XLU Options History — July 2019

In July 2019, XLU traded between $29.71 and $30.58. ATM implied volatility averaged 13.0%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.6% (HV 20d: 12.4%). Max pain ranged from $30.00 to $30.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2019-07-05: Highest Volume — 168,146 contracts
  • 2019-07-24: Largest IV drop — 5.7% change
  • 2019-07-09: Highest IV Rank — 26.0%
  • 2019-07-30: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.19$29.71$30.58$29.71$29.90
Max Pain$30.11$30.00$30.50$30.00$30.00
ATM IV13.0%12.3%14.1%13.1%13.3%
Expected Move3.7%3.5%4.0%3.6%3.9%
HV 20d12.4%9.7%16.4%15.8%9.7%
HV 60d13.3%13.0%13.5%13.1%13.1%
IV Rank17.5%11.6%26.0%18.1%19.3%
IV Percentile40.1%19.0%66.7%40.9%50.4%
Term Structure-0.0%-0.6%0.4%0.2%0.0%
VWIV13.3%12.0%14.8%12.7%14.8%
Skew 25d2.0%1.3%2.8%1.5%2.8%
Skew 10d4.0%2.4%5.5%3.2%5.4%
Call IV 25d12.2%11.3%13.3%12.7%12.3%
Put IV 25d14.2%13.6%15.2%14.2%15.1%
Bid-Ask Spread %2.652.213.322.972.73
Gamma HHI0.150.100.440.100.10
Net GEX-5.2M-153.2M63.8M-23.1M-13.8M
Net DEX-160.1M-409.5M48.1M48.1M29.5M
Net VEX-3.8M-4.0M-3.6M-3.8M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.592.820.852.65
Total Volume65,278.63617,210168,14635,73848,746
Total OI1,081,751.091946,1521,183,8341,040,9241,065,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$29.71$30.0013.1%3.6%15.8%18.1%12.7%1.5%0.2%-23.1M48.1M-3.8M0.852.9719,36216,376450,074590,850
2019-07-02$30.11$30.0012.9%3.5%16.4%16.0%12.1%1.3%-0.0%7.6M-186.7M-3.7M1.303.0827,46635,676458,598594,570
2019-07-03$30.41$30.0012.8%3.5%14.7%15.1%12.0%1.4%-0.0%20.7M-321.8M-3.7M0.993.3236,11235,850459,378612,778
2019-07-05$30.32$30.0013.2%3.7%14.5%18.6%13.6%1.5%-0.1%-153.2M-236.1M-3.6M1.532.5066,490101,656464,680682,302
2019-07-08$30.39$30.0013.6%3.9%14.4%22.3%14.0%1.4%-0.0%-1.3M-259.9M-3.7M2.003.1813,87827,686466,360647,016
2019-07-09$30.33$30.0014.1%3.9%13.8%26.0%14.0%1.9%-0.6%-8.5M-219.3M-3.7M2.192.6917,35037,926469,026651,584
2019-07-10$30.54$30.0013.5%3.9%13.6%21.4%13.8%1.5%-0.0%10.8M-338.4M-3.7M2.582.8530,34678,396477,146673,684
2019-07-11$30.47$30.5013.1%3.8%12.7%18.3%13.7%2.0%0.1%-53.7K-297.2M-3.8M1.822.5032,92659,802479,604704,230
2019-07-12$30.27$30.5012.9%3.6%12.9%16.0%13.1%1.5%-0.2%-65.3M-219.2M-3.7M0.672.7260,78640,912494,454680,156
2019-07-15$30.43$30.5012.7%3.6%12.0%14.4%12.7%1.8%0.4%23.4M-270.0M-3.7M1.152.217,9989,212468,708618,586
2019-07-16$30.22$30.0013.2%3.8%12.1%19.2%13.0%2.1%-0.1%2.2M-152.7M-3.8M0.792.9849,64439,414471,058617,866
2019-07-17$30.41$30.0012.7%3.6%12.0%14.5%12.6%2.1%0.1%36.2M-301.3M-4.0M1.382.8518,98426,106501,566637,202
2019-07-18$30.58$30.5012.8%3.7%11.0%15.6%13.1%2.0%0.1%63.8M-409.5M-3.8M1.692.3020,74035,036507,396637,590
2019-07-19$30.30$30.0013.0%3.7%11.5%17.0%13.8%2.1%0.4%3.8M-196.8M-3.9M2.642.4318,95650,102514,068651,928
2019-07-22$30.02$30.5013.0%3.7%11.9%17.4%12.5%2.5%0.1%428.5K-58.0M-3.9M0.592.2329,45217,328440,600505,552
2019-07-23$29.98$30.0013.1%3.7%11.9%17.8%13.3%2.2%-0.2%1.9M-43.3M-3.8M1.122.2927,57430,816457,416514,246
2019-07-24$29.91$30.0012.3%3.6%11.7%11.6%13.8%2.4%0.1%-7.6M2.9M-3.8M1.672.4527,58646,050472,496527,560
2019-07-25$29.83$30.0012.9%3.8%9.9%16.7%13.0%2.1%0.0%-17.4M44.8M-3.8M1.222.6626,08431,950477,770548,396
2019-07-26$30.00$30.0012.5%3.6%10.0%13.2%12.6%2.4%-0.0%10.7M-48.9M-3.9M0.862.2825,49821,886486,362558,310
2019-07-29$30.16$30.0012.8%3.7%10.1%15.8%13.4%2.3%-0.3%3.6M-125.4M-3.8M0.962.5419,68018,868475,732548,106
2019-07-30$29.84$30.0013.5%4.0%10.9%21.7%14.3%2.3%-0.1%-9.6M35.9M-3.8M2.822.5112,95036,474487,026550,610
2019-07-31$29.90$30.0013.3%3.9%9.7%19.3%14.8%2.8%0.0%-13.8M29.5M-3.8M2.652.7313,37035,376490,326575,558