XLU Options History — September 2020

In September 2020, XLU traded between $28.61 and $30.29. ATM implied volatility averaged 20.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.1% (HV 20d: 20.9%). Max pain ranged from $29.50 to $30.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2020-09-09: Highest Volume — 148,988 contracts
2020-09-21: Largest IV spike — 17.5% change
2020-09-03: Highest IV Rank — 22.3%
2020-09-03: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.52	$28.61	$30.29	$29.24	$29.64
Max Pain	$29.55	$29.50	$30.00	$30.00	$29.50
ATM IV	20.8%	17.7%	24.1%	22.3%	19.8%
Expected Move	5.8%	5.1%	6.8%	6.0%	5.1%
HV 20d	20.9%	16.0%	23.2%	16.0%	22.5%
HV 60d	19.5%	18.9%	20.6%	19.3%	19.0%
IV Rank	17.6%	13.2%	22.3%	19.8%	16.3%
IV Percentile	56.2%	44.4%	71.8%	63.5%	50.4%
Term Structure	0.7%	-0.4%	3.1%	0.4%	2.7%
VWIV	21.0%	17.7%	25.5%	21.8%	19.1%
Skew 25d	3.4%	1.8%	5.1%	3.1%	3.7%
Skew 10d	6.9%	2.4%	11.7%	5.6%	8.2%
Call IV 25d	19.8%	17.6%	22.3%	21.3%	18.9%
Put IV 25d	23.2%	19.8%	26.6%	24.4%	22.6%
Bid-Ask Spread %	6.79	4.44	18.77	7.36	6.07
Gamma HHI	0.09	0.08	0.12	0.09	0.08
Net GEX	2.4M	-34.0M	42.2M	-13.6M	4.0M
Net DEX	130.4M	-226.9M	387.0M	301.6M	49.6M
Net VEX	-4.0M	-4.6M	-3.7M	-4.2M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.43	2.28	1.21	0.49
Total Volume	63,311.714	33,176	148,988	74,624	33,176
Total OI	1,184,945.714	924,658	1,356,980	1,245,498	1,032,532

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
2020-09-01	$29.24	$30.00	22.3%	6.0%	16.0%	19.8%	21.8%	3.1%	0.4%	-13.6M	301.6M	-4.2M	1.21	7.36	33,752	40,872	574,096	671,402
2020-09-02	$30.29	$30.00	22.4%	6.0%	20.5%	19.9%	22.1%	3.2%	0.2%	30.3M	-226.9M	-4.4M	1.36	6.23	35,282	48,100	594,996	693,488
2020-09-03	$29.70	$29.50	24.1%	6.8%	21.6%	22.3%	23.6%	4.3%	-0.4%	4.3M	83.6M	-4.6M	0.43	18.77	29,950	12,932	607,296	730,192
2020-09-04	$29.75	$29.50	23.3%	6.4%	20.0%	21.1%	25.5%	4.0%	0.1%	5.1M	74.7M	-4.5M	2.02	17.79	18,364	37,024	619,584	734,122
2020-09-08	$29.66	$29.50	23.0%	6.7%	20.0%	20.8%	24.8%	3.4%	-0.1%	10.1M	97.1M	-4.3M	1.12	6.37	18,172	20,264	604,168	715,766
2020-09-09	$30.05	$29.50	21.1%	5.9%	19.3%	18.1%	21.5%	3.3%	-0.2%	40.1M	-131.6M	-4.2M	0.69	6.56	88,322	60,666	611,310	727,572
2020-09-10	$29.49	$29.50	20.5%	5.9%	19.4%	17.2%	21.2%	2.9%	0.1%	-9.7M	237.5M	-4.0M	1.73	5.73	25,990	45,084	542,338	701,668
2020-09-11	$29.49	$29.50	20.3%	5.9%	19.3%	17.0%	21.1%	2.7%	0.3%	-16.9M	233.4M	-4.0M	1.59	5.04	13,716	21,842	559,540	721,618
2020-09-14	$29.91	$29.50	18.6%	5.4%	20.0%	14.6%	20.9%	2.7%	0.6%	22.5M	19.4M	-3.8M	2.28	5.24	21,492	49,080	536,668	712,924
2020-09-15	$30.05	$29.50	18.2%	5.2%	20.1%	14.0%	18.6%	2.0%	0.7%	36.4M	-77.4M	-3.7M	0.66	6.21	51,576	33,914	544,864	731,438
2020-09-16	$30.11	$29.50	17.7%	5.1%	20.1%	13.2%	17.7%	2.2%	0.8%	42.2M	-110.6M	-3.7M	0.88	5.63	24,298	21,502	558,214	741,254
2020-09-17	$29.68	$29.50	18.6%	5.3%	20.7%	14.5%	18.7%	1.8%	0.3%	4.8M	183.3M	-3.7M	0.81	5.66	41,398	33,678	567,998	756,958
2020-09-18	$29.38	$29.50	18.7%	5.3%	20.7%	14.6%	19.0%	2.1%	0.6%	-34.0M	349.5M	-3.7M	0.59	5.75	79,226	47,040	590,628	766,352
2020-09-21	$28.75	$29.50	21.9%	6.2%	22.0%	19.2%	22.6%	5.1%	0.6%	-17.7M	347.4M	-3.8M	0.92	5.06	43,286	39,772	388,290	536,368
2020-09-22	$29.05	$29.50	21.1%	5.9%	22.1%	18.1%	22.7%	4.3%	0.8%	-12.9M	255.1M	-4.0M	0.74	4.55	23,178	17,132	411,904	561,184
2020-09-23	$28.61	$29.50	21.8%	6.1%	22.6%	19.1%	20.5%	4.2%	0.6%	-22.0M	387.0M	-3.9M	0.82	4.90	20,028	16,398	414,736	568,922
2020-09-24	$28.87	$29.50	21.6%	6.2%	22.5%	18.8%	22.8%	4.1%	0.6%	-16.6M	322.7M	-4.0M	0.54	5.08	24,620	13,348	426,234	582,116
2020-09-25	$29.25	$29.50	20.5%	5.6%	23.0%	17.2%	19.7%	4.3%	1.0%	-3.3M	169.1M	-4.1M	1.07	4.70	27,956	29,866	437,652	584,190
2020-09-28	$29.48	$29.50	20.2%	5.4%	23.2%	16.8%	18.7%	3.9%	3.1%	-3.8M	97.7M	-4.1M	0.52	5.37	34,792	18,010	424,746	576,822
2020-09-29	$29.54	$29.50	20.1%	5.4%	23.1%	16.7%	19.1%	4.3%	2.7%	250.2K	75.7M	-4.1M	0.44	4.44	23,912	10,536	441,242	580,468
2020-09-30	$29.64	$29.50	19.8%	5.1%	22.5%	16.3%	19.1%	3.7%	2.7%	4.0M	49.6M	-4.1M	0.49	6.07	22,274	10,902	449,678	582,854