XLU Options History — March 2020

In March 2020, XLU traded between $22.09 and $34.24. ATM implied volatility averaged 49.4%, placing in the 83.1% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 18.3% (HV 20d: 67.7%). Max pain ranged from $28.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.51.

Notable Days

2020-03-05: Highest Volume — 216,630 contracts
2020-03-16: Largest IV spike — 41.3% change
2020-03-05: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.81	$22.09	$34.24	$32.66	$27.86
Max Pain	$31.70	$28.00	$34.00	$34.00	$28.50
ATM IV	49.4%	22.2%	78.6%	24.2%	46.0%
Expected Move	14.6%	7.1%	22.5%	7.4%	14.3%
HV 20d	67.7%	35.9%	102.6%	35.9%	100.2%
HV 60d	40.7%	21.9%	61.0%	21.9%	61.0%
IV Rank	83.1%	53.6%	100.0%	80.6%	53.6%
IV Percentile	98.7%	94.8%	100.0%	99.6%	94.8%
Term Structure	-1.3%	-4.9%	2.2%	-0.4%	-0.3%
VWIV	51.1%	24.6%	76.7%	28.6%	49.4%
Skew 25d	17.2%	5.5%	36.1%	5.5%	13.1%
Skew 10d	31.8%	1.9%	51.0%	10.9%	30.5%
Call IV 25d	42.3%	19.7%	67.7%	21.3%	39.9%
Put IV 25d	59.5%	26.8%	90.9%	26.8%	53.0%
Bid-Ask Spread %	20.10	5.44	40.44	5.44	9.72
Gamma HHI	0.06	0.04	0.10	0.07	0.05
Net GEX	-16.5M	-33.3M	-603.4K	-33.3M	-3.7M
Net DEX	860.0M	-320.0M	1.78B	617.9M	334.8M
Net VEX	-3.9M	-5.7M	-1.5M	-4.3M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.57	3.22	1.38	1.31
Total Volume	100,409.182	17,220	216,630	153,190	86,192
Total OI	1,369,300.545	926,504	1,620,974	1,359,078	1,035,756

Daily Data (22 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
2020-03-02	$32.66	$34.00	24.2%	7.4%	35.9%	80.6%	28.6%	5.5%	-0.4%	-33.3M	617.9M	-4.3M	1.38	5.44	64,378	88,812	572,590	786,488
2020-03-03	$32.85	$34.00	26.5%	8.9%	35.9%	92.5%	33.2%	9.0%	-0.8%	-31.9M	507.6M	-4.8M	1.55	9.32	77,536	120,082	593,646	824,640
2020-03-04	$34.24	$34.00	22.2%	7.1%	39.0%	70.6%	28.1%	7.3%	-0.1%	-24.0M	-320.0M	-4.7M	0.86	5.51	63,228	54,506	607,250	850,828
2020-03-05	$33.66	$32.50	28.0%	7.7%	39.4%	100.0%	24.6%	9.9%	-1.1%	-27.5M	70.1M	-5.2M	1.02	12.41	107,380	109,250	623,352	868,408
2020-03-06	$33.34	$32.50	32.0%	8.5%	39.5%	100.0%	28.0%	17.8%	-1.0%	-29.1M	277.8M	-5.7M	1.51	21.89	81,508	122,868	688,584	932,390
2020-03-09	$32.12	$33.00	40.3%	11.3%	41.5%	100.0%	40.2%	17.8%	-2.2%	-27.7M	715.2M	-5.6M	1.49	37.42	22,306	33,136	670,638	882,870
2020-03-10	$31.74	$33.00	39.5%	11.3%	41.6%	97.5%	39.1%	16.7%	-0.6%	-31.8M	913.1M	-5.3M	3.22	13.89	27,236	87,726	672,630	892,742
2020-03-11	$30.39	$33.00	43.7%	11.9%	43.7%	100.0%	48.2%	17.4%	-3.0%	-31.0M	1.35B	-4.6M	1.79	26.33	55,434	99,224	677,390	881,880
2020-03-12	$27.50	$32.50	58.9%	16.3%	54.7%	100.0%	48.9%	14.8%	-3.9%	-20.0M	1.78B	-3.6M	1.31	30.12	40,832	53,608	690,026	910,414
2020-03-13	$28.26	$32.50	50.3%	14.8%	55.9%	82.9%	59.4%	36.1%	2.2%	-25.9M	1.71B	-3.6M	1.15	35.51	46,914	54,100	689,198	901,716
2020-03-16	$25.91	$32.50	71.1%	20.0%	61.6%	100.0%	67.6%	23.4%	-0.7%	-11.8M	1.72B	-3.1M	2.21	33.12	12,000	26,466	689,830	886,400
2020-03-17	$28.75	$32.50	63.3%	18.1%	74.6%	87.5%	61.3%	18.1%	-0.2%	-21.0M	1.38B	-4.2M	2.93	32.33	22,602	66,234	693,546	872,404
2020-03-18	$26.71	$32.50	78.6%	22.5%	77.9%	100.0%	76.7%	23.2%	-3.1%	-11.7M	1.58B	-3.7M	1.81	40.44	21,486	38,854	699,970	877,380
2020-03-19	$26.37	$32.50	70.1%	20.1%	77.7%	87.9%	66.6%	23.3%	0.2%	-11.9M	1.67B	-3.3M	1.44	38.81	16,580	23,820	709,826	875,438
2020-03-20	$24.24	$32.00	67.3%	19.8%	81.3%	83.9%	58.6%	20.9%	-4.9%	-5.6M	1.74B	-2.2M	0.57	18.02	45,390	25,736	719,004	859,150
2020-03-23	$22.09	$31.50	69.3%	21.3%	85.3%	86.8%	69.9%	22.3%	1.5%	-3.9M	783.0M	-1.5M	1.02	6.66	34,822	35,620	486,884	439,620
2020-03-24	$24.75	$31.00	52.1%	16.4%	98.2%	62.3%	60.1%	17.2%	-2.3%	-3.8M	681.3M	-2.2M	0.81	12.89	41,386	33,596	508,152	424,332
2020-03-25	$26.15	$28.00	53.0%	16.2%	101.4%	63.5%	66.2%	17.6%	-0.3%	-2.7M	529.6M	-2.9M	1.58	15.21	27,424	43,280	535,954	445,462
2020-03-26	$27.23	$28.50	50.0%	15.1%	102.6%	59.3%	54.6%	15.8%	-2.1%	-3.5M	432.0M	-3.4M	1.25	15.03	47,828	59,980	547,046	481,282
2020-03-27	$28.06	$28.50	52.1%	16.2%	101.7%	62.3%	56.7%	15.7%	-1.6%	-840.3K	285.9M	-4.0M	2.04	13.61	23,808	48,614	578,928	509,360
2020-03-30	$28.95	$28.50	48.6%	15.4%	99.6%	57.3%	58.9%	14.6%	-3.3%	-603.4K	161.3M	-4.2M	0.98	8.51	8,716	8,504	550,868	480,340
2020-03-31	$27.86	$28.50	46.0%	14.3%	100.2%	53.6%	49.4%	13.1%	-0.3%	-3.7M	334.8M	-3.6M	1.31	9.72	37,378	48,814	554,138	481,618