XLU Options History — November 2020

In November 2020, XLU traded between $31.33 and $33.30. ATM implied volatility averaged 19.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.3% (HV 20d: 21.3%). Max pain ranged from $30.00 to $31.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.69.

Notable Days

  • 2020-11-19: Highest Volume — 134,816 contracts
  • 2020-11-13: Largest IV drop — 9.9% change
  • 2020-11-02: Highest IV Rank — 21.4%
  • 2020-11-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.32$31.33$33.30$31.80$31.33
Max Pain$30.74$30.00$31.50$30.25$31.50
ATM IV19.0%16.9%23.4%23.4%18.3%
Expected Move5.5%4.8%7.6%7.3%5.2%
HV 20d21.3%17.3%23.8%17.3%22.1%
HV 60d19.4%18.5%20.3%18.5%18.8%
IV Rank15.0%12.1%21.4%21.4%14.0%
IV Percentile36.4%25.0%67.9%67.9%28.2%
Term Structure-0.1%-3.1%1.0%0.1%-3.1%
VWIV20.1%17.2%28.0%28.0%18.5%
Skew 25d3.1%2.1%6.6%6.6%2.3%
Skew 10d7.3%3.7%18.5%18.5%13.1%
Call IV 25d17.9%16.3%21.4%20.5%17.2%
Put IV 25d21.0%18.8%27.2%27.2%19.5%
Bid-Ask Spread %6.863.0735.133.073.77
Gamma HHI0.100.060.280.060.10
Net GEX10.2M-38.0M53.1M4.9M2.1M
Net DEX-447.6M-773.4M-125.1M-309.9M-125.1M
Net VEX-3.0M-3.8M-2.5M-3.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.158.672.691.13
Total Volume66,199.622,170134,81668,106123,216
Total OI1,078,592.4944,0121,207,0581,044,320963,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$31.80$30.2523.4%7.3%17.3%21.4%28.0%6.6%0.1%4.9M-309.9M-3.8M2.693.0718,47649,630448,370595,950
2020-11-03$32.44$30.2523.2%7.6%18.4%21.1%27.6%5.6%-0.4%12.2M-482.4M-3.6M3.214.8027,20087,256448,370595,950
2020-11-04$31.89$30.7521.0%6.2%19.5%17.9%22.5%4.3%-0.0%-8.4M-312.7M-3.6M3.224.1522,31871,964457,622662,368
2020-11-05$32.13$30.0020.3%5.9%18.9%16.9%21.5%3.9%-0.2%-4.9M-397.2M-3.6M1.6135.1321,50434,544460,820675,996
2020-11-06$32.15$30.0019.5%5.7%18.9%15.8%20.9%2.8%0.2%-38.0M-415.3M-3.4M3.5119.4614,11849,596454,894690,416
2020-11-09$32.91$30.0019.0%5.2%20.4%15.1%19.0%2.6%-0.8%21.6M-684.3M-2.9M1.3710.6226,32836,168447,034629,136
2020-11-10$33.16$30.0018.3%5.3%20.3%14.1%19.1%2.9%0.1%21.1M-727.0M-2.8M8.675.719,38681,362453,400642,218
2020-11-11$33.16$30.0017.6%5.2%20.2%13.1%19.2%2.4%0.5%11.7M-718.2M-2.8M0.865.8917,01814,560456,466682,184
2020-11-12$32.53$30.5019.2%5.6%21.6%15.3%19.4%3.0%0.5%-4.2M-527.1M-3.0M0.714.6839,72628,112460,658674,064
2020-11-13$33.09$30.5017.3%5.1%22.1%12.6%17.8%2.2%0.9%20.5M-743.2M-2.7M1.044.6614,40214,928466,620672,794
2020-11-16$33.30$30.5016.9%4.8%21.8%12.1%17.5%2.7%0.5%23.2M-773.4M-2.5M0.964.2317,22816,494454,700640,738
2020-11-17$32.73$31.0017.8%5.1%22.8%13.3%17.2%2.6%0.1%7.0M-595.8M-2.7M0.883.5927,67224,486461,492654,230
2020-11-18$32.26$31.5018.0%5.2%23.4%13.7%18.7%2.7%1.0%587.4K-405.5M-2.8M0.543.5514,3887,782459,882652,868
2020-11-19$31.75$31.0019.1%5.5%23.5%15.2%20.4%2.1%0.2%-9.0M-234.8M-2.8M0.663.8081,22053,596464,618653,368
2020-11-20$31.87$31.0017.8%5.0%23.6%13.3%18.4%3.1%0.4%17.5M-313.9M-2.8M0.263.5234,1288,862524,102682,956
2020-11-23$31.80$31.5018.4%5.2%23.5%14.2%19.3%2.6%-0.4%23.2M-233.6M-2.8M0.514.1937,54619,072457,842486,170
2020-11-24$32.11$31.5018.7%5.3%23.8%14.6%19.7%3.0%-0.6%53.1M-372.4M-2.7M0.444.0770,60831,198478,910486,642
2020-11-25$32.13$31.5017.2%4.9%21.5%12.5%18.2%2.2%-0.5%31.8M-331.0M-2.7M1.454.0614,44220,928473,388511,922
2020-11-27$31.88$31.5018.4%5.3%21.7%14.2%18.4%2.5%-1.1%18.1M-248.2M-2.7M0.154.3437,1085,422478,852510,338
2020-11-30$31.33$31.5018.3%5.2%22.1%14.0%18.5%2.3%-3.1%2.1M-125.1M-2.5M1.133.7757,78865,428465,548497,952