XLU Options History — July 2020

In July 2020, XLU traded between $28.36 and $30.34. ATM implied volatility averaged 21.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.4% (HV 20d: 21.2%). Max pain ranged from $28.50 to $30.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2020-07-17: Highest Volume — 233,458 contracts
  • 2020-07-06: Largest IV spike — 11.5% change
  • 2020-07-13: Highest IV Rank — 21.8%
  • 2020-07-06: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.50$28.36$30.34$28.95$30.33
Max Pain$29.13$28.50$30.00$29.00$30.00
ATM IV21.5%19.0%23.8%22.4%19.0%
Expected Move6.2%5.3%7.0%6.1%5.3%
HV 20d21.2%19.0%26.8%26.8%19.0%
HV 60d28.1%24.6%32.8%32.8%24.6%
IV Rank18.7%15.0%21.8%19.9%15.0%
IV Percentile63.8%57.1%71.0%67.1%57.1%
Term Structure0.6%-0.1%1.5%0.5%0.7%
VWIV22.3%18.8%25.9%23.4%18.8%
Skew 25d4.2%2.5%6.0%5.0%2.8%
Skew 10d8.7%4.5%12.1%12.0%7.7%
Call IV 25d20.1%18.1%22.6%20.6%18.1%
Put IV 25d24.3%20.8%27.9%25.6%20.8%
Bid-Ask Spread %5.524.177.247.175.61
Gamma HHI0.120.070.300.100.07
Net GEX30.3M-1.2M79.4M50.1M7.5M
Net DEX-160.4M-728.4M244.5M-78.9M-256.8M
Net VEX-4.4M-4.8M-4.0M-4.8M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.244.150.680.82
Total Volume74,389.36425,312233,458156,82630,842
Total OI1,324,968.5451,062,8681,557,0041,557,0041,265,986

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$28.95$29.0022.4%6.1%26.8%19.9%23.4%5.0%0.5%50.1M-78.9M-4.8M0.687.1793,10463,722805,568751,436
2020-07-02$29.01$28.7521.2%5.5%25.4%18.2%20.3%4.3%1.5%59.6M-166.0M-4.7M1.745.2921,68037,622761,380726,914
2020-07-06$28.55$28.5023.6%7.0%24.4%21.6%25.0%5.5%0.4%17.9M156.4M-4.4M2.845.8222,81864,712719,624666,286
2020-07-07$28.48$28.5022.3%6.7%22.2%19.7%25.8%5.1%0.6%17.9M184.6M-4.3M1.605.1918,34429,288724,666663,778
2020-07-08$28.78$28.5022.4%6.6%21.9%19.9%24.4%5.5%0.7%33.5M34.5M-4.4M0.665.8115,23410,078733,304684,102
2020-07-09$28.36$28.5023.7%7.0%22.2%21.7%25.9%5.2%0.7%10.8M244.5M-4.3M1.295.6022,79829,368737,576687,090
2020-07-10$28.89$28.5022.9%6.9%19.0%20.6%23.4%4.7%0.6%41.7M-30.8M-4.3M0.245.0927,5566,662739,670699,646
2020-07-13$28.89$28.5023.8%7.0%19.0%21.8%23.9%5.4%0.8%50.2M-50.7M-4.2M0.795.9328,80222,740739,258680,084
2020-07-14$29.33$28.5023.6%6.8%19.7%21.6%24.4%5.2%0.2%65.4M-290.6M-4.2M0.744.7530,29022,306746,270691,748
2020-07-15$29.16$29.0023.1%6.9%19.6%20.9%24.5%6.0%1.0%79.4M-199.2M-4.2M0.395.6167,52226,448762,018704,156
2020-07-16$29.46$29.0022.1%6.4%20.0%19.5%22.2%4.0%0.5%62.1M-376.4M-4.0M0.534.8783,58844,392737,158706,550
2020-07-17$30.13$29.0021.4%6.1%21.5%18.5%22.6%3.5%-0.1%48.1M-728.4M-4.3M0.594.17147,06086,398780,630744,958
2020-07-20$29.79$29.0021.7%6.2%21.3%18.9%22.4%3.7%0.6%15.8M-170.4M-4.4M0.807.2434,33827,480523,226539,642
2020-07-21$29.78$29.0021.1%6.0%20.9%18.0%21.2%2.9%0.7%17.9M-177.7M-4.5M0.544.7716,9269,088547,506558,828
2020-07-22$30.33$29.0020.3%5.8%21.3%16.9%20.3%2.5%0.5%24.0M-382.6M-4.4M0.775.0225,46819,656552,556559,762
2020-07-23$30.24$29.5019.9%5.7%21.1%16.3%19.7%3.2%0.7%26.2M-351.7M-4.4M1.495.0443,64865,026562,208571,190
2020-07-24$30.13$30.0020.6%5.8%20.0%17.4%20.1%3.7%1.0%23.1M-266.6M-4.6M0.944.9437,34635,016578,234621,626
2020-07-27$29.69$30.0020.5%5.8%20.4%17.2%21.4%4.0%0.3%-1.2M19.3M-4.4M3.485.0819,43867,622543,912619,092
2020-07-28$30.17$30.0019.7%5.6%20.5%16.1%21.2%3.8%0.5%5.0M-182.5M-4.5M3.576.0919,09468,126550,042651,108
2020-07-29$30.34$30.0019.3%5.3%20.4%15.5%19.0%2.9%0.4%4.4M-237.5M-4.6M0.876.7114,86412,958559,410689,526
2020-07-30$30.26$30.0019.0%5.4%19.0%15.1%20.2%2.8%0.2%7.3M-220.9M-4.5M4.155.6813,03054,068567,676693,908
2020-07-31$30.33$30.0019.0%5.3%19.0%15.0%18.8%2.8%0.7%7.5M-256.8M-4.5M0.825.6116,92813,914571,844694,142