XLU Options History — August 2019

In August 2019, XLU traded between $29.70 and $31.30. ATM implied volatility averaged 14.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.6% (HV 20d: 11.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.91.

Notable Days

2019-08-16: Highest Volume — 116,772 contracts
2019-08-08: Largest IV drop — 19.6% change
2019-08-05: Highest IV Rank — 39.6%
2019-08-05: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.62	$29.70	$31.30	$30.09	$31.30
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	14.1%	12.4%	15.7%	13.9%	13.6%
Expected Move	4.3%	3.7%	5.0%	4.0%	4.2%
HV 20d	11.5%	9.3%	12.3%	9.3%	11.8%
HV 60d	13.0%	12.0%	13.4%	13.1%	12.0%
IV Rank	26.6%	12.6%	39.6%	25.0%	22.3%
IV Percentile	62.6%	22.6%	83.3%	65.5%	55.2%
Term Structure	0.2%	-0.7%	1.9%	-0.0%	-0.2%
VWIV	15.4%	13.6%	17.5%	14.2%	14.6%
Skew 25d	3.1%	2.1%	3.9%	2.6%	3.1%
Skew 10d	6.3%	4.9%	7.4%	5.5%	6.8%
Call IV 25d	12.7%	11.3%	14.1%	12.9%	12.1%
Put IV 25d	15.8%	13.8%	17.5%	15.5%	15.2%
Bid-Ask Spread %	2.44	1.89	3.17	2.72	2.04
Gamma HHI	0.15	0.09	0.38	0.10	0.15
Net GEX	13.1M	-49.9M	104.3M	-2.4M	18.2M
Net DEX	-313.2M	-554.8M	138.6M	-93.4M	-554.8M
Net VEX	-3.8M	-4.1M	-3.7M	-3.9M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.42	5.25	0.83	1.03
Total Volume	64,093.545	23,944	116,772	50,186	41,122
Total OI	1,138,856.727	1,062,478	1,242,542	1,087,810	1,242,542

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
2019-08-01	$30.09	$30.00	13.9%	4.0%	9.3%	25.0%	14.2%	2.6%	-0.0%	-2.4M	-93.4M	-3.9M	0.83	2.72	27,352	22,834	500,156	587,654
2019-08-02	$30.17	$30.00	13.3%	3.7%	9.4%	20.0%	13.6%	2.1%	0.0%	13.8M	-159.6M	-3.8M	1.31	2.58	21,316	27,914	510,492	596,016
2019-08-05	$29.70	$30.00	15.7%	5.0%	10.8%	39.6%	17.5%	3.5%	-0.3%	-19.5M	138.6M	-3.8M	1.35	2.47	24,450	32,956	495,564	578,896
2019-08-06	$30.02	$30.00	14.6%	4.5%	11.6%	30.9%	16.2%	3.7%	0.2%	-4.1M	-40.5M	-3.9M	0.67	2.17	32,862	22,044	507,694	592,406
2019-08-07	$30.18	$30.00	15.5%	4.9%	11.5%	37.8%	16.9%	3.4%	0.2%	10.9M	-160.0M	-4.0M	0.42	2.26	31,824	13,260	523,000	598,272
2019-08-08	$30.46	$30.00	12.4%	4.0%	12.0%	12.6%	15.1%	2.5%	0.5%	46.1M	-396.8M	-3.7M	1.09	2.62	47,454	51,540	533,868	602,478
2019-08-09	$30.52	$30.00	12.6%	4.1%	11.7%	14.1%	14.9%	2.7%	0.3%	104.3M	-437.3M	-3.8M	2.20	2.44	17,440	38,320	545,972	632,102
2019-08-12	$30.38	$30.00	14.2%	4.5%	11.7%	27.3%	16.4%	3.1%	1.4%	3.0M	-236.0M	-3.8M	2.78	2.48	10,692	29,760	503,016	612,332
2019-08-13	$30.37	$30.00	13.2%	4.0%	11.5%	18.5%	14.8%	2.6%	0.9%	4.3M	-230.3M	-3.7M	1.33	3.17	26,014	34,498	505,566	616,328
2019-08-14	$30.17	$30.00	14.9%	4.8%	11.5%	32.6%	16.5%	3.2%	1.7%	-14.2M	-97.5M	-3.9M	2.10	2.53	32,918	69,036	521,732	635,344
2019-08-15	$30.58	$30.00	15.2%	4.7%	12.3%	35.4%	16.8%	3.0%	1.5%	17.4M	-351.0M	-3.8M	1.73	2.30	24,470	42,424	531,492	663,216
2019-08-16	$30.66	$30.00	14.1%	4.4%	11.9%	26.5%	16.0%	3.0%	1.9%	23.4M	-447.4M	-3.8M	5.25	2.00	18,678	98,094	539,398	697,660
2019-08-19	$30.95	$30.00	12.7%	3.8%	11.7%	14.9%	14.7%	2.5%	-0.7%	23.5M	-416.9M	-3.7M	2.11	2.31	27,544	58,130	467,940	594,538
2019-08-20	$30.84	$30.00	14.1%	4.1%	11.8%	26.2%	14.6%	3.2%	-0.6%	19.1M	-388.2M	-3.7M	1.62	3.02	24,318	39,350	486,460	580,912
2019-08-21	$30.98	$30.00	13.7%	3.9%	11.7%	23.3%	14.4%	3.2%	-0.2%	24.9M	-459.9M	-3.8M	4.33	2.67	11,280	48,788	505,386	592,058
2019-08-22	$31.04	$30.00	14.2%	4.1%	11.6%	27.5%	14.8%	2.8%	-0.6%	-5.7M	-446.4M	-3.8M	2.15	2.75	15,652	33,644	507,792	632,654
2019-08-23	$30.75	$30.00	15.2%	4.4%	12.2%	35.2%	17.2%	3.2%	-0.6%	-49.9M	-280.7M	-4.1M	2.75	2.54	27,192	74,678	518,518	641,858
2019-08-26	$30.96	$30.00	14.6%	4.3%	12.3%	30.6%	15.0%	3.9%	-0.3%	12.8M	-375.8M	-4.0M	0.53	1.89	15,646	8,298	501,800	638,462
2019-08-27	$31.22	$30.00	14.6%	4.4%	11.6%	30.2%	15.8%	3.5%	-0.3%	19.0M	-501.5M	-3.9M	0.58	2.13	22,202	12,944	503,946	646,458
2019-08-28	$31.07	$30.00	14.7%	4.4%	11.9%	31.0%	15.2%	3.7%	-0.1%	20.7M	-443.1M	-3.9M	3.04	2.50	17,900	54,490	510,126	651,632
2019-08-29	$31.21	$30.00	13.8%	4.2%	11.8%	23.8%	14.3%	3.5%	-0.0%	22.6M	-510.8M	-3.9M	2.90	2.11	20,188	58,542	513,192	687,920
2019-08-30	$31.30	$30.00	13.6%	4.2%	11.8%	22.3%	14.6%	3.1%	-0.2%	18.2M	-554.8M	-3.8M	1.03	2.04	20,210	20,912	523,538	719,004