XLU Options History — June 2019

In June 2019, XLU traded between $29.33 and $30.59. ATM implied volatility averaged 13.7%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.6% (HV 20d: 15.3%). Max pain ranged from $28.50 to $30.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2019-06-20: Highest Volume — 305,686 contracts
  • 2019-06-19: Largest IV drop — 7.4% change
  • 2019-06-11: Highest IV Rank — 30.4%
  • 2019-06-05: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.04$29.33$30.59$29.33$29.74
Max Pain$29.63$28.50$30.50$28.50$30.00
ATM IV13.7%12.9%14.6%13.7%13.3%
Expected Move4.0%3.7%4.7%4.4%3.7%
HV 20d15.3%12.8%16.7%13.0%15.9%
HV 60d12.6%11.4%13.1%11.4%13.1%
IV Rank22.9%16.1%30.4%23.0%19.4%
IV Percentile56.4%32.5%73.8%62.3%45.6%
Term Structure0.1%-0.6%0.5%0.0%0.4%
VWIV14.2%12.6%16.4%15.5%12.6%
Skew 25d2.0%1.1%2.9%2.5%1.8%
Skew 10d3.6%2.0%6.0%4.9%2.8%
Call IV 25d12.9%12.2%13.6%12.2%12.3%
Put IV 25d14.8%13.8%15.9%14.7%14.1%
Bid-Ask Spread %3.042.223.562.732.99
Gamma HHI0.130.090.310.140.31
Net GEX-13.8M-110.8M90.3M-40.5M-110.8M
Net DEX-300.2M-732.1M120.4M-140.3M56.3M
Net VEX-3.3M-3.9M-2.5M-2.8M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.224.150.650.36
Total Volume122,835.220,180305,68620,18062,780
Total OI1,246,969.3960,8581,510,9781,025,9821,089,502

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$29.33$28.5013.7%4.4%13.0%23.0%15.5%2.5%0.0%-40.5M-140.3M-2.8M0.652.7312,2047,976328,716697,266
2019-06-04$29.37$28.5013.9%4.5%12.8%24.6%15.7%2.9%-0.0%-41.9M-157.4M-2.8M3.222.8518,03258,054332,362704,288
2019-06-05$30.05$28.5014.2%4.7%14.7%27.0%16.4%2.6%-0.2%-4.4M-462.3M-2.5M1.003.1445,95445,950339,368723,358
2019-06-06$30.27$29.5013.5%3.7%14.3%21.3%14.4%2.6%-0.1%4.2M-530.5M-2.5M2.362.7153,998127,202343,244752,176
2019-06-07$30.08$29.5014.1%4.0%14.5%26.7%14.9%2.2%-0.1%-25.3M-400.0M-2.9M1.463.2798,384143,328373,804847,050
2019-06-10$29.77$29.5014.5%4.0%14.5%30.1%14.6%2.5%-0.4%-66.3M-135.1M-3.3M1.612.7945,00072,326406,108927,308
2019-06-11$29.55$29.5014.6%4.0%14.4%30.4%13.5%2.3%-0.6%-96.3M25.6M-3.5M1.133.5160,62468,254444,476953,736
2019-06-12$30.00$29.5014.3%4.1%15.0%27.9%14.5%2.1%0.0%-45.8M-310.2M-3.4M0.973.2047,24445,726464,138972,912
2019-06-13$29.98$29.5014.1%4.0%15.0%26.1%13.6%2.0%-0.0%-38.5M-332.2M-3.5M1.242.8959,48674,034486,688988,702
2019-06-14$30.42$29.5013.5%3.9%15.8%21.3%14.3%2.0%0.1%38.2M-625.4M-3.4M1.362.2241,80456,778518,168984,810
2019-06-17$30.32$30.0014.0%4.0%15.7%25.7%15.3%1.9%0.2%25.2M-500.5M-3.4M2.342.8218,80844,044500,712920,380
2019-06-18$30.10$30.0013.9%4.0%16.0%24.7%13.9%1.9%0.3%12.6M-392.8M-3.3M4.153.5215,55464,498497,932929,558
2019-06-19$30.55$30.0012.9%3.7%16.7%16.1%13.5%1.6%0.5%48.7M-630.4M-3.1M1.872.9381,956153,340498,880951,626
2019-06-20$30.59$30.0013.3%3.8%16.6%19.8%14.1%1.4%0.2%90.3M-732.1M-3.4M0.223.29250,53655,150548,778962,200
2019-06-21$30.50$30.0013.0%3.7%16.5%16.9%13.0%1.2%0.3%31.3M-342.6M-3.6M0.303.04149,39244,620429,624991,964
2019-06-24$30.50$30.0013.3%3.8%16.5%19.6%13.8%1.1%0.2%16.9M-310.8M-3.6M1.773.5614,45825,610418,022542,836
2019-06-25$30.30$30.0013.1%3.7%15.4%18.2%13.3%1.4%0.3%9.6M-238.4M-3.7M2.803.2812,15233,980427,672559,500
2019-06-26$29.77$30.5013.7%3.9%16.2%22.6%13.3%1.6%0.2%-29.2M35.7M-3.8M1.303.1880,884104,968427,596577,090
2019-06-27$29.67$30.0013.0%3.7%16.1%16.8%13.0%1.4%0.4%-53.5M120.4M-3.9M1.642.9023,34438,272442,298634,538
2019-06-28$29.74$30.0013.3%3.7%15.9%19.4%12.6%1.8%0.4%-110.8M56.3M-3.9M0.362.9946,14216,638454,564634,938