XLU Options History — December 2019

In December 2019, XLU traded between $31.35 and $32.44. ATM implied volatility averaged 10.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.0% (HV 20d: 8.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.25.

Notable Days

  • 2019-12-19: Highest Volume — 347,734 contracts
  • 2019-12-30: Largest IV spike — 6.8% change
  • 2019-12-31: Highest IV Rank — 11.2%
  • 2019-12-03: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.87$31.35$32.44$31.35$32.27
Max Pain$30.98$30.00$32.00$31.00$32.00
ATM IV10.3%9.3%11.2%11.2%10.5%
Expected Move3.0%2.7%3.8%3.7%2.9%
HV 20d8.3%5.6%10.8%10.8%8.7%
HV 60d10.3%9.8%10.7%10.5%9.8%
IV Rank4.8%0.0%11.2%8.3%11.2%
IV Percentile3.3%0.0%9.9%9.5%7.9%
Term Structure0.3%-0.0%0.7%0.4%0.4%
VWIV10.8%8.4%13.7%12.7%9.9%
Skew 25d1.9%1.0%2.5%2.5%2.2%
Skew 10d3.4%2.0%4.5%3.9%4.4%
Call IV 25d9.6%9.0%10.2%9.7%9.8%
Put IV 25d11.4%10.4%12.5%12.3%12.0%
Bid-Ask Spread %2.321.882.922.432.27
Gamma HHI0.150.100.320.130.10
Net GEX2.8M-61.6M90.6M-43.7M-2.2M
Net DEX-397.9M-910.2M-85.0M-191.6M-246.5M
Net VEX-2.6M-3.1M-2.0M-3.1M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.098.533.042.06
Total Volume73,244.57113,518347,73483,26425,920
Total OI1,283,678.095904,8041,505,1361,377,3221,022,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$31.35$31.0011.2%3.7%10.8%8.3%12.7%2.5%0.4%-43.7M-191.6M-3.1M3.042.4320,59262,672542,776834,546
2019-12-03$31.41$31.0011.2%3.8%9.4%8.4%13.7%2.3%0.2%-42.7M-226.8M-3.1M1.622.3120,34032,866557,582870,364
2019-12-04$31.68$31.0011.0%3.7%9.6%6.5%13.3%2.5%-0.0%1.4M-480.5M-2.9M2.461.8821,83453,610567,078878,212
2019-12-05$31.65$30.0010.5%3.3%9.6%2.6%11.9%2.0%0.2%-7.3M-453.3M-2.8M3.752.808,51631,926560,114903,740
2019-12-06$31.68$30.0010.4%3.1%8.2%1.8%10.8%2.0%0.3%15.0M-484.8M-2.7M1.132.2612,62614,296559,034899,812
2019-12-09$31.50$30.0010.9%3.2%8.2%5.8%11.3%2.3%0.1%-21.8M-345.2M-2.7M1.222.0413,17816,020525,304823,980
2019-12-10$31.46$30.0010.2%3.0%8.1%0.4%10.7%2.1%0.1%-20.9M-343.6M-2.6M1.722.2921,02436,264529,656826,744
2019-12-11$31.50$30.0010.2%3.0%8.1%0.6%10.8%2.0%0.4%-44.9M-351.1M-2.7M2.832.3622,39663,420546,354870,434
2019-12-12$31.46$30.0010.4%3.1%5.6%1.8%11.6%2.4%0.3%-61.6M-309.4M-2.7M8.532.9213,860118,192560,642910,516
2019-12-13$31.71$30.509.9%2.9%6.2%0.0%11.0%1.8%0.7%21.9M-577.1M-2.5M1.421.9637,28252,832562,398942,738
2019-12-16$32.02$30.509.3%2.7%7.0%0.0%9.9%1.3%0.6%78.5M-750.1M-2.1M0.831.9235,35829,356538,922821,650
2019-12-17$32.22$30.509.8%2.8%7.2%3.3%10.0%1.0%0.1%71.7M-851.0M-2.0M0.552.7253,24229,360541,730835,266
2019-12-18$32.34$31.009.7%2.8%7.3%2.6%10.0%1.1%0.4%70.4M-910.2M-2.1M1.481.9728,31041,922552,092855,292
2019-12-19$32.30$31.009.8%2.8%7.2%3.4%8.4%1.0%0.3%90.6M-881.2M-2.2M0.092.70318,64629,088568,770887,206
2019-12-20$32.44$32.0010.4%3.0%7.1%8.0%10.9%1.7%0.2%31.3M-294.7M-2.4M3.592.8013,07246,966367,354890,850
2019-12-23$31.95$32.0010.3%2.9%9.3%7.3%10.5%2.0%0.5%-18.3M-85.0M-2.6M4.492.2513,06058,612284,734620,070
2019-12-24$32.01$32.0010.3%2.9%9.0%6.9%10.2%1.8%0.4%-23.9M-93.9M-2.7M2.752.233,6089,910293,842660,746
2019-12-26$32.02$32.0010.3%2.9%8.9%6.9%10.0%1.8%0.5%-19.6M-110.7M-2.7M0.882.247,8906,962295,446665,834
2019-12-27$32.16$32.009.8%2.7%9.0%4.6%9.5%1.7%0.6%-10.4M-174.2M-2.6M0.952.3140,57438,540299,918670,748
2019-12-30$32.14$32.0010.5%2.9%9.0%10.6%10.6%2.1%0.4%-3.9M-195.5M-2.8M1.922.0411,64022,354334,492678,056
2019-12-31$32.27$32.0010.5%2.9%8.7%11.2%9.9%2.2%0.4%-2.2M-246.5M-2.8M2.062.278,47417,446332,912689,286