XLU Options History — August 2020

In August 2020, XLU traded between $29.37 and $30.81. ATM implied volatility averaged 19.4%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.2% (HV 20d: 17.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.37.

Notable Days

2020-08-20: Highest Volume — 144,030 contracts
2020-08-26: Largest IV spike — 7.8% change
2020-08-28: Highest IV Rank — 19.9%
2020-08-27: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.03	$29.37	$30.81	$30.09	$29.66
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	19.4%	18.0%	22.4%	19.3%	22.3%
Expected Move	5.5%	5.1%	5.9%	5.3%	5.7%
HV 20d	17.3%	15.3%	19.6%	18.1%	15.7%
HV 60d	22.5%	19.8%	24.6%	24.6%	19.8%
IV Rank	15.7%	13.7%	19.9%	15.5%	19.7%
IV Percentile	57.6%	53.6%	64.7%	57.9%	63.5%
Term Structure	0.5%	-0.1%	1.5%	0.0%	0.4%
VWIV	19.7%	18.5%	22.0%	18.9%	20.2%
Skew 25d	3.2%	2.8%	3.7%	3.5%	3.7%
Skew 10d	6.2%	4.4%	8.2%	7.3%	6.5%
Call IV 25d	18.3%	17.1%	21.1%	18.4%	21.1%
Put IV 25d	21.5%	20.2%	24.8%	21.9%	24.8%
Bid-Ask Spread %	3.68	2.78	6.02	5.04	6.02
Gamma HHI	0.09	0.07	0.17	0.07	0.09
Net GEX	4.1M	-32.7M	34.9M	6.2M	3.4M
Net DEX	-36.4M	-464.8M	268.2M	-101.5M	103.7M
Net VEX	-4.2M	-4.4M	-3.9M	-4.3M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.30	3.55	1.32	0.52
Total Volume	54,296.571	21,224	144,030	43,342	28,906
Total OI	1,272,351.429	1,166,280	1,481,528	1,184,064	1,237,908

Daily Data (21 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
2020-08-03	$30.09	$30.00	19.3%	5.3%	18.1%	15.5%	18.9%	3.5%	0.0%	6.2M	-101.5M	-4.3M	1.32	5.04	18,698	24,644	549,546	634,518
2020-08-04	$30.33	$30.00	18.4%	5.1%	18.1%	14.1%	19.7%	3.0%	0.3%	11.8M	-192.7M	-4.4M	0.85	5.67	41,732	35,348	557,270	651,350
2020-08-05	$30.07	$30.00	18.7%	5.2%	18.3%	14.6%	19.0%	3.4%	0.1%	3.2M	-90.3M	-4.4M	1.12	5.10	23,298	26,160	580,542	677,258
2020-08-06	$30.16	$30.00	18.0%	5.5%	17.2%	13.7%	18.9%	2.9%	0.3%	8.5M	-143.6M	-4.4M	0.30	3.60	19,350	5,882	592,464	687,130
2020-08-07	$30.81	$30.00	18.0%	5.3%	17.6%	13.7%	20.4%	3.2%	0.5%	34.9M	-464.8M	-4.4M	0.49	3.24	30,988	15,078	603,608	690,394
2020-08-10	$30.75	$30.00	18.7%	5.6%	17.7%	14.6%	19.1%	3.4%	0.7%	31.2M	-391.7M	-4.3M	1.59	2.99	13,634	21,730	584,828	662,274
2020-08-11	$30.09	$30.00	19.3%	5.7%	19.1%	15.5%	19.8%	3.4%	0.7%	14.1M	-74.3M	-4.3M	1.26	4.24	15,012	18,900	583,230	677,524
2020-08-12	$30.58	$30.00	18.4%	5.4%	19.5%	14.2%	19.6%	2.9%	0.6%	26.7M	-328.4M	-4.1M	1.75	3.09	17,350	30,286	584,056	680,328
2020-08-13	$30.35	$30.00	18.8%	5.4%	19.6%	14.7%	19.0%	3.1%	0.1%	21.5M	-200.8M	-4.2M	1.51	2.98	24,386	36,900	594,098	697,068
2020-08-14	$30.16	$30.00	18.9%	5.6%	18.1%	14.8%	19.4%	3.3%	0.9%	26.1M	-66.4M	-4.2M	1.98	3.16	12,326	24,406	622,248	735,400
2020-08-17	$30.16	$30.00	19.1%	5.5%	17.6%	15.3%	19.4%	3.3%	0.6%	1.8M	-73.1M	-4.0M	0.83	2.86	11,624	9,600	589,722	711,098
2020-08-18	$30.07	$30.00	18.4%	5.3%	17.7%	14.2%	19.1%	2.9%	1.5%	-5.5M	-8.2M	-3.9M	1.31	2.78	14,602	19,096	593,924	714,524
2020-08-19	$29.95	$30.00	18.6%	5.3%	16.4%	14.5%	22.0%	3.3%	1.5%	-13.6M	54.6M	-3.9M	3.38	3.18	13,194	44,644	596,430	723,666
2020-08-20	$29.68	$30.00	19.9%	5.7%	16.7%	16.3%	19.9%	3.4%	0.8%	-17.9M	263.3M	-3.9M	0.64	3.23	87,562	56,468	603,954	759,202
2020-08-21	$29.71	$30.00	19.9%	5.6%	16.7%	16.3%	20.1%	3.5%	0.6%	-8.6M	193.4M	-4.2M	3.55	3.01	18,308	64,964	683,580	797,948
2020-08-24	$29.97	$30.00	19.4%	5.3%	16.1%	15.6%	19.2%	3.1%	0.2%	9.2M	8.7M	-4.2M	1.81	3.08	24,454	44,186	525,366	640,914
2020-08-25	$29.73	$30.00	19.3%	5.1%	15.3%	15.5%	18.5%	3.1%	0.3%	-1.4M	121.3M	-4.1M	1.60	3.23	12,732	20,332	532,338	655,604
2020-08-26	$29.37	$30.00	20.8%	5.6%	15.6%	17.6%	19.5%	3.1%	-0.1%	-17.2M	268.2M	-4.1M	0.63	3.52	39,850	24,906	539,096	653,046
2020-08-27	$29.50	$30.00	21.9%	5.9%	15.7%	19.2%	20.8%	2.8%	-0.1%	-15.0M	186.1M	-4.2M	0.69	3.72	46,690	32,026	566,152	666,152
2020-08-28	$29.50	$30.00	22.4%	5.8%	15.7%	19.9%	20.4%	3.2%	0.4%	-32.7M	171.2M	-4.4M	1.74	3.56	25,496	44,480	597,872	685,750
2020-08-31	$29.66	$30.00	22.3%	5.7%	15.7%	19.7%	20.2%	3.7%	0.4%	3.4M	103.7M	-4.3M	0.52	6.02	18,988	9,918	572,016	665,892