XLU Options History — January 2019

In January 2019, XLU traded between $25.93 and $27.34. ATM implied volatility averaged 16.2%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.3% (HV 20d: 21.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2019-01-14: Highest Volume — 190,706 contracts
  • 2019-01-10: Largest IV drop — 9.2% change
  • 2019-01-03: Highest IV Rank — 73.1%
  • 2019-01-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$25.93$27.34$25.93$27.34
Max Pain$26.38$26.00$28.00$28.00$27.00
ATM IV16.2%13.5%20.0%19.7%13.5%
Expected Move4.7%4.0%5.8%5.8%4.0%
HV 20d21.5%16.0%25.5%22.6%16.0%
HV 60d18.7%18.0%19.5%19.0%18.4%
IV Rank37.8%13.0%73.1%69.8%13.1%
IV Percentile70.2%32.9%96.8%96.4%33.7%
Term Structure-0.1%-0.7%0.3%-0.3%-0.0%
VWIV16.5%14.2%19.7%19.5%14.5%
Skew 25d2.5%1.8%3.1%2.6%2.6%
Skew 10d5.5%4.0%7.8%5.5%7.8%
Call IV 25d15.2%12.2%18.8%18.7%12.2%
Put IV 25d17.7%14.5%21.7%21.3%14.9%
Bid-Ask Spread %2.922.163.702.643.20
Gamma HHI0.160.100.260.210.11
Net GEX-27.0M-80.1M22.7M-61.2M22.7M
Net DEX179.3M-286.6M679.2M679.2M-286.6M
Net VEX-2.5M-2.6M-2.4M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.422.541.140.92
Total Volume65,466.66710,398190,70660,57041,184
Total OI935,868.667667,1381,243,366948,228714,248

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$25.93$28.0019.7%5.8%22.6%69.8%19.5%2.6%-0.3%-61.2M679.2M-2.5M1.142.6428,34032,230261,738686,490
2019-01-03$26.09$26.0020.0%5.6%22.8%73.1%19.4%2.9%-0.3%-56.4M590.4M-2.6M1.083.2944,37847,828280,004685,354
2019-01-04$26.34$26.0019.0%5.2%23.3%63.7%19.7%2.9%-0.2%-46.8M424.3M-2.6M1.212.7440,92249,488323,170692,782
2019-01-07$26.28$26.0018.9%5.2%23.3%62.4%18.1%2.8%-0.7%-52.7M471.7M-2.5M0.623.2110,9586,770310,410687,700
2019-01-08$26.51$26.0017.9%5.1%23.4%53.3%19.5%2.8%-0.2%-47.2M369.0M-2.4M0.422.8757,05023,996318,722691,696
2019-01-09$26.34$26.0017.7%5.0%23.3%51.7%16.6%2.7%-0.4%-41.4M409.1M-2.4M1.253.0132,68240,760362,194699,022
2019-01-10$26.70$26.0016.1%4.7%24.0%36.7%16.6%3.1%0.3%-27.6M241.8M-2.5M0.772.6761,03046,954376,584723,144
2019-01-11$26.59$26.0016.4%4.7%24.0%39.2%15.6%2.6%-0.1%-27.6M164.5M-2.5M2.502.9323,09057,816410,662682,270
2019-01-14$25.98$26.0017.4%5.0%24.7%48.9%17.5%2.6%-0.1%-80.1M484.0M-2.4M1.732.7869,882120,824401,502684,606
2019-01-15$26.33$26.0016.9%4.8%25.5%44.6%17.7%2.7%0.1%-73.4M302.1M-2.5M0.583.0760,38435,142412,888724,972
2019-01-16$26.42$26.5016.2%4.6%23.2%37.5%16.6%2.5%-0.3%-71.8M222.3M-2.6M0.642.8540,27425,622453,870734,002
2019-01-17$26.55$26.5015.3%4.4%23.3%29.4%16.0%2.1%-0.5%-33.8M70.2M-2.5M1.682.6718,41630,942484,602737,738
2019-01-18$26.55$26.5014.6%4.2%23.3%23.3%14.7%2.1%-0.1%-17.5M-25.1M-2.5M0.502.1636,57618,434492,292751,074
2019-01-22$26.48$26.5015.5%4.5%23.3%31.4%16.2%2.5%-0.1%-2.6M22.2M-2.5M2.543.7019,40649,256297,874369,264
2019-01-23$26.86$26.5014.7%4.3%23.6%24.2%15.5%2.2%0.2%9.3M-101.8M-2.6M1.222.3717,22821,102310,192377,470
2019-01-24$26.96$26.5014.1%4.2%16.1%18.1%15.3%2.2%0.2%14.1M-157.1M-2.6M0.653.0831,20620,414316,924389,052
2019-01-25$26.67$26.5013.8%4.0%16.2%15.8%14.2%2.1%0.1%10.8M-53.3M-2.6M2.262.8811,03424,922336,930391,686
2019-01-28$26.50$26.5014.6%4.3%16.3%22.8%14.6%2.0%0.2%837.5K28.6M-2.5M1.253.314,6185,780304,110369,786
2019-01-29$26.58$26.5014.4%4.2%16.2%21.0%15.0%2.1%-0.0%3.6M2.1M-2.5M1.983.189,20018,192313,140381,530
2019-01-30$26.83$26.5013.5%4.0%16.5%13.0%14.4%1.8%-0.0%12.4M-91.6M-2.5M1.402.7816,82823,642317,456394,092
2019-01-31$27.34$27.0013.5%4.0%16.0%13.1%14.5%2.6%-0.0%22.7M-286.6M-2.4M0.923.2021,50019,684316,992397,256