XLU Options History — May 2019

In May 2019, XLU traded between $28.50 and $29.92. ATM implied volatility averaged 12.6%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.8% (HV 20d: 11.9%). Max pain ranged from $28.50 to $29.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.39.

Notable Days

2019-05-09: Highest Volume — 162,238 contracts
2019-05-06: Largest IV spike — 9.4% change
2019-05-29: Highest IV Rank — 25.3%
2019-05-09: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.18	$28.50	$29.92	$29.06	$29.16
Max Pain	$28.57	$28.50	$29.00	$29.00	$28.50
ATM IV	12.6%	10.9%	14.0%	11.8%	13.4%
Expected Move	3.8%	3.0%	4.4%	3.3%	4.2%
HV 20d	11.9%	10.5%	13.6%	10.5%	13.1%
HV 60d	10.1%	9.3%	11.3%	9.4%	11.3%
IV Rank	14.2%	0.0%	25.3%	6.9%	20.3%
IV Percentile	30.9%	0.0%	67.9%	9.1%	53.6%
Term Structure	0.2%	-0.8%	1.8%	0.2%	-0.4%
VWIV	13.8%	10.8%	16.3%	11.8%	14.9%
Skew 25d	2.3%	1.6%	2.9%	2.1%	2.5%
Skew 10d	4.9%	3.6%	6.9%	3.9%	4.6%
Call IV 25d	11.6%	10.3%	12.7%	10.9%	12.4%
Put IV 25d	13.9%	12.3%	15.6%	12.9%	14.9%
Bid-Ask Spread %	2.62	2.00	3.30	3.12	2.95
Gamma HHI	0.15	0.11	0.24	0.15	0.14
Net GEX	-47.0M	-113.5M	11.2M	-41.2M	-49.4M
Net DEX	-117.2M	-501.7M	390.0M	-122.6M	-48.9M
Net VEX	-2.8M	-3.3M	-2.1M	-3.0M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.39	0.73	5.28	2.29	1.67
Total Volume	73,737	27,112	162,238	63,670	84,562
Total OI	1,079,062.909	887,834	1,227,442	1,057,942	1,073,630

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-05-01	$29.06	$29.00	11.8%	3.3%	10.5%	6.9%	11.8%	2.1%	0.2%	-41.2M	-122.6M	-3.0M	2.29	3.12	19,326	44,344	369,264	688,678
2019-05-02	$28.95	$29.00	11.8%	3.3%	10.6%	6.4%	12.2%	1.6%	0.2%	-66.5M	-25.3M	-3.1M	3.11	3.30	23,406	72,796	375,220	709,528
2019-05-03	$29.17	$29.00	10.9%	3.0%	10.7%	0.0%	10.8%	2.0%	-0.0%	-28.5M	-197.3M	-3.0M	0.73	3.17	45,028	32,856	385,534	750,606
2019-05-06	$29.02	$28.50	12.0%	3.8%	10.5%	8.6%	13.6%	2.5%	0.1%	-51.1M	-34.4M	-3.1M	2.30	2.37	9,316	21,386	376,844	712,170
2019-05-07	$28.81	$28.50	12.6%	3.9%	10.5%	13.7%	15.2%	2.6%	0.1%	-79.9M	144.2M	-3.2M	3.42	2.53	21,380	73,208	381,272	726,390
2019-05-08	$28.57	$28.50	13.1%	4.2%	10.9%	18.2%	13.3%	2.4%	0.1%	-103.9M	337.7M	-3.2M	2.10	2.58	28,922	60,854	392,628	739,626
2019-05-09	$28.50	$28.50	14.0%	4.4%	10.9%	25.2%	16.3%	2.9%	0.0%	-113.5M	390.0M	-3.3M	3.73	2.45	34,266	127,972	396,848	752,022
2019-05-10	$28.91	$28.50	12.8%	4.1%	11.9%	15.3%	16.1%	2.4%	0.3%	-86.0M	51.7M	-3.2M	3.02	2.57	17,382	52,434	397,270	827,784
2019-05-13	$29.24	$28.50	13.6%	4.4%	12.5%	22.3%	16.0%	2.8%	1.6%	-39.7M	-173.8M	-2.9M	2.48	2.43	17,052	42,364	371,034	806,820
2019-05-14	$29.05	$28.50	13.2%	4.1%	12.7%	19.1%	14.3%	2.4%	1.3%	-73.7M	-76.1M	-2.9M	1.67	2.73	21,792	36,486	380,456	828,426
2019-05-15	$29.10	$28.50	12.5%	4.0%	11.9%	13.0%	13.8%	1.8%	1.4%	-54.2M	-141.5M	-2.9M	2.00	2.77	9,030	18,082	389,558	834,668
2019-05-16	$29.16	$28.50	11.9%	3.9%	11.9%	8.3%	12.9%	1.9%	1.8%	-42.6M	-226.2M	-2.6M	3.59	2.00	18,592	66,804	391,244	836,198
2019-05-17	$29.42	$28.50	11.8%	3.6%	12.2%	7.5%	13.1%	1.8%	1.2%	11.2M	-389.8M	-2.5M	1.27	2.33	30,136	38,248	389,946	834,514
2019-05-20	$29.42	$28.50	12.8%	3.8%	12.2%	15.6%	13.2%	2.4%	-0.4%	-17.9M	-246.6M	-2.5M	1.07	2.26	19,426	20,746	296,420	591,414
2019-05-21	$29.50	$28.50	12.7%	3.7%	12.2%	14.7%	12.9%	2.5%	-0.5%	-12.0M	-313.3M	-2.4M	2.26	2.53	22,574	50,984	307,036	600,464
2019-05-22	$29.68	$28.50	12.4%	3.5%	12.0%	12.0%	13.0%	2.2%	-0.8%	-4.8M	-379.2M	-2.3M	1.77	2.45	13,516	23,978	319,110	636,272
2019-05-23	$29.91	$28.50	12.4%	3.6%	12.2%	12.0%	12.5%	2.3%	-0.7%	3.1M	-495.3M	-2.2M	1.82	2.56	20,836	37,906	322,148	645,330
2019-05-24	$29.92	$28.50	12.1%	3.5%	12.2%	10.0%	12.6%	2.1%	-0.7%	-1.0M	-501.7M	-2.1M	1.61	2.40	24,764	39,810	327,072	672,426
2019-05-28	$29.42	$28.50	13.2%	4.0%	13.6%	18.7%	14.4%	2.8%	-0.4%	-35.9M	-205.5M	-2.5M	2.66	2.53	11,150	29,644	321,098	635,110
2019-05-29	$29.08	$28.50	14.0%	4.3%	13.1%	25.3%	14.9%	2.9%	-0.5%	-63.3M	-1.4M	-2.6M	2.77	2.85	26,186	72,540	321,928	642,776
2019-05-30	$28.93	$28.50	13.3%	4.1%	12.8%	20.0%	14.9%	2.4%	-0.2%	-82.6M	76.8M	-2.6M	5.28	2.87	22,308	117,822	330,200	652,402
2019-05-31	$29.16	$28.50	13.4%	4.2%	13.1%	20.3%	14.9%	2.5%	-0.4%	-49.4M	-48.9M	-2.9M	1.67	2.95	31,730	52,832	339,446	734,184