XLU Options History — January 2020

In January 2020, XLU traded between $31.91 and $34.59. ATM implied volatility averaged 10.2%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.0% (HV 20d: 9.2%). Max pain ranged from $32.00 to $33.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2020-01-22: Highest Volume — 225,088 contracts
  • 2020-01-27: Largest IV spike — 14.5% change
  • 2020-01-27: Highest IV Rank — 40.1%
  • 2020-01-27: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$31.91$34.59$31.92$34.40
Max Pain$32.54$32.00$33.50$32.00$33.50
ATM IV10.2%8.4%11.3%11.3%11.2%
Expected Move2.9%2.5%3.3%3.1%3.2%
HV 20d9.2%7.2%10.5%9.8%7.2%
HV 60d9.8%9.1%10.4%10.0%9.1%
IV Rank18.2%0.0%40.1%19.0%38.5%
IV Percentile9.6%0.0%25.8%19.4%25.4%
Term Structure0.2%-0.1%0.4%0.4%0.2%
VWIV10.5%8.9%13.3%10.7%12.0%
Skew 25d1.7%1.2%2.1%2.1%1.8%
Skew 10d3.6%2.7%8.0%4.1%3.9%
Call IV 25d9.5%8.1%10.6%10.6%10.5%
Put IV 25d11.2%9.5%12.7%12.7%12.4%
Bid-Ask Spread %2.592.093.312.093.21
Gamma HHI0.150.090.340.110.12
Net GEX6.0M-35.5M72.2M-35.5M-18.9M
Net DEX-628.0M-1.13B-45.4M-45.4M-933.0M
Net VEX-3.0M-3.9M-2.6M-2.9M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.395.131.272.12
Total Volume90,772.95226,918225,08850,82253,290
Total OI1,179,224.667892,7761,467,1701,037,0841,467,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$31.92$32.0011.3%3.1%9.8%19.0%10.7%2.1%0.4%-35.5M-45.4M-2.9M1.272.0922,40228,420337,604699,480
2020-01-03$31.91$32.0011.2%3.0%9.4%17.2%10.3%2.1%0.2%-31.2M-49.8M-2.9M1.102.1422,02624,164349,428707,328
2020-01-06$31.97$32.0011.2%3.2%9.4%19.5%11.2%2.0%0.1%-26.2M-99.9M-2.8M1.232.6912,06614,852347,124698,826
2020-01-07$31.92$32.0010.9%3.2%9.4%16.7%11.1%2.1%0.3%-28.6M-68.8M-2.9M1.522.4716,79425,578352,914706,512
2020-01-08$32.02$32.0010.5%3.0%9.2%14.1%10.5%2.1%0.3%-23.1M-135.9M-2.8M1.092.9723,82225,974362,286719,982
2020-01-09$32.06$32.009.7%2.8%9.2%4.3%9.3%1.7%0.3%-18.1M-169.6M-2.9M0.882.3742,44037,324373,088734,194
2020-01-10$32.20$32.009.3%2.8%9.2%0.0%9.1%1.7%0.1%48.5M-297.6M-2.8M0.392.3170,33427,512404,808766,664
2020-01-13$32.41$32.008.9%2.6%9.4%0.0%8.9%1.5%0.2%38.9M-503.8M-2.7M1.102.3448,66053,472441,720735,262
2020-01-14$32.41$32.008.4%2.5%9.1%0.0%8.9%1.4%0.3%67.7M-518.5M-2.7M1.072.8543,04046,162478,324750,454
2020-01-15$32.95$32.009.4%2.7%10.2%11.4%9.8%1.4%0.0%72.2M-924.3M-2.8M0.972.8529,83628,982511,820769,160
2020-01-16$33.13$32.008.9%2.7%10.1%5.9%9.3%1.4%0.4%50.9M-1.01B-2.7M1.102.2745,21449,782517,318784,202
2020-01-17$33.37$32.509.2%2.6%10.3%10.1%9.9%1.4%-0.1%34.9M-1.13B-2.6M1.332.4342,59056,590537,480817,384
2020-01-21$33.62$32.509.9%2.8%10.5%20.6%10.3%1.6%0.1%20.3M-883.8M-2.6M1.483.3136,11453,310412,490480,286
2020-01-22$33.76$32.5010.1%2.9%10.4%22.4%10.7%1.5%-0.0%10.5M-904.6M-2.8M2.262.6969,042156,046429,368536,810
2020-01-23$34.02$33.0010.2%2.9%8.4%24.9%10.8%1.4%-0.1%10.3M-929.3M-3.1M3.512.8928,620100,540470,394642,236
2020-01-24$34.13$33.259.9%2.8%8.4%20.1%10.4%1.2%0.0%7.6M-981.6M-3.2M1.342.6650,39667,694489,060693,730
2020-01-27$34.12$33.5011.3%3.3%8.4%40.1%13.3%1.6%-0.1%-3.8M-793.5M-3.6M5.132.4321,160108,540483,046683,768
2020-01-28$34.23$33.5010.8%3.1%8.4%32.7%12.0%1.9%0.1%-16.8M-840.5M-3.6M2.592.4653,976139,912489,928765,066
2020-01-29$34.34$33.5010.9%3.1%8.3%33.4%11.4%2.0%0.3%-26.2M-899.1M-3.9M1.382.4422,62631,252534,074865,620
2020-01-30$34.59$33.5010.6%3.0%8.4%30.3%11.4%1.5%0.2%-6.7M-1.06B-3.7M1.572.5929,49846,180539,660877,650
2020-01-31$34.40$33.5011.2%3.2%7.2%38.5%12.0%1.8%0.2%-18.9M-933.0M-3.9M2.123.2117,06436,226556,940910,230