XLU Options History — November 2019

In November 2019, XLU traded between $30.71 and $32.04. ATM implied volatility averaged 11.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.1% (HV 20d: 11.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.65.

Notable Days

  • 2019-11-07: Highest Volume — 253,144 contracts
  • 2019-11-04: Largest IV spike — 11.9% change
  • 2019-11-11: Highest IV Rank — 16.6%
  • 2019-11-11: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.35$30.71$32.04$32.04$31.52
Max Pain$31.15$31.00$32.00$32.00$31.00
ATM IV11.4%10.5%12.3%10.5%10.7%
Expected Move3.5%2.9%4.0%2.9%3.3%
HV 20d11.5%9.6%12.9%9.6%10.7%
HV 60d11.1%10.5%11.5%10.7%10.5%
IV Rank10.1%2.9%16.6%2.9%4.1%
IV Percentile13.9%1.6%32.1%1.6%3.2%
Term Structure0.2%-0.7%1.8%0.4%-0.2%
VWIV12.6%10.8%14.7%11.0%12.1%
Skew 25d2.3%1.9%3.0%2.2%2.0%
Skew 10d4.3%3.1%5.9%4.7%3.3%
Call IV 25d10.2%9.0%11.3%9.4%9.5%
Put IV 25d12.5%11.2%14.1%11.6%11.5%
Bid-Ask Spread %2.321.932.882.452.51
Gamma HHI0.130.080.210.110.17
Net GEX-63.7M-163.8M25.0M4.4M25.0M
Net DEX-42.6M-425.0M686.8M-425.0M-387.5M
Net VEX-3.6M-4.1M-3.0M-3.3M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.497.271.882.98
Total Volume92,13816,910253,144111,69429,160
Total OI1,396,148.61,181,0821,570,0281,242,7961,452,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$32.04$32.0010.5%2.9%9.6%2.9%11.0%2.2%0.4%4.4M-425.0M-3.3M1.882.4538,74872,946491,640751,156
2019-11-04$31.55$31.5011.8%3.8%10.9%12.6%13.1%2.7%0.4%-42.6M-75.4M-3.6M2.532.1422,88257,780501,672679,410
2019-11-05$31.34$31.5012.1%3.8%10.6%15.6%13.6%3.0%0.3%-81.6M101.3M-3.7M4.512.1919,15886,310506,710721,358
2019-11-06$31.38$31.5011.4%3.8%10.5%9.7%14.7%2.9%0.5%-93.9M67.9M-3.6M7.272.1924,720179,828513,114732,366
2019-11-07$30.97$31.5012.2%3.9%11.3%15.7%14.3%2.8%0.4%-141.2M554.0M-4.0M5.452.8839,240213,904522,586879,268
2019-11-08$30.80$31.0011.7%3.6%11.4%12.4%13.6%2.5%0.1%-163.8M686.8M-4.1M5.411.9334,662187,634534,828930,444
2019-11-11$30.71$31.0012.3%4.0%11.1%16.6%13.6%2.8%1.6%-136.3M672.3M-4.0M1.462.3347,85070,096544,838916,630
2019-11-12$30.75$31.0011.5%3.8%11.2%10.9%13.2%2.5%1.8%-127.9M543.2M-3.9M2.812.0622,24462,426570,680884,218
2019-11-13$31.27$31.0010.9%3.5%12.9%6.0%12.9%2.0%0.7%-119.8M36.5M-3.8M1.342.6340,54654,272574,236890,952
2019-11-14$31.31$31.0011.0%3.4%12.7%6.5%12.9%1.9%0.9%-119.0M-46.4M-3.7M2.832.3641,100116,314598,796928,286
2019-11-15$31.39$31.0010.5%3.3%12.7%3.0%11.2%2.0%1.2%-40.6M-150.8M-3.6M2.642.0411,77231,134622,844947,184
2019-11-18$31.46$31.0011.7%3.5%12.7%12.0%12.6%2.3%-0.4%-28.8M-280.5M-3.5M2.852.2919,76656,398533,550823,112
2019-11-19$31.46$31.0011.9%3.5%12.5%13.6%12.0%2.3%-0.6%-40.3M-246.9M-3.6M1.752.386,14810,762539,400865,742
2019-11-20$31.60$31.0012.3%3.5%12.6%16.6%12.1%2.1%-0.5%-29.6M-347.5M-3.5M1.962.0921,75642,740540,558870,532
2019-11-21$31.49$31.0011.8%3.4%12.4%12.8%13.0%2.1%-0.7%-48.2M-277.7M-3.5M0.492.3116,6628,178550,244884,822
2019-11-22$31.55$31.0011.4%3.3%11.8%9.6%11.1%2.1%-0.5%-22.5M-368.3M-3.4M0.542.2716,0248,648556,718886,584
2019-11-25$31.36$31.0011.9%3.6%11.2%13.7%12.5%2.2%-0.1%-43.5M-206.7M-3.4M1.102.6511,71612,908529,898847,766
2019-11-26$31.48$31.0010.7%3.2%11.3%4.6%10.9%2.2%-0.1%-20.4M-318.1M-3.2M1.382.2212,56617,384535,322853,790
2019-11-27$31.55$31.0010.5%3.2%10.8%3.0%10.8%2.1%-0.2%-4.0M-384.0M-3.0M1.892.4526,46249,916542,552866,522
2019-11-29$31.52$31.0010.7%3.3%10.7%4.1%12.1%2.0%-0.2%25.0M-387.5M-3.1M2.982.517,33421,826560,926891,718