XLU Options History — October 2020

In October 2020, XLU traded between $29.92 and $32.38. ATM implied volatility averaged 20.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.3% (HV 20d: 15.6%). Max pain ranged from $29.50 to $30.25. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-10-06: Highest Volume — 155,874 contracts
  • 2020-10-28: Largest IV spike — 14.1% change
  • 2020-10-30: Highest IV Rank — 23.1%
  • 2020-10-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.58$29.92$32.38$29.92$31.18
Max Pain$29.92$29.50$30.25$29.50$30.25
ATM IV20.8%18.9%24.6%20.5%24.6%
Expected Move6.1%5.3%7.6%5.4%7.6%
HV 20d15.6%11.3%18.9%18.9%16.4%
HV 60d18.2%17.5%19.0%19.0%18.6%
IV Rank17.7%14.9%23.1%17.1%23.1%
IV Percentile53.7%43.3%73.8%53.2%73.8%
Term Structure0.3%-1.1%3.4%2.7%-0.4%
VWIV22.2%19.5%30.4%19.5%24.5%
Skew 25d3.7%2.1%6.6%3.8%6.6%
Skew 10d7.0%-3.5%13.9%7.4%13.9%
Call IV 25d19.5%18.4%22.4%18.7%22.4%
Put IV 25d23.3%20.7%28.9%22.5%28.9%
Bid-Ask Spread %4.002.266.155.234.66
Gamma HHI0.130.050.740.080.05
Net GEX27.9M-8.2M235.0M14.7M-4.8M
Net DEX-447.8M-800.4M-71.6M-77.9M-71.6M
Net VEX-3.6M-4.1M-3.1M-4.1M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.231.710.741.06
Total Volume81,48624,530155,87461,96669,558
Total OI1,068,759.818932,5301,211,9041,040,4461,076,414

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$29.92$29.5020.5%5.4%18.9%17.1%19.5%3.8%2.7%14.7M-77.9M-4.1M0.745.2335,51626,450454,276586,170
2020-10-02$30.34$29.5021.2%5.3%18.2%18.2%19.6%3.6%3.4%19.6M-252.4M-4.1M0.995.1861,07060,314464,898604,264
2020-10-05$30.70$29.5021.7%6.7%18.5%18.9%23.3%5.1%0.4%16.9M-320.3M-4.0M1.056.1536,24238,106453,728603,414
2020-10-06$30.98$29.5022.4%6.3%18.6%19.9%22.8%4.4%-0.1%24.2M-442.4M-3.9M0.555.88100,44455,430470,802624,430
2020-10-07$31.20$30.0020.8%6.2%18.2%17.7%23.4%3.7%0.3%30.2M-494.9M-3.8M0.953.6939,54637,390484,924639,150
2020-10-08$31.69$30.0019.6%5.8%17.1%15.9%21.7%3.1%0.3%36.8M-675.4M-3.7M0.724.2489,30464,240497,348638,346
2020-10-09$31.70$30.0019.6%5.8%17.1%15.9%21.1%2.4%0.5%56.7M-661.9M-3.6M0.473.8164,85630,468512,544678,434
2020-10-12$31.98$30.0018.9%5.5%16.8%14.9%21.9%2.1%0.1%18.8M-692.3M-3.5M0.613.4665,33839,964494,228648,766
2020-10-13$31.74$30.0019.4%5.8%17.2%15.6%20.6%2.4%1.2%11.4M-582.5M-3.6M1.223.7238,56247,126509,444667,666
2020-10-14$31.67$30.0019.5%5.8%17.3%15.8%19.9%2.5%0.7%14.8M-574.6M-3.6M0.232.2647,78210,844522,090672,424
2020-10-15$31.70$30.0020.2%5.9%16.1%16.8%20.4%2.6%0.6%23.9M-624.9M-3.4M1.413.0250,22271,060536,138675,766
2020-10-16$32.04$30.0019.7%5.6%15.5%16.1%20.9%2.5%-0.1%235.0M-800.4M-3.3M0.273.9780,67022,110550,676660,010
2020-10-19$31.75$30.0019.8%5.7%13.2%16.2%20.4%3.1%-0.5%18.0M-385.3M-3.4M1.144.0419,41822,172426,524506,006
2020-10-20$31.99$30.0020.6%5.9%13.1%17.4%21.2%3.2%-1.1%18.0M-423.7M-3.4M0.803.4319,46415,656427,184519,746
2020-10-21$31.84$30.0020.5%5.9%11.3%17.3%19.9%3.8%-0.7%17.1M-399.4M-3.3M0.433.4717,1667,364435,252526,532
2020-10-22$32.28$30.0020.2%5.8%11.7%16.7%22.0%3.4%-0.4%31.3M-507.2M-3.3M0.593.4432,45819,034435,092530,084
2020-10-23$32.36$30.0019.5%5.6%11.4%15.8%21.6%2.9%-0.4%19.7M-536.4M-3.1M0.983.7020,13619,768430,988538,464
2020-10-26$32.24$30.0020.8%6.1%11.7%17.7%23.0%4.6%0.1%11.9M-441.6M-3.3M1.393.4120,00627,810413,958536,478
2020-10-27$32.38$30.0021.3%6.2%11.7%18.4%23.8%4.1%-0.2%14.0M-477.5M-3.3M1.083.0439,94242,970423,834553,366
2020-10-28$31.50$30.0024.4%7.4%16.3%22.7%30.4%6.3%-0.1%-8.2M-190.4M-3.8M1.714.9042,64672,994437,246588,574
2020-10-29$31.57$30.0023.1%7.1%16.1%20.9%25.7%6.1%0.1%-7.3M-218.7M-3.9M0.693.2742,11628,960453,092603,946
2020-10-30$31.18$30.2524.6%7.6%16.4%23.1%24.5%6.6%-0.4%-4.8M-71.6M-4.0M1.064.6633,69435,864461,988614,426