XLU Options History — December 2020

In December 2020, XLU traded between $30.45 and $31.79. ATM implied volatility averaged 17.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.4% (HV 20d: 16.3%). Max pain ranged from $30.50 to $31.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.62.

Notable Days

2020-12-02: Highest Volume — 102,632 contracts
2020-12-17: Largest IV drop — 13.2% change
2020-12-03: Highest IV Rank — 15.2%
2020-12-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.09	$30.45	$31.79	$31.75	$31.23
Max Pain	$30.95	$30.50	$31.50	$31.50	$31.50
ATM IV	17.8%	15.7%	19.1%	18.7%	17.3%
Expected Move	5.1%	4.5%	5.6%	5.6%	5.1%
HV 20d	16.3%	13.3%	21.5%	21.5%	14.1%
HV 60d	18.1%	17.5%	18.9%	18.9%	17.6%
IV Rank	13.3%	10.4%	15.2%	14.6%	12.6%
IV Percentile	24.5%	15.5%	36.1%	32.1%	18.7%
Term Structure	0.0%	-2.5%	1.5%	-0.2%	0.5%
VWIV	18.5%	15.8%	21.3%	20.0%	18.3%
Skew 25d	2.6%	0.1%	4.1%	2.5%	3.4%
Skew 10d	6.4%	-1.6%	19.0%	7.2%	6.1%
Call IV 25d	16.9%	15.1%	18.7%	17.6%	16.3%
Put IV 25d	19.4%	17.2%	21.7%	20.1%	19.6%
Bid-Ask Spread %	3.75	2.85	5.13	4.65	3.57
Gamma HHI	0.19	0.09	0.32	0.11	0.09
Net GEX	-33.9M	-85.4M	13.3M	13.3M	-1.7M
Net DEX	-104.9K	-259.5M	205.0M	-259.5M	-34.7M
Net VEX	-2.4M	-2.8M	-2.0M	-2.7M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.07	5.57	1.93	1.38
Total Volume	49,643.636	15,754	102,632	65,970	35,896
Total OI	1,009,845.545	721,826	1,182,304	1,027,720	824,302

Daily Data (22 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
2020-12-01	$31.75	$31.50	18.7%	5.6%	21.5%	14.6%	20.0%	2.5%	-0.2%	13.3M	-259.5M	-2.7M	1.93	4.65	22,536	43,434	490,832	536,888
2020-12-02	$31.79	$31.50	18.0%	5.5%	20.2%	13.6%	20.0%	1.7%	0.6%	2.7M	-236.3M	-2.7M	3.22	3.90	24,342	78,290	494,852	570,144
2020-12-03	$31.55	$30.50	19.1%	5.3%	19.4%	15.2%	19.2%	2.9%	0.9%	-20.8M	-117.1M	-2.8M	5.57	5.13	8,906	49,594	500,666	636,786
2020-12-04	$31.18	$30.50	17.3%	5.0%	19.5%	12.6%	17.9%	2.0%	0.0%	-52.9M	72.3M	-2.8M	1.39	4.37	23,316	32,422	503,794	675,744
2020-12-07	$31.29	$30.50	18.8%	5.1%	19.6%	14.8%	18.3%	2.8%	-2.5%	-47.8M	-5.2M	-2.7M	1.70	4.70	12,850	21,876	500,602	673,826
2020-12-08	$31.33	$30.50	18.3%	5.0%	17.3%	14.1%	18.0%	1.3%	-0.9%	-53.3M	-30.8M	-2.6M	0.28	3.74	12,962	3,688	501,708	675,498
2020-12-09	$31.21	$30.50	16.9%	5.1%	17.0%	12.1%	18.0%	3.4%	1.5%	-76.9M	7.3M	-2.5M	2.00	3.94	24,688	49,282	505,656	676,648
2020-12-10	$31.09	$30.50	18.0%	5.0%	16.9%	13.6%	18.7%	2.6%	-0.4%	-83.2M	46.6M	-2.5M	3.72	3.84	12,026	44,778	513,492	663,224
2020-12-11	$31.13	$30.50	18.2%	5.1%	15.9%	13.9%	18.1%	0.1%	-0.5%	-45.4M	18.9M	-2.4M	0.07	3.39	89,784	6,584	517,242	660,428
2020-12-14	$30.95	$30.50	18.7%	5.3%	14.1%	14.6%	19.3%	1.9%	-0.4%	-32.0M	23.9M	-2.3M	0.46	3.63	22,272	10,150	507,722	597,052
2020-12-15	$31.51	$30.50	17.6%	5.1%	15.7%	13.1%	17.9%	2.2%	-0.1%	-14.2M	-219.2M	-2.2M	0.28	3.69	24,872	7,060	515,210	602,478
2020-12-16	$31.20	$30.50	18.1%	5.2%	15.0%	13.8%	18.4%	2.1%	-0.2%	-25.4M	-105.6M	-2.2M	1.10	3.67	16,976	18,596	524,958	605,470
2020-12-17	$31.46	$30.50	15.7%	4.5%	14.7%	10.4%	15.8%	1.5%	0.4%	-5.3M	-258.7M	-2.0M	0.97	2.85	20,178	19,634	525,986	613,526
2020-12-18	$31.05	$30.50	17.0%	4.8%	14.4%	12.3%	16.4%	1.4%	0.2%	-85.4M	5.7M	-2.2M	0.38	3.50	66,466	25,560	532,252	629,502
2020-12-21	$30.45	$31.50	18.9%	5.5%	15.6%	14.9%	21.3%	3.9%	0.2%	-28.8M	205.0M	-2.4M	1.34	4.00	31,678	42,424	309,466	412,360
2020-12-22	$30.47	$31.50	18.7%	5.5%	15.7%	14.6%	21.1%	4.1%	0.0%	-26.2M	191.1M	-2.4M	2.30	2.91	15,476	35,586	328,792	435,816
2020-12-23	$30.47	$31.50	18.0%	5.2%	15.1%	13.7%	18.4%	3.9%	-0.0%	-24.6M	183.0M	-2.4M	0.39	2.93	15,390	5,982	336,736	452,660
2020-12-24	$30.53	$31.50	17.3%	5.0%	15.1%	12.6%	19.3%	3.5%	0.4%	-28.3M	188.0M	-2.4M	1.20	3.91	8,472	10,200	335,774	453,676
2020-12-28	$30.75	$31.50	17.0%	4.8%	15.3%	12.2%	19.4%	2.9%	0.2%	-34.4M	111.3M	-2.2M	1.67	3.37	5,898	9,856	326,458	450,198
2020-12-29	$30.73	$31.50	16.8%	4.6%	14.2%	11.9%	17.9%	3.2%	0.6%	-38.1M	106.3M	-2.2M	3.95	3.46	10,506	41,488	328,866	451,896
2020-12-30	$30.88	$31.50	16.5%	4.7%	13.3%	11.5%	15.8%	3.6%	0.2%	-37.6M	105.5M	-2.2M	0.37	3.24	22,098	8,088	328,894	488,522
2020-12-31	$31.23	$31.50	17.3%	5.1%	14.1%	12.6%	18.3%	3.4%	0.5%	-1.7M	-34.7M	-2.3M	1.38	3.57	15,100	20,796	334,794	489,508