XLU Options History — September 2019

In September 2019, XLU traded between $31.16 and $32.45. ATM implied volatility averaged 12.1%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.1% (HV 20d: 11.1%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.97.

Notable Days

  • 2019-09-19: Highest Volume — 243,050 contracts
  • 2019-09-18: Largest IV drop — 10.8% change
  • 2019-09-04: Highest IV Rank — 28.4%
  • 2019-09-04: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.82$31.16$32.45$31.81$32.40
Max Pain$31.35$30.00$32.00$30.00$32.00
ATM IV12.1%10.1%14.3%14.0%12.8%
Expected Move3.5%2.9%4.5%4.5%3.5%
HV 20d11.1%10.1%12.2%10.9%10.5%
HV 60d11.4%10.5%12.3%12.3%10.5%
IV Rank12.5%0.0%28.4%25.4%21.0%
IV Percentile20.3%0.0%66.7%61.5%34.5%
Term Structure0.3%-0.2%0.9%-0.2%-0.1%
VWIV13.0%10.4%16.6%16.6%12.8%
Skew 25d3.3%1.6%4.4%3.5%3.2%
Skew 10d6.7%3.3%8.8%7.2%6.7%
Call IV 25d11.0%9.8%12.5%12.4%11.9%
Put IV 25d14.3%11.4%16.2%15.9%15.1%
Bid-Ask Spread %3.142.255.502.382.50
Gamma HHI0.150.070.270.140.07
Net GEX3.4M-67.1M28.1M24.7M17.6M
Net DEX-536.0M-984.9M-253.6M-713.5M-517.1M
Net VEX-3.7M-4.1M-3.0M-3.6M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.114.903.071.14
Total Volume97,370.232,734243,050114,83832,734
Total OI1,287,9291,072,3021,492,0101,174,0961,132,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$31.81$30.0014.0%4.5%10.9%25.4%16.6%3.5%-0.2%24.7M-713.5M-3.6M3.072.3828,24286,596505,050669,046
2019-09-04$31.83$30.5014.3%4.5%10.6%28.4%16.6%3.7%-0.2%17.0M-715.9M-3.7M0.722.4457,61641,350512,462705,862
2019-09-05$31.50$31.0012.9%3.7%11.6%16.6%13.1%4.0%-0.1%12.6M-565.0M-3.8M4.283.6020,58488,166551,684741,674
2019-09-06$31.45$31.0012.3%3.5%11.3%11.4%13.1%4.0%-0.2%-27.3M-484.0M-3.9M4.902.9422,836111,938557,858811,050
2019-09-09$31.21$31.0012.7%3.8%11.8%14.4%14.6%4.0%0.8%-34.8M-262.5M-4.0M1.332.7335,12646,634533,748754,816
2019-09-10$31.16$31.0012.8%3.8%11.6%15.5%14.4%4.3%0.7%-31.1M-253.6M-4.1M2.312.4623,43654,074553,880761,186
2019-09-11$31.54$31.0011.8%3.3%12.2%7.0%12.6%3.8%-0.0%-618.6K-556.7M-3.9M1.652.5618,50030,494566,782780,670
2019-09-12$31.66$31.0011.8%3.5%11.8%7.3%13.0%4.1%0.5%17.7M-663.8M-3.7M2.392.8054,466129,938572,050782,568
2019-09-13$31.48$31.0012.3%3.6%11.3%11.1%14.3%4.4%0.2%-67.1M-465.1M-4.1M1.925.5022,26242,654611,384868,706
2019-09-16$31.50$31.5012.1%3.5%11.3%9.4%13.1%3.9%0.5%-4.7M-469.0M-4.1M1.764.4814,56025,660597,588826,412
2019-09-17$31.75$31.5011.7%3.4%11.2%6.3%11.6%3.7%-0.2%21.7M-615.6M-3.9M1.584.0240,47064,034599,372816,186
2019-09-18$31.91$31.5010.4%3.0%11.1%0.0%10.7%2.3%0.3%28.1M-828.4M-3.3M2.344.2425,57059,826608,942850,390
2019-09-19$32.02$31.5010.1%2.9%11.0%0.0%10.4%1.6%0.2%-466.2K-984.9M-3.0M0.113.66218,52424,526615,452876,558
2019-09-20$31.92$31.5010.8%3.1%11.2%5.6%10.8%2.6%0.3%14.2M-347.0M-3.6M0.633.4140,43425,554468,990890,640
2019-09-23$32.01$32.0011.1%3.1%10.5%7.8%10.8%2.5%0.6%9.9M-381.8M-3.5M0.753.0932,40424,314448,376623,926
2019-09-24$32.28$32.0012.2%3.4%10.6%15.8%12.5%2.7%0.9%21.4M-523.4M-3.6M2.072.4339,34481,602451,254623,264
2019-09-25$32.27$32.0011.7%3.2%10.3%12.3%12.6%2.6%0.7%17.2M-455.1M-3.6M1.632.2525,79442,008473,856661,886
2019-09-26$32.45$32.0012.2%3.4%10.1%16.2%14.6%2.5%0.7%21.5M-525.0M-3.6M2.802.4930,04684,106482,412687,672
2019-09-27$32.27$32.0012.7%3.5%10.5%19.6%11.9%2.9%0.7%10.3M-393.3M-3.6M1.942.7034,39866,584482,770699,930
2019-09-30$32.40$32.0012.8%3.5%10.5%21.0%12.8%3.2%-0.1%17.6M-517.1M-3.5M1.142.5015,30017,434470,240661,988