XLU Options History — February 2019

In February 2019, XLU traded between $27.22 and $28.49. ATM implied volatility averaged 12.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.3% (HV 20d: 12.5%). Max pain ranged from $27.00 to $27.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-02-08: Highest Volume — 79,240 contracts
  • 2019-02-28: Largest IV drop — 8.5% change
  • 2019-02-04: Highest IV Rank — 15.0%
  • 2019-02-04: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.90$27.22$28.49$27.22$28.46
Max Pain$27.32$27.00$27.50$27.00$27.50
ATM IV12.9%11.3%13.7%13.3%11.3%
Expected Move3.8%3.5%4.2%4.2%3.5%
HV 20d12.5%9.1%16.1%16.1%9.1%
HV 60d17.6%17.0%18.1%18.1%17.0%
IV Rank7.7%0.0%15.0%11.3%0.0%
IV Percentile17.5%0.0%39.7%29.0%0.0%
Term Structure0.3%-0.4%1.0%0.3%0.0%
VWIV13.9%12.1%16.8%15.3%12.4%
Skew 25d2.3%1.8%2.8%2.3%2.5%
Skew 10d4.5%3.1%5.4%5.0%4.0%
Call IV 25d11.8%10.5%13.0%12.4%10.5%
Put IV 25d14.1%13.0%15.2%14.7%13.0%
Bid-Ask Spread %2.301.863.412.532.11
Gamma HHI0.150.120.220.220.18
Net GEX18.5M10.9M45.4M45.4M18.9M
Net DEX-352.8M-444.2M-224.2M-240.2M-395.1M
Net VEX-2.2M-2.4M-2.0M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.292.331.071.61
Total Volume42,196.52610,60079,24039,14263,980
Total OI715,224.737626,910782,226725,278736,098

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$27.22$27.0013.3%4.2%16.1%11.3%15.3%2.3%0.3%45.4M-240.2M-2.4M1.072.5318,92020,222323,416401,862
2019-02-04$27.25$27.0013.7%4.2%15.9%15.0%15.2%2.4%0.8%17.4M-224.2M-2.3M1.251.875,2946,596305,352387,908
2019-02-05$27.34$27.0013.1%3.9%15.8%8.9%14.7%2.3%0.4%20.0M-264.0M-2.3M0.901.9710,9889,914308,168393,170
2019-02-06$27.31$27.0013.0%3.9%15.6%8.3%13.9%2.0%0.3%21.0M-256.5M-2.3M1.722.263,9026,698313,740400,040
2019-02-07$27.69$27.0013.3%4.0%15.9%10.7%14.6%2.2%1.0%18.8M-376.7M-2.2M1.502.7112,03018,092314,694403,634
2019-02-08$27.82$27.0013.0%3.9%15.4%8.4%14.2%2.2%0.8%18.5M-424.9M-2.2M0.852.3642,81836,422319,402416,678
2019-02-11$27.80$27.0013.5%3.9%15.3%13.4%14.3%2.2%0.1%18.1M-400.8M-2.2M0.662.2715,48410,188318,302404,832
2019-02-12$27.81$27.5013.6%3.9%12.0%13.5%14.2%2.4%0.2%18.5M-418.1M-2.3M0.582.2026,28615,176338,144424,370
2019-02-13$27.80$27.5013.1%3.8%11.4%9.5%13.3%2.2%0.6%17.1M-397.4M-2.2M0.292.1242,58012,448331,054427,316
2019-02-14$27.80$27.5013.1%3.7%11.5%9.3%13.4%1.8%0.5%15.1M-389.5M-2.2M0.631.8618,36811,552334,768436,486
2019-02-15$27.87$27.5013.0%3.7%11.4%8.2%13.8%2.1%0.6%10.9M-421.2M-2.2M1.211.8617,02620,586340,132442,094
2019-02-19$28.02$27.5012.9%3.7%11.5%7.8%13.0%2.6%-0.1%14.4M-290.9M-2.1M1.082.5016,60217,938266,266360,644
2019-02-20$28.14$27.5012.2%3.5%11.3%1.3%12.1%2.4%0.1%15.8M-328.7M-2.1M0.502.4728,19614,048277,548374,302
2019-02-21$28.32$27.5012.7%3.7%10.5%5.7%13.7%2.8%-0.3%19.5M-396.1M-2.1M2.333.4116,65238,754292,674379,858
2019-02-22$28.49$27.5012.2%3.5%10.6%0.7%12.2%2.1%-0.4%17.7M-444.2M-2.0M2.022.4425,01650,602298,854392,736
2019-02-25$28.30$27.5012.9%3.8%10.0%7.2%13.6%2.7%0.0%12.1M-330.5M-2.1M1.082.0821,44223,054288,874404,374
2019-02-26$28.33$27.5012.6%3.7%9.4%4.5%16.8%2.2%-0.1%16.5M-352.7M-2.1M0.472.3942,59019,822298,918409,942
2019-02-27$28.37$27.5012.3%3.7%9.4%2.4%12.8%2.2%-0.1%16.2M-351.8M-2.1M1.822.3014,69626,752301,958420,662
2019-02-28$28.46$27.5011.3%3.5%9.1%0.0%12.4%2.5%0.0%18.9M-395.1M-2.1M1.612.1124,51239,468305,452430,646