XLU Options History — March 2019

In March 2019, XLU traded between $28.55 and $29.41. ATM implied volatility averaged 11.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.5% (HV 20d: 7.4%). Max pain ranged from $27.50 to $29.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2019-03-22: Highest Volume — 229,956 contracts
  • 2019-03-19: Largest IV spike — 9.1% change
  • 2019-03-28: Highest IV Rank — 15.3%
  • 2019-03-08: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.95$28.55$29.41$28.57$29.07
Max Pain$28.30$27.50$29.00$27.50$29.00
ATM IV11.8%11.0%12.8%11.3%12.4%
Expected Move3.6%3.4%4.1%3.4%3.6%
HV 20d7.4%4.9%10.3%6.9%10.3%
HV 60d15.2%11.6%17.0%16.9%11.6%
IV Rank6.1%0.0%15.3%0.5%11.8%
IV Percentile5.1%0.0%20.6%0.4%11.1%
Term Structure0.1%-0.1%0.5%0.3%0.2%
VWIV13.3%12.0%16.8%12.6%13.0%
Skew 25d2.3%1.0%3.1%2.9%2.4%
Skew 10d4.6%2.3%6.3%5.1%4.8%
Call IV 25d10.9%9.8%11.9%9.8%11.2%
Put IV 25d13.3%12.0%14.4%12.7%13.6%
Bid-Ask Spread %2.872.014.422.142.67
Gamma HHI0.150.090.270.140.15
Net GEX-15.5M-104.5M33.5M17.4M-59.4M
Net DEX-234.7M-546.3M132.0M-423.7M16.6M
Net VEX-2.6M-3.4M-2.0M-2.1M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.605.051.541.45
Total Volume97,819.14325,732229,95649,010105,986
Total OI857,274.762665,1861,109,328769,9381,109,328

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$28.57$27.5011.3%3.4%6.9%0.5%12.6%2.9%0.3%17.4M-423.7M-2.1M1.542.1419,29229,718314,614455,324
2019-03-04$28.58$27.5011.7%3.8%6.5%3.8%13.6%2.4%-0.1%16.1M-400.3M-2.1M0.802.1514,27811,454305,360450,626
2019-03-05$28.55$27.5011.6%3.8%6.6%2.7%13.8%2.3%-0.1%14.9M-390.9M-2.0M3.132.609,70630,364304,062454,750
2019-03-06$28.59$27.5011.6%3.8%6.6%2.6%13.8%2.3%0.1%10.8M-392.6M-2.0M2.112.0113,98229,508305,954476,674
2019-03-07$28.66$27.5011.9%4.0%6.5%5.6%16.8%2.3%-0.1%8.8M-369.9M-2.1M2.282.2840,35891,946304,586479,312
2019-03-08$28.68$27.7512.1%4.1%4.9%6.9%15.1%3.1%0.1%6.9M-322.6M-2.3M2.482.4623,79058,980307,144509,012
2019-03-11$28.96$28.5011.6%3.5%5.5%2.5%12.8%2.5%0.0%23.2M-475.2M-2.1M1.343.2027,90437,360298,600483,234
2019-03-12$29.18$28.5011.2%3.5%5.8%0.0%13.8%2.5%0.3%19.2M-533.2M-2.1M4.213.3814,21459,834309,932500,444
2019-03-13$29.23$28.5011.1%3.4%5.7%0.0%12.2%1.0%0.0%13.3M-546.3M-2.0M2.312.9923,41854,124312,940543,930
2019-03-14$29.20$28.5011.0%3.4%5.8%0.0%12.5%2.3%0.5%1.2M-482.7M-2.3M0.604.42125,92875,816323,754576,036
2019-03-15$29.11$28.5011.0%3.4%6.0%0.0%12.0%2.1%-0.1%-13.7M-147.8M-2.3M1.233.2857,18470,266217,536628,762
2019-03-18$28.94$28.5011.2%3.4%6.7%2.0%12.3%2.6%0.1%-23.3M-101.1M-2.5M3.422.8330,020102,602222,938442,248
2019-03-19$28.58$28.5012.3%3.6%8.3%10.5%12.5%2.3%-0.1%-64.3M107.1M-2.9M2.232.7925,36856,514246,482529,760
2019-03-20$28.73$28.5012.1%3.7%8.3%9.6%12.9%2.5%-0.1%-62.7M52.8M-2.9M5.053.4723,856120,396247,676551,264
2019-03-21$29.05$28.5011.7%3.5%8.9%6.2%13.5%2.1%0.0%-34.4M-77.3M-2.9M1.382.6034,34847,264258,928613,372
2019-03-22$29.29$28.5012.5%3.6%9.1%12.7%13.0%2.1%-0.0%33.5M-196.9M-2.9M2.503.3365,796164,160271,930632,352
2019-03-25$29.25$28.5012.7%3.6%8.6%14.5%13.3%2.3%0.2%-45.2M-93.9M-3.1M2.452.8821,81453,354270,882672,034
2019-03-26$29.41$28.5012.0%3.5%8.7%8.3%13.3%2.3%0.2%-35.1M-168.1M-3.0M3.072.8219,28459,158282,334702,104
2019-03-27$29.34$29.0012.5%3.6%8.8%12.7%12.6%2.2%0.3%-47.5M-114.4M-3.1M1.352.9432,01243,284288,292736,768
2019-03-28$28.95$29.0012.8%3.7%10.3%15.3%13.5%2.5%0.2%-104.5M132.0M-3.4M2.092.9841,94887,614305,708755,784
2019-03-29$29.07$29.0012.4%3.6%10.3%11.8%13.0%2.4%0.2%-59.4M16.6M-3.4M1.452.6743,20062,786318,504790,824