XLU Options History — May 2020

In May 2020, XLU traded between $27.27 and $29.88. ATM implied volatility averaged 26.4%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 9.3% (HV 20d: 35.7%). Max pain ranged from $29.00 to $30.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2020-05-28: Highest Volume — 130,766 contracts
  • 2020-05-18: Largest IV drop — 12.0% change
  • 2020-05-01: Highest IV Rank — 33.7%
  • 2020-05-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$27.27$29.88$27.93$29.88
Max Pain$29.41$29.00$30.50$29.50$29.25
ATM IV26.4%22.9%32.1%32.1%23.0%
Expected Move7.6%6.4%9.3%9.2%6.5%
HV 20d35.7%30.8%51.4%51.4%31.6%
HV 60d70.2%68.5%71.3%69.8%68.5%
IV Rank25.6%20.7%33.7%33.7%20.8%
IV Percentile80.7%75.8%86.5%86.5%75.8%
Term Structure0.3%-0.9%1.0%0.6%0.2%
VWIV26.4%21.7%32.4%32.4%23.1%
Skew 25d8.0%5.4%10.9%10.5%5.5%
Skew 10d16.9%10.5%25.6%23.7%10.5%
Call IV 25d23.1%20.0%27.6%27.6%20.5%
Put IV 25d31.1%26.0%38.2%38.2%26.0%
Bid-Ask Spread %4.853.676.424.034.53
Gamma HHI0.110.080.170.140.17
Net GEX6.3M-12.4M37.3M-12.4M37.3M
Net DEX368.1M-297.5M680.2M535.7M-297.5M
Net VEX-3.8M-4.3M-3.4M-3.9M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.302.822.820.94
Total Volume69,292.917,198130,76664,64049,590
Total OI1,205,265.31,098,7721,337,1601,122,3721,248,854

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$27.93$29.5032.1%9.2%51.4%33.7%32.4%10.5%0.6%-12.4M535.7M-3.9M2.824.0316,90047,740597,554524,818
2020-05-04$28.20$30.5030.9%9.3%49.6%32.0%31.6%10.7%0.6%-10.7M466.9M-3.9M0.915.5038,81835,232591,588507,184
2020-05-05$28.44$30.0028.4%8.4%40.6%28.4%28.0%10.3%-0.5%-6.0M386.4M-4.0M1.275.1124,51031,110614,584513,242
2020-05-06$27.43$30.0029.9%8.9%42.7%30.6%29.0%10.9%0.5%-9.7M672.1M-3.4M1.645.0921,90635,884626,256529,456
2020-05-07$27.64$30.0029.1%8.8%40.8%29.4%30.0%9.9%1.0%-6.5M636.1M-3.6M1.644.7117,19828,210635,688535,664
2020-05-08$28.07$30.0027.6%8.1%36.2%27.3%25.5%9.9%0.2%-8.8M572.8M-3.7M0.584.7540,91223,850645,574554,744
2020-05-11$27.96$30.0026.9%7.8%34.3%26.3%29.3%9.4%0.4%-3.6M512.6M-3.6M1.885.0217,49832,826636,974509,300
2020-05-12$27.75$30.0025.5%7.5%32.7%24.3%25.4%8.0%-0.2%-9.6M576.6M-3.5M0.985.2762,86261,414649,996531,640
2020-05-13$27.37$29.0028.1%8.0%32.0%28.0%29.8%8.2%0.2%-7.6M620.7M-3.5M0.605.5328,76217,348689,662537,534
2020-05-14$27.76$29.0027.7%8.1%32.6%27.5%30.3%8.7%0.6%-6.1M489.9M-3.7M1.676.2422,22637,142705,370531,734
2020-05-15$27.27$29.0028.1%7.8%30.8%28.1%28.2%7.9%-0.9%-2.7M680.2M-3.5M0.556.4263,77434,822707,362557,592
2020-05-18$28.70$29.0024.7%7.1%34.4%23.3%23.2%7.2%0.5%17.3M119.5M-4.0M0.524.2182,75442,794644,968483,820
2020-05-19$28.17$29.0024.5%7.0%34.3%22.9%24.2%6.4%0.6%14.5M290.3M-3.9M0.486.2175,57636,598666,982519,468
2020-05-20$28.20$29.0024.8%7.1%31.5%23.3%24.2%6.7%0.2%23.9M273.2M-4.0M0.344.0547,34215,864726,794549,110
2020-05-21$27.95$29.0024.3%6.9%31.1%22.6%23.5%5.6%0.2%27.7M371.6M-4.0M1.294.8419,90425,756756,774557,518
2020-05-22$28.20$29.0023.2%6.6%31.2%21.1%21.7%5.4%0.5%4.9M281.3M-4.0M0.683.6725,54817,422765,054572,106
2020-05-26$28.48$29.0023.1%6.4%31.2%20.9%24.0%5.8%0.5%21.6M209.8M-4.0M0.744.1333,16224,640701,568536,386
2020-05-27$28.66$29.0022.9%6.4%31.3%20.7%22.6%5.9%0.5%27.4M156.8M-4.0M1.203.877,8109,388694,704523,376
2020-05-28$29.55$29.0023.2%6.4%33.3%21.1%22.6%6.6%0.1%35.5M-193.5M-4.2M0.303.82100,36030,406697,688526,620
2020-05-29$29.88$29.2523.0%6.5%31.6%20.8%23.1%5.5%0.2%37.3M-297.5M-4.3M0.944.5325,56224,028707,308541,546