XLU Options History — February 2020

In February 2020, XLU traded between $30.70 and $35.44. ATM implied volatility averaged 12.7%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.4% (HV 20d: 10.3%). Max pain ranged from $33.00 to $34.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.72.

Notable Days

2020-02-28: Highest Volume — 435,366 contracts
2020-02-28: Largest IV spike — 43.0% change
2020-02-26: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.35	$30.70	$35.44	$34.62	$30.70
Max Pain	$33.76	$33.00	$34.50	$33.50	$34.50
ATM IV	12.7%	9.5%	28.0%	11.6%	28.0%
Expected Move	3.7%	2.8%	9.0%	3.3%	9.0%
HV 20d	10.3%	7.1%	26.7%	7.1%	26.7%
HV 60d	9.6%	8.2%	17.9%	9.1%	17.9%
IV Rank	46.4%	15.1%	100.0%	44.2%	100.0%
IV Percentile	37.9%	2.8%	100.0%	32.9%	100.0%
Term Structure	0.0%	-2.1%	0.7%	0.2%	-2.1%
VWIV	13.0%	9.5%	29.9%	12.2%	29.9%
Skew 25d	2.0%	1.0%	6.8%	2.1%	6.8%
Skew 10d	3.5%	2.1%	7.2%	4.2%	7.2%
Call IV 25d	11.8%	8.8%	25.7%	10.7%	25.7%
Put IV 25d	13.8%	10.2%	32.5%	12.8%	32.5%
Bid-Ask Spread %	2.31	1.39	7.22	2.67	7.22
Gamma HHI	0.11	0.07	0.23	0.11	0.07
Net GEX	-12.9M	-76.1M	29.1M	-10.7M	-33.8M
Net DEX	-739.6M	-1.58B	1.62B	-1.07B	1.62B
Net VEX	-3.6M	-4.6M	-3.0M	-3.5M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.51	3.14	1.34	2.22
Total Volume	111,029.684	28,220	435,366	49,452	435,366
Total OI	1,483,645.684	1,162,150	1,647,098	1,411,982	1,428,856

Daily Data (19 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
2020-02-03	$34.62	$33.50	11.6%	3.3%	7.1%	44.2%	12.2%	2.1%	0.2%	-10.7M	-1.07B	-3.5M	1.34	2.67	21,136	28,316	545,116	866,866
2020-02-04	$34.27	$33.50	11.0%	3.1%	8.7%	34.9%	11.2%	1.9%	0.2%	-27.8M	-849.6M	-3.7M	2.41	2.35	26,182	63,074	546,784	870,936
2020-02-05	$34.34	$33.50	10.9%	3.1%	8.5%	33.7%	12.0%	1.6%	0.3%	-31.6M	-886.4M	-3.7M	1.61	2.27	29,756	47,768	557,984	900,144
2020-02-06	$34.38	$33.00	9.7%	2.9%	8.6%	16.8%	10.4%	1.4%	0.3%	-23.1M	-952.0M	-3.6M	1.02	1.89	41,852	42,630	577,238	919,458
2020-02-07	$34.37	$33.50	10.0%	2.9%	8.6%	21.1%	10.2%	1.4%	0.1%	-13.8M	-969.6M	-3.6M	1.15	1.53	32,576	37,464	602,692	944,454
2020-02-10	$34.35	$33.50	10.0%	2.8%	8.7%	21.8%	10.3%	1.5%	-0.1%	-7.1M	-904.9M	-3.6M	3.14	1.53	20,112	63,094	592,896	932,718
2020-02-11	$34.59	$33.50	9.5%	2.8%	8.8%	15.1%	9.5%	1.5%	0.1%	8.4M	-1.11B	-3.5M	0.51	1.76	55,462	28,252	605,546	940,776
2020-02-12	$34.58	$33.50	9.7%	2.8%	8.8%	16.6%	9.9%	1.3%	0.2%	23.2M	-1.15B	-3.5M	1.99	1.56	9,436	18,784	633,276	946,704
2020-02-13	$34.94	$33.50	10.0%	2.9%	7.8%	21.3%	10.4%	1.2%	0.3%	29.1M	-1.41B	-3.3M	0.65	1.66	37,848	24,464	633,234	958,434
2020-02-14	$35.17	$33.50	10.3%	3.1%	7.9%	25.0%	11.0%	1.1%	0.6%	27.7M	-1.57B	-3.1M	0.80	2.15	58,490	46,504	642,224	967,506
2020-02-18	$35.44	$33.50	10.9%	3.2%	7.9%	34.3%	11.3%	1.0%	0.6%	20.3M	-1.58B	-3.0M	1.41	1.39	30,890	43,674	628,018	946,796
2020-02-19	$35.16	$33.50	11.2%	3.2%	8.6%	37.4%	11.4%	1.1%	0.5%	4.9M	-1.40B	-3.3M	1.60	1.61	16,938	27,114	640,726	975,434
2020-02-20	$35.14	$33.50	11.0%	3.1%	8.7%	35.5%	10.9%	1.1%	0.7%	-2.4M	-1.40B	-3.2M	1.00	1.63	30,864	30,796	637,082	981,630
2020-02-21	$35.21	$34.00	12.0%	3.4%	8.4%	49.7%	11.7%	1.3%	0.7%	-30.8M	-1.39B	-3.5M	1.80	1.68	48,784	87,694	650,420	996,678
2020-02-24	$34.87	$34.50	13.8%	3.8%	9.3%	73.7%	13.9%	1.8%	-0.3%	-5.1M	-572.1M	-3.9M	2.73	2.16	37,994	103,562	504,236	657,914
2020-02-25	$34.13	$34.50	15.7%	4.4%	12.2%	99.9%	15.6%	2.9%	-0.4%	-42.1M	55.5M	-4.3M	2.82	2.82	59,014	166,300	514,996	726,102
2020-02-26	$33.85	$34.50	16.6%	4.7%	12.5%	100.0%	16.3%	3.3%	-0.7%	-76.1M	378.4M	-4.6M	2.28	2.90	27,552	62,942	527,682	819,458
2020-02-27	$32.56	$34.50	19.6%	5.6%	18.3%	100.0%	18.4%	3.2%	-0.8%	-54.5M	1.10B	-4.1M	2.18	3.09	52,532	114,348	544,068	824,186
2020-02-28	$30.70	$34.50	28.0%	9.0%	26.7%	100.0%	29.9%	6.8%	-2.1%	-33.8M	1.62B	-3.7M	2.22	7.22	135,328	300,038	572,496	856,360