XLU Options History — October 2019

In October 2019, XLU traded between $31.66 and $32.42. ATM implied volatility averaged 12.3%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.4% (HV 20d: 10.9%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.27.

Notable Days

2019-10-11: Highest Volume — 158,208 contracts
2019-10-11: Largest IV drop — 15.6% change
2019-10-08: Highest IV Rank — 38.0%
2019-10-08: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.00	$31.66	$32.42	$32.27	$32.05
Max Pain	$32.00	$32.00	$32.00	$32.00	$32.00
ATM IV	12.3%	10.4%	15.0%	13.8%	11.1%
Expected Move	3.5%	2.9%	4.3%	3.7%	3.0%
HV 20d	10.9%	9.2%	11.9%	9.2%	11.6%
HV 60d	11.1%	10.6%	11.5%	10.6%	10.8%
IV Rank	16.5%	2.2%	38.0%	28.6%	7.4%
IV Percentile	26.6%	0.8%	77.4%	57.5%	5.6%
Term Structure	0.3%	-0.7%	6.0%	0.1%	0.3%
VWIV	13.1%	10.3%	16.9%	13.5%	10.3%
Skew 25d	3.5%	2.5%	6.1%	3.7%	2.6%
Skew 10d	6.8%	1.3%	10.2%	7.4%	5.6%
Call IV 25d	10.9%	9.3%	13.2%	12.3%	9.8%
Put IV 25d	14.4%	11.8%	18.2%	16.0%	12.4%
Bid-Ask Spread %	5.72	2.17	72.93	2.17	2.31
Gamma HHI	0.11	0.07	0.18	0.07	0.11
Net GEX	-31.4M	-122.6M	28.3M	14.2M	-14.8M
Net DEX	-276.7M	-667.5M	121.6M	-445.3M	-397.7M
Net VEX	-3.7M	-4.3M	-3.1M	-3.7M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.27	0.97	5.73	5.73	1.21
Total Volume	87,764.174	34,974	158,208	139,226	66,484
Total OI	1,295,130.609	1,117,346	1,522,396	1,133,832	1,232,190

Daily Data (23 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
2019-10-01	$32.27	$32.00	13.8%	3.7%	9.2%	28.6%	13.5%	3.7%	0.1%	14.2M	-445.3M	-3.7M	5.73	2.17	20,676	118,550	476,146	657,686
2019-10-02	$31.89	$32.00	14.4%	3.9%	10.2%	32.9%	13.9%	3.8%	0.2%	-5.9M	-207.5M	-4.0M	1.93	2.62	23,008	44,402	486,834	715,122
2019-10-03	$31.84	$32.00	14.3%	4.0%	9.4%	32.2%	15.4%	5.1%	0.1%	-9.1M	-191.1M	-3.9M	1.43	2.88	43,946	62,740	494,826	682,144
2019-10-04	$32.42	$32.00	12.7%	3.7%	11.2%	20.1%	14.3%	3.4%	0.3%	25.7M	-640.4M	-3.7M	1.67	3.44	46,610	77,654	531,476	709,864
2019-10-07	$32.28	$32.00	13.9%	3.9%	10.9%	29.2%	15.9%	3.8%	-0.4%	10.5M	-494.6M	-3.9M	5.19	3.24	12,838	66,626	537,370	729,266
2019-10-08	$31.98	$32.00	15.0%	4.3%	11.6%	38.0%	16.9%	4.2%	0.0%	-22.8M	-218.0M	-4.3M	1.85	2.91	44,886	82,902	544,032	810,838
2019-10-09	$32.12	$32.00	14.5%	4.2%	10.9%	34.1%	15.3%	4.4%	0.2%	-15.2M	-321.7M	-4.1M	2.83	3.36	9,422	26,660	549,634	846,148
2019-10-10	$32.04	$32.00	14.3%	4.1%	10.9%	32.2%	15.3%	4.3%	0.2%	-22.2M	-256.5M	-4.1M	2.50	3.32	18,278	45,606	552,774	861,072
2019-10-11	$32.01	$32.00	12.0%	3.9%	10.7%	14.7%	14.1%	6.1%	6.0%	-31.6M	-204.8M	-4.2M	2.78	72.93	41,858	116,350	555,838	886,170
2019-10-14	$31.75	$32.00	13.0%	3.8%	11.2%	22.4%	12.3%	4.2%	-0.7%	-102.9M	79.9M	-4.0M	2.15	2.55	22,204	47,818	543,576	911,804
2019-10-15	$31.67	$32.00	11.7%	3.4%	10.9%	12.3%	12.1%	3.0%	-0.3%	-120.1M	103.7M	-3.8M	2.99	2.35	32,890	98,204	548,616	920,710
2019-10-16	$31.66	$32.00	12.1%	3.5%	10.7%	15.3%	12.6%	3.1%	-0.2%	-122.6M	121.6M	-3.8M	3.44	2.69	28,264	97,122	553,218	934,788
2019-10-17	$31.84	$32.00	10.8%	3.1%	10.9%	5.2%	12.7%	2.8%	0.7%	-91.3M	-109.9M	-3.6M	0.97	2.59	24,220	23,540	566,958	945,436
2019-10-18	$31.95	$32.00	11.1%	3.2%	10.9%	7.3%	13.1%	3.0%	0.1%	-27.4M	-178.1M	-3.4M	1.63	2.82	33,602	54,818	579,302	943,094
2019-10-21	$31.99	$32.00	11.4%	3.2%	10.8%	9.9%	12.6%	3.5%	-0.1%	-17.4M	-363.1M	-3.3M	1.66	2.39	20,524	34,088	446,766	670,580
2019-10-22	$32.17	$32.00	10.6%	3.0%	10.6%	3.6%	12.2%	2.5%	-0.2%	-4.6M	-485.0M	-3.1M	1.59	2.37	28,882	45,882	457,584	692,086
2019-10-23	$32.24	$32.00	10.7%	3.0%	10.6%	4.6%	11.4%	2.8%	-0.1%	11.1M	-531.3M	-3.1M	1.24	2.45	31,154	38,644	473,588	718,896
2019-10-24	$32.42	$32.00	10.4%	2.9%	10.6%	2.2%	12.8%	2.7%	-0.1%	28.3M	-667.5M	-3.1M	1.33	2.48	29,732	39,470	490,036	736,722
2019-10-25	$32.05	$32.00	11.3%	3.1%	11.3%	8.7%	12.3%	3.1%	-0.2%	-37.0M	-399.3M	-3.4M	3.17	2.43	29,976	95,116	502,334	754,152
2019-10-28	$31.66	$32.00	11.4%	3.2%	11.9%	10.1%	11.7%	3.1%	0.3%	-64.2M	-98.0M	-3.6M	1.57	2.48	32,404	50,852	458,056	697,382
2019-10-29	$31.67	$32.00	10.9%	3.0%	11.8%	5.8%	11.0%	2.6%	0.3%	-73.1M	-120.0M	-3.5M	1.49	2.28	14,056	20,918	471,430	718,424
2019-10-30	$31.95	$32.00	10.4%	2.9%	11.6%	2.3%	10.4%	2.5%	0.4%	-29.6M	-340.1M	-3.3M	1.78	2.49	26,842	47,858	473,414	719,622
2019-10-31	$32.05	$32.00	11.1%	3.0%	11.6%	7.4%	10.3%	2.6%	0.3%	-14.8M	-397.7M	-3.4M	1.21	2.31	30,140	36,344	480,218	751,972