3%16.3M-594.7M-2.4M2.754.758,97424,710457,1261,034,222
2018-12-10$28.34$27.0015.3%4.3%12.4%43.8%16.0%2.9%-0.2%15.3M-601.0M-2.2M6.903.5217,170118,526433,1641,022,164
2018-12-11$28.38$28.0014.8%4.3%12.4%35.1%15.7%2.7%0.2%-3.6M-505.9M-2.5M2.963.2014,45642,812433,4601,128,146
2018-12-12$28.34$28.0014.9%4.3%12.5%36.4%16.0%3.0%0.1%-100.1K-491.2M-2.5M3.753.3010,21438,354436,7441,157,632
2018-12-13$28.54$28.0014.4%4.2%11.6%30.8%15.9%2.8%0.5%23.2M-629.6M-2.4M2.013.3724,28248,710437,0841,181,276
2018-12-14$28.31$28.0014.4%4.1%11.7%31.5%15.8%2.8%0.2%16.6M-477.1M-2.7M0.923.6520,16218,548450,0161,205,152
2018-12-17$27.40$28.0018.7%5.4%16.2%75.3%19.0%3.4%-0.6%-75.4M345.4M-3.0M0.844.9747,30639,784372,9181,092,210
2018-12-18$27.30$28.0019.1%5.5%16.2%79.9%19.8%3.2%-0.4%-88.0M421.6M-3.1M3.714.7315,92659,160393,4501,096,430
2018-12-19$27.29$28.0018.3%5.2%16.2%69.1%19.7%3.4%-0.1%-99.7M413.9M-3.0M4.284.6433,316142,574398,8621,117,876
2018-12-20$27.25$28.0018.5%5.3%14.8%71.5%23.0%3.1%-0.7%-100.3M428.0M-2.9M1.148.6186,47098,204407,1841,008,004
2018-12-21$26.95$28.0019.0%5.5%15.3%76.9%19.5%3.0%-0.8%-188.6M651.5M-2.9M1.063.5552,90055,904399,3401,025,256
2018-12-24$25.73$28.0022.9%6.8%22.2%100.0%24.1%3.3%0.0%-52.3M775.7M-2.8M2.764.0838,782107,162230,478679,880
2018-12-26$26.09$28.0023.0%6.9%22.7%100.0%24.9%3.7%-0.5%-61.7M648.1M-2.8M3.424.2837,158127,224236,092695,826
2018-12-27$26.24$28.0021.1%6.3%22.9%83.3%22.7%3.3%-0.2%-57.5M571.1M-2.8M1.363.9430,48841,596248,496696,544
2018-12-28$26.34$28.0020.8%6.3%23.0%80.0%23.7%3.0%-0.3%-62.1M518.7M-2.9M3.064.1725,10876,916261,758720,210
2018-12-31$26.43$28.0020.1%6.0%22.3%73.2%21.2%2.8%-0.0%-52.0M491.3M-2.7M0.923.6019,97018,272255,170683,690