XLU Options History — February 2021

In February 2021, XLU traded between $29.35 and $31.79. ATM implied volatility averaged 18.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.7% (HV 20d: 18.8%). Max pain ranged from $30.50 to $31.50. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.11.

Notable Days

  • 2021-02-22: Highest Volume — 119,414 contracts
  • 2021-02-16: Largest IV spike — 14.9% change
  • 2021-02-01: Highest IV Rank — 15.0%
  • 2021-02-26: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.99$29.35$31.79$31.29$29.35
Max Pain$30.66$30.50$31.50$31.50$30.50
ATM IV18.1%15.3%22.3%19.9%22.3%
Expected Move5.2%4.6%6.3%5.5%6.3%
HV 20d18.8%15.0%22.1%22.1%15.0%
HV 60d17.6%16.6%18.8%18.8%17.3%
IV Rank10.4%6.7%15.0%15.0%11.0%
IV Percentile21.7%4.8%58.7%40.5%58.7%
Term Structure0.2%-0.9%0.8%0.6%0.1%
VWIV18.8%16.3%22.4%20.4%20.3%
Skew 25d3.2%1.9%4.7%3.0%4.7%
Skew 10d6.5%-0.3%12.7%1.2%6.9%
Call IV 25d17.2%14.9%20.2%20.2%20.1%
Put IV 25d20.4%16.8%24.8%23.2%24.8%
Bid-Ask Spread %6.604.2119.4719.478.12
Gamma HHI0.140.090.220.100.16
Net GEX4.8M-22.0M46.5M15.5M-21.2M
Net DEX-15.7M-255.3M355.6M-131.3M355.6M
Net VEX-2.7M-2.8M-2.5M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.152.581.140.15
Total Volume49,153.57917,598119,41428,90484,816
Total OI713,256.211625,454796,032665,980707,462

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$31.29$31.5019.9%5.5%22.1%15.0%20.4%3.0%0.6%15.5M-131.3M-2.8M1.1419.4713,53215,372345,572320,408
2021-02-02$31.57$31.5017.8%4.8%21.1%12.0%19.2%3.4%0.5%25.9M-197.6M-2.8M1.135.4227,59831,284348,694327,292
2021-02-03$31.38$31.5017.4%4.8%21.2%11.5%17.7%3.3%0.2%18.3M-123.8M-2.8M0.525.1511,5426,056351,198341,144
2021-02-04$31.54$30.5016.2%4.8%19.5%9.7%18.7%2.4%0.3%26.7M-186.0M-2.7M1.174.7919,99423,410352,436343,536
2021-02-05$31.79$30.5015.3%4.6%19.2%8.4%17.4%1.9%0.7%46.5M-255.3M-2.7M0.564.7832,91218,420353,736357,370
2021-02-08$31.55$30.5016.7%4.9%19.3%10.3%17.5%2.3%0.6%24.3M-177.7M-2.6M0.624.6927,15216,746350,096351,624
2021-02-09$31.57$30.5016.1%4.7%18.9%9.5%18.0%2.2%0.2%26.1M-173.8M-2.5M0.474.2829,67813,844353,430356,120
2021-02-10$31.73$30.5015.9%4.8%18.8%9.2%17.3%2.2%0.8%36.9M-213.2M-2.6M0.804.3223,62618,810357,116365,982
2021-02-11$31.55$30.5016.5%4.8%17.5%9.9%17.3%2.7%0.3%19.6M-144.5M-2.6M1.3512.4617,55623,750357,666375,084
2021-02-12$31.25$30.5016.2%4.7%17.9%9.1%16.3%2.6%0.2%-2.7M-40.6M-2.6M0.964.3021,01420,248360,584392,432
2021-02-16$31.00$30.5018.6%5.4%17.9%12.3%20.2%3.9%0.0%-10.1M27.4M-2.6M2.474.2123,78258,754355,198386,410
2021-02-17$30.95$30.5017.8%5.1%17.9%10.2%18.0%3.9%0.8%-16.2M64.6M-2.7M1.2710.5311,09214,102360,818428,162
2021-02-18$31.25$30.5018.0%5.2%18.0%10.4%17.6%3.1%0.2%-2.8M-20.1M-2.7M0.275.4220,0105,472360,946432,688
2021-02-19$30.71$30.5018.0%5.1%18.8%10.4%18.1%3.3%0.3%-22.0M119.3M-2.6M2.584.7414,09636,324362,122433,910
2021-02-22$30.14$30.5020.6%5.8%19.8%12.9%20.7%2.9%-0.8%-16.9M187.7M-2.6M1.866.2241,78677,628277,946347,508
2021-02-23$30.41$30.5019.4%5.6%19.0%8.7%21.2%3.7%-0.2%-14.5M132.1M-2.8M1.835.0117,85032,598294,272374,470
2021-02-24$30.09$30.5019.6%5.4%19.1%6.7%19.5%4.3%-0.3%-21.7M202.5M-2.6M0.804.3413,74811,034303,052376,444
2021-02-25$29.75$30.5022.2%6.2%16.1%10.9%22.4%4.6%-0.9%-21.0M276.8M-2.6M1.127.1227,44630,836305,746383,194
2021-02-26$29.35$30.5022.3%6.3%15.0%11.0%20.3%4.7%0.1%-21.2M355.6M-2.5M0.158.1273,98010,836316,778390,684