XLU Options History — January 2021

In January 2021, XLU traded between $30.54 and $32.01. ATM implied volatility averaged 19.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.2% (HV 20d: 18.2%). Max pain ranged from $31.00 to $31.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2021-01-04: Highest Volume — 124,262 contracts
2021-01-27: Largest IV spike — 30.9% change
2021-01-27: Highest IV Rank — 20.6%
2021-01-29: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.22	$30.54	$32.01	$30.64	$31.02
Max Pain	$31.11	$31.00	$31.50	$31.00	$31.50
ATM IV	19.4%	16.4%	23.8%	21.3%	22.2%
Expected Move	5.5%	4.7%	6.4%	6.0%	6.4%
HV 20d	18.2%	14.9%	22.3%	15.4%	22.3%
HV 60d	18.7%	17.7%	19.5%	18.0%	19.2%
IV Rank	15.0%	10.0%	20.6%	18.3%	18.4%
IV Percentile	35.1%	9.5%	70.2%	54.0%	57.5%
Term Structure	-0.0%	-1.9%	0.7%	-0.4%	-0.6%
VWIV	19.8%	17.6%	22.9%	20.9%	22.9%
Skew 25d	2.9%	1.7%	4.4%	4.0%	4.0%
Skew 10d	5.3%	-4.8%	13.7%	11.4%	13.7%
Call IV 25d	18.7%	15.9%	21.0%	20.1%	21.0%
Put IV 25d	21.6%	18.3%	25.0%	24.1%	25.0%
Bid-Ask Spread %	17.11	3.67	42.34	6.55	12.96
Gamma HHI	0.13	0.06	0.40	0.08	0.19
Net GEX	13.2M	-18.3M	63.6M	-18.3M	-16.2M
Net DEX	-98.0M	-264.3M	141.1M	126.5M	-71.4M
Net VEX	-2.5M	-2.9M	-2.3M	-2.3M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.26	1.20	1.17	0.55
Total Volume	60,440.526	34,868	124,262	124,262	45,026
Total OI	749,743.263	529,598	955,268	767,536	679,352

Daily Data (19 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
2021-01-04	$30.64	$31.00	21.3%	6.0%	15.4%	18.3%	20.9%	4.0%	-0.4%	-18.3M	126.5M	-2.3M	1.17	6.55	57,156	67,106	324,664	442,872
2021-01-05	$30.54	$31.00	21.3%	6.0%	14.9%	18.4%	22.5%	4.2%	0.2%	-17.5M	141.1M	-2.4M	0.89	6.28	19,242	17,084	368,710	477,850
2021-01-06	$31.28	$31.00	20.1%	5.6%	17.3%	16.7%	21.4%	2.8%	-0.0%	10.4M	-101.1M	-2.4M	0.94	9.99	54,618	51,366	372,198	454,576
2021-01-07	$30.93	$31.00	19.3%	5.4%	17.8%	15.5%	19.9%	2.0%	0.1%	1.5M	4.0M	-2.4M	0.38	5.01	72,976	27,996	385,376	487,736
2021-01-08	$31.15	$31.00	17.9%	5.2%	17.9%	13.5%	19.2%	1.7%	0.2%	28.3M	-133.9M	-2.6M	0.32	39.97	37,826	12,260	454,698	493,238
2021-01-11	$30.86	$31.00	20.2%	5.5%	18.2%	16.8%	20.1%	2.5%	-0.9%	3.9M	-8.2M	-2.4M	0.43	42.34	31,660	13,684	420,620	475,092
2021-01-12	$30.68	$31.00	19.5%	5.4%	18.3%	15.8%	19.7%	2.7%	-0.5%	-3.9M	39.9M	-2.4M	0.31	28.83	46,296	14,284	432,776	478,138
2021-01-13	$31.33	$31.00	19.0%	5.3%	19.7%	15.0%	19.1%	2.2%	-0.3%	37.4M	-183.8M	-2.4M	0.48	25.94	42,630	20,486	431,530	480,580
2021-01-14	$31.30	$31.00	19.1%	5.3%	18.6%	14.7%	19.5%	2.2%	-0.4%	49.8M	-157.5M	-2.4M	0.51	31.88	46,920	23,748	433,712	488,692
2021-01-15	$31.51	$31.00	19.0%	5.4%	18.5%	14.5%	19.6%	2.2%	0.1%	63.6M	-264.3M	-2.5M	0.26	4.50	52,594	13,788	446,522	508,746
2021-01-19	$31.43	$31.00	17.9%	5.1%	18.3%	12.7%	18.2%	2.7%	0.4%	5.3M	-124.7M	-2.4M	0.52	11.23	28,546	14,740	252,260	277,338
2021-01-20	$31.68	$31.00	17.3%	5.0%	17.7%	11.3%	18.0%	2.6%	0.5%	14.4M	-190.1M	-2.4M	0.51	4.56	23,120	11,748	265,790	281,098
2021-01-21	$31.45	$31.00	16.8%	4.8%	16.4%	10.6%	17.9%	2.1%	0.7%	9.5M	-156.0M	-2.4M	1.20	3.67	19,496	23,426	273,388	287,348
2021-01-22	$31.48	$31.00	16.4%	4.7%	16.4%	10.0%	17.6%	2.3%	0.7%	31.1M	-158.7M	-2.5M	1.12	19.99	20,984	23,476	280,756	308,296
2021-01-25	$32.01	$31.00	19.0%	5.3%	17.2%	13.7%	18.1%	3.0%	0.3%	18.6M	-252.9M	-2.5M	0.36	9.42	45,358	16,210	267,910	300,556
2021-01-26	$31.80	$31.50	18.2%	5.1%	17.5%	12.5%	19.2%	3.4%	0.7%	22.8M	-226.3M	-2.6M	0.68	22.15	27,816	18,810	296,726	310,634
2021-01-27	$30.80	$31.50	23.8%	6.4%	21.1%	20.6%	22.8%	4.4%	-1.9%	-1.6M	-14.2M	-2.6M	0.75	23.72	40,132	30,254	309,410	322,370
2021-01-28	$31.32	$31.50	20.4%	5.8%	22.0%	15.8%	20.5%	4.1%	0.7%	12.1M	-131.0M	-2.9M	0.31	16.14	27,064	8,444	337,080	336,484
2021-01-29	$31.02	$31.50	22.2%	6.4%	22.3%	18.4%	22.9%	4.0%	-0.6%	-16.2M	-71.4M	-2.9M	0.55	12.96	29,132	15,894	342,914	336,438