XLU Options History — March 2021 In March 2021, XLU traded between $29.29 and $32.06. ATM implied volatility averaged 17.6%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.5% (HV 20d: 18.1%). Max pain ranged from $30.50 to $31.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2021-03-11 : Highest Volume — 169,074 contracts2021-03-05 : Largest IV drop — 13.4% change2021-03-04 : Highest IV Rank — 11.7%2021-03-04 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $30.92 $29.29 $32.06 $29.86 $31.92 Max Pain $30.76 $30.50 $31.00 $30.50 $31.00 ATM IV 17.6% 14.8% 22.7% 19.1% 15.2% Expected Move 4.9% 4.0% 6.1% 5.6% 4.0% HV 20d 18.1% 15.8% 20.0% 16.4% 16.1% HV 60d 18.2% 17.5% 18.7% 17.5% 18.3% IV Rank 4.1% 0.0% 11.7% 5.9% 1.1% IV Percentile 18.5% 0.0% 62.7% 30.2% 1.2% Term Structure 0.1% -1.1% 1.0% -0.5% 0.4% VWIV 17.9% 14.6% 21.9% 19.5% 16.0% Skew 25d 3.6% 1.6% 6.9% 3.4% 3.3% Skew 10d 8.4% 2.9% 15.3% 6.4% 9.4% Call IV 25d 16.5% 14.1% 20.1% 17.7% 14.5% Put IV 25d 20.1% 16.2% 27.0% 21.1% 17.8% Bid-Ask Spread % 9.39 4.27 40.33 11.11 6.22 Gamma HHI 0.15 0.07 0.36 0.18 0.19 Net GEX 12.5M -51.0M 46.3M -12.7M 42.4M Net DEX -57.3M -413.5M 325.1M 186.9M -246.7M Net VEX -2.9M -3.3M -2.6M -2.6M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.22 4.34 0.46 0.39 Total Volume 56,647.13 28,064 169,074 63,484 51,646 Total OI 789,600.522 622,458 991,116 724,894 709,172
Daily Data (23 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 2021-03-01 $29.86 $30.50 19.1% 5.6% 16.4% 5.9% 19.5% 3.4% -0.5% -12.7M 186.9M -2.6M 0.46 11.11 43,404 20,080 352,722 372,172 2021-03-02 $29.81 $30.50 19.2% 5.6% 16.0% 6.1% 20.5% 3.6% -0.9% -13.8M 214.6M -2.7M 1.31 5.06 12,158 15,970 372,096 387,316 2021-03-03 $29.40 $30.50 20.4% 6.0% 15.8% 8.0% 20.1% 4.6% -1.1% -18.1M 325.1M -2.6M 0.42 6.06 34,434 14,594 374,318 398,534 2021-03-04 $29.29 $30.50 22.7% 6.1% 15.8% 11.7% 21.9% 6.9% -0.4% -11.3M 323.7M -2.8M 1.45 40.33 31,636 45,778 391,466 401,920 2021-03-05 $29.91 $30.50 19.7% 5.5% 17.8% 6.8% 19.8% 4.2% -0.4% -51.0M 211.9M -2.8M 0.59 11.17 21,524 12,616 391,660 431,868 2021-03-08 $30.39 $30.50 20.7% 5.9% 18.6% 8.5% 21.2% 4.3% -0.3% 3.5M 46.0M -2.9M 1.01 29.18 28,974 29,204 369,456 403,006 2021-03-09 $30.66 $30.50 19.5% 5.7% 18.9% 6.5% 20.5% 4.2% 0.3% 9.5M -17.8M -2.9M 0.78 5.06 17,116 13,348 378,086 420,058 2021-03-10 $30.84 $30.50 20.5% 5.7% 19.1% 8.1% 21.8% 4.9% -0.3% 12.3M -64.3M -3.0M 4.34 6.20 9,412 40,822 381,372 425,752 2021-03-11 $30.84 $30.50 19.8% 5.5% 18.9% 7.0% 19.4% 5.1% -0.9% 8.3M -50.3M -3.0M 0.97 6.18 85,698 83,376 381,130 445,668 2021-03-12 $31.17 $30.50 18.5% 5.4% 19.3% 4.9% 20.2% 3.7% 0.7% 18.1M -154.7M -3.3M 1.19 9.28 21,298 25,410 443,702 506,994 2021-03-15 $31.49 $30.50 17.0% 4.9% 19.4% 2.6% 17.8% 2.7% 0.7% 33.8M -302.1M -3.0M 0.39 7.14 58,458 22,548 443,700 502,548 2021-03-16 $31.66 $31.00 16.2% 4.7% 19.2% 1.4% 17.0% 2.4% -0.2% 46.3M -413.5M -3.1M 1.28 5.38 12,314 15,750 477,410 513,706 2021-03-17 $31.20 $31.00 16.4% 4.7% 20.0% 1.7% 16.6% 2.2% 0.4% 27.0M -161.9M -3.0M 2.11 6.41 12,174 25,690 459,392 519,686 2021-03-18 $31.04 $31.00 16.6% 4.7% 19.8% 2.0% 16.7% 2.6% 0.9% 22.9M -83.5M -3.0M 1.75 4.76 13,842 24,282 456,292 531,072 2021-03-19 $31.32 $31.00 14.8% 4.1% 19.0% 0.0% 15.1% 1.6% 1.0% 38.2M -239.2M -2.8M 1.08 7.89 40,888 44,304 456,960 521,316 2021-03-22 $30.79 $31.00 15.4% 4.3% 18.7% 1.1% 15.5% 3.0% 0.6% -6.9M 62.0M -3.0M 0.89 11.30 16,116 14,340 288,194 334,264 2021-03-23 $31.20 $31.00 15.4% 4.2% 19.0% 1.1% 15.2% 3.2% 0.3% 10.0M -46.7M -3.0M 0.41 4.27 23,308 9,628 294,736 338,158 2021-03-24 $31.38 $31.00 15.2% 4.2% 18.6% 1.0% 15.2% 3.2% 0.6% 18.3M -104.1M -3.0M 0.28 5.16 30,884 8,756 300,610 345,344 2021-03-25 $31.66 $31.00 15.2% 4.2% 18.1% 0.9% 15.4% 3.3% 0.4% 28.5M -180.5M -3.0M 0.53 4.90 23,164 12,240 306,562 347,760 2021-03-26 $31.64 $31.00 14.9% 4.0% 17.0% 0.3% 14.6% 3.0% 0.5% 25.0M -168.7M -2.9M 0.22 5.74 38,300 8,278 309,794 352,904 2021-03-29 $32.06 $31.00 16.1% 4.5% 16.7% 3.6% 16.1% 3.6% -0.4% 27.8M -256.0M -2.9M 0.47 11.85 72,178 33,726 294,902 345,378 2021-03-30 $31.73 $31.00 16.0% 4.3% 17.3% 3.2% 15.5% 3.7% 0.5% 28.6M -197.3M -3.1M 0.22 5.24 67,974 15,244 330,120 351,536 2021-03-31 $31.92 $31.00 15.2% 4.0% 16.1% 1.1% 16.0% 3.3% 0.4% 42.4M -246.7M -3.0M 0.39 6.22 37,074 14,572 352,378 356,794
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