XLU Options History — April 2020

In April 2020, XLU traded between $25.69 and $30.45. ATM implied volatility averaged 38.7%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 46.5% (HV 20d: 85.2%). Max pain ranged from $26.50 to $29.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2020-04-28: Highest Volume — 153,628 contracts
  • 2020-04-22: Largest IV drop — 11.8% change
  • 2020-04-01: Highest IV Rank — 61.0%
  • 2020-04-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.80$25.69$30.45$25.69$28.68
Max Pain$28.56$26.50$29.50$28.25$29.50
ATM IV38.7%27.1%51.2%51.2%29.5%
Expected Move11.1%7.5%15.9%15.9%8.3%
HV 20d85.2%51.6%108.2%101.5%51.6%
HV 60d67.7%63.1%69.6%63.1%69.6%
IV Rank43.2%26.6%61.0%61.0%30.0%
IV Percentile90.0%84.5%96.0%96.0%85.7%
Term Structure-0.4%-2.8%1.7%-2.8%0.9%
VWIV39.5%26.2%52.4%52.4%29.7%
Skew 25d12.2%8.1%14.8%13.1%9.5%
Skew 10d27.5%18.5%34.0%28.0%21.9%
Call IV 25d33.4%23.7%45.3%45.3%25.7%
Put IV 25d45.6%31.8%58.4%58.4%35.2%
Bid-Ask Spread %8.023.7515.2610.524.04
Gamma HHI0.100.050.290.050.14
Net GEX3.1M-10.2M28.3M-6.9M-10.2M
Net DEX111.9M-272.4M579.9M579.9M376.9M
Net VEX-4.1M-4.6M-3.1M-3.1M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.263.231.520.26
Total Volume59,023.8117,326153,62867,334106,276
Total OI1,071,615.143858,3281,254,4281,087,7201,069,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$25.69$28.2551.2%15.9%101.5%61.0%52.4%13.1%-2.8%-6.9M579.9M-3.1M1.5210.5226,68640,648581,678506,042
2020-04-02$26.65$26.5046.1%12.9%103.1%53.7%45.5%12.6%-2.0%-5.1M444.9M-3.5M0.8911.2917,26215,410592,268506,816
2020-04-03$25.75$26.5047.4%13.4%103.4%55.6%46.6%12.8%-1.6%-6.1M564.2M-3.2M1.0315.268,5488,778599,680513,210
2020-04-06$27.93$26.5042.1%12.0%108.2%48.0%45.0%11.7%-0.0%-758.3K240.5M-3.9M0.425.8246,73419,852570,662489,088
2020-04-07$27.95$26.5042.7%12.4%108.2%48.9%47.5%13.0%0.6%2.3M210.9M-3.9M1.028.1014,97615,264603,872501,040
2020-04-08$28.91$26.5041.7%11.6%108.1%47.4%40.6%12.5%-1.4%5.5M26.2M-4.2M0.8112.0547,33238,240613,078507,422
2020-04-09$30.45$26.5039.3%11.4%103.3%44.0%40.8%14.8%1.7%5.2M-261.6M-4.6M1.778.2637,61666,426613,650529,908
2020-04-13$29.41$29.5041.1%11.7%103.9%46.6%42.2%13.7%-0.0%-1.4M-6.8M-4.4M0.737.1232,71823,900615,906556,482
2020-04-14$30.16$29.5039.5%11.3%98.7%44.2%41.1%12.9%-1.0%2.7M-179.7M-4.5M0.959.6331,07629,476637,000569,096
2020-04-15$29.41$29.5040.2%11.5%92.3%45.3%42.0%13.7%-0.7%-2.3M-28.8M-4.4M2.207.4511,50025,250664,648589,780
2020-04-16$29.40$29.5039.7%11.4%88.0%44.6%43.9%13.2%-0.2%1.6M-74.7M-4.4M3.237.709,82431,724673,134575,696
2020-04-17$30.25$29.5037.4%10.7%88.2%41.3%38.0%12.7%0.6%28.3M-272.4M-4.5M1.8510.8115,04427,850677,152567,202
2020-04-20$29.14$29.5039.3%11.3%83.2%44.0%40.6%13.3%-0.9%4.6M75.9M-4.2M1.398.4623,46032,628474,942383,386
2020-04-21$28.55$29.5042.1%12.1%74.9%48.0%43.4%13.6%-1.7%2.4M164.7M-4.1M0.325.9846,38014,642491,474409,208
2020-04-22$29.58$29.5037.1%10.7%65.5%40.9%37.1%12.5%-0.5%12.5M-31.8M-4.3M0.765.9840,02030,430514,586417,412
2020-04-23$29.07$29.5036.5%10.4%63.7%40.0%36.1%12.2%-0.5%5.5M108.6M-4.2M1.415.7511,68616,452512,886442,532
2020-04-24$29.23$29.5034.2%9.7%62.4%36.7%35.0%11.6%-0.5%21.2M101.6M-4.2M1.1011.9723,52425,860516,568454,352
2020-04-27$29.55$29.2530.3%8.4%61.6%31.2%28.8%10.0%-0.3%3.3M83.6M-4.1M2.123.9012,36226,176503,920436,014
2020-04-28$29.58$29.2528.5%8.0%60.7%28.6%27.2%9.4%0.7%2.3M95.1M-4.2M0.993.7577,32276,306509,534457,244
2020-04-29$29.55$29.5027.1%7.5%58.9%26.6%26.2%8.1%0.6%993.2K132.6M-4.3M0.964.5717,30016,542547,402508,024
2020-04-30$28.68$29.5029.5%8.3%51.6%30.0%29.7%9.5%0.9%-10.2M376.9M-4.1M0.264.0484,65221,624554,978514,946