XLU Options History — April 2021

In April 2021, XLU traded between $31.92 and $33.91. ATM implied volatility averaged 14.6%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.9% (HV 20d: 13.6%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2021-04-06: Highest Volume — 73,290 contracts
2021-04-05: Largest IV spike — 11.4% change
2021-04-05: Highest IV Rank — 6.0%
2021-04-06: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.94	$31.92	$33.91	$31.92	$33.24
Max Pain	$32.45	$31.00	$33.00	$31.00	$33.00
ATM IV	14.6%	13.5%	16.8%	15.0%	14.5%
Expected Move	4.1%	3.8%	4.4%	3.9%	4.2%
HV 20d	13.6%	11.9%	15.9%	15.9%	12.6%
HV 60d	16.9%	15.5%	18.2%	18.2%	15.5%
IV Rank	2.2%	0.0%	6.0%	0.7%	5.4%
IV Percentile	1.9%	0.0%	9.5%	0.8%	4.0%
Term Structure	-0.1%	-1.6%	0.5%	0.5%	-0.0%
VWIV	15.2%	13.4%	16.9%	14.1%	16.6%
Skew 25d	2.4%	0.5%	4.4%	3.4%	2.5%
Skew 10d	3.5%	-6.3%	13.3%	4.5%	8.3%
Call IV 25d	14.0%	12.9%	16.1%	14.0%	13.9%
Put IV 25d	16.4%	15.1%	18.6%	17.3%	16.5%
Bid-Ask Spread %	7.99	3.99	26.81	10.48	8.88
Gamma HHI	0.13	0.07	0.22	0.22	0.09
Net GEX	28.6M	-207.2K	53.5M	47.3M	13.3M
Net DEX	-390.1M	-754.6M	-138.9M	-265.8M	-279.0M
Net VEX	-2.8M	-3.0M	-2.5M	-3.0M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.25	1.64	0.25	1.14
Total Volume	35,249.81	12,740	73,290	52,340	25,804
Total OI	723,144.667	642,182	830,396	720,408	730,104

Daily Data (21 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
2021-04-01	$31.92	$31.00	15.0%	3.9%	15.9%	0.7%	14.1%	3.4%	0.5%	47.3M	-265.8M	-3.0M	0.25	10.48	41,806	10,534	361,846	358,562
2021-04-05	$32.37	$31.50	16.8%	4.4%	15.1%	6.0%	16.5%	4.4%	-1.6%	49.8M	-400.5M	-2.8M	0.89	26.81	15,348	13,712	332,670	350,590
2021-04-06	$32.46	$31.50	15.3%	4.4%	14.5%	1.4%	15.9%	3.5%	-0.1%	50.9M	-429.5M	-2.8M	0.85	3.99	39,640	33,650	341,384	362,258
2021-04-07	$32.42	$32.00	15.0%	4.4%	14.4%	0.7%	16.9%	3.0%	0.4%	52.1M	-417.2M	-2.9M	1.10	5.16	16,026	17,564	353,032	386,820
2021-04-08	$32.45	$32.00	15.2%	4.4%	14.4%	1.4%	15.4%	3.3%	-0.2%	53.5M	-429.1M	-2.9M	0.84	4.17	9,516	7,950	358,340	393,476
2021-04-09	$32.39	$32.00	14.8%	4.2%	14.4%	0.1%	16.9%	3.4%	0.3%	50.6M	-407.2M	-3.0M	0.74	5.43	22,026	16,226	359,900	397,382
2021-04-12	$32.39	$32.00	15.3%	4.3%	14.1%	1.7%	15.6%	2.7%	-0.0%	52.7M	-413.0M	-2.8M	0.90	9.50	23,914	21,588	351,698	399,566
2021-04-13	$32.81	$32.00	14.8%	4.1%	14.4%	0.0%	15.4%	0.5%	-0.4%	46.2M	-547.4M	-2.9M	0.86	4.55	28,624	24,754	362,706	415,384
2021-04-14	$32.91	$32.50	14.1%	4.0%	14.3%	0.0%	14.8%	1.6%	0.3%	39.0M	-567.4M	-2.7M	0.94	8.28	11,616	10,874	363,674	425,898
2021-04-15	$33.34	$32.50	13.5%	3.8%	13.4%	0.0%	13.4%	2.4%	-0.4%	27.2M	-681.2M	-2.5M	0.78	6.50	25,832	20,140	366,224	430,300
2021-04-16	$33.67	$32.50	13.5%	3.9%	13.2%	0.0%	14.0%	2.0%	-0.1%	21.6M	-754.6M	-2.5M	1.20	10.37	21,266	25,510	377,488	452,908
2021-04-19	$33.41	$33.00	14.1%	4.0%	13.7%	2.4%	14.8%	2.3%	-0.1%	16.2M	-348.8M	-2.7M	0.33	4.70	19,398	6,360	286,920	355,262
2021-04-20	$33.91	$33.00	15.2%	4.3%	11.9%	6.0%	16.5%	1.9%	0.1%	21.5M	-462.9M	-2.5M	1.20	7.57	28,242	33,764	290,074	356,940
2021-04-21	$33.65	$33.00	14.3%	4.1%	12.3%	3.0%	15.1%	2.1%	0.0%	16.7M	-393.4M	-2.6M	0.97	6.86	17,926	17,434	290,242	379,936
2021-04-22	$33.38	$33.00	14.5%	4.2%	12.9%	4.3%	16.4%	1.7%	-0.1%	13.0M	-313.4M	-2.8M	1.08	10.40	12,638	13,596	301,566	389,898
2021-04-23	$33.30	$33.00	13.9%	4.0%	12.9%	1.7%	14.3%	1.9%	0.1%	12.1M	-302.7M	-2.8M	0.43	4.78	12,236	5,202	306,090	399,418
2021-04-26	$33.08	$33.00	14.1%	4.0%	13.3%	3.1%	14.9%	2.3%	-0.1%	7.9M	-236.0M	-2.8M	0.92	4.05	9,438	8,714	293,810	390,914
2021-04-27	$32.80	$33.00	14.2%	4.1%	13.1%	4.1%	14.3%	2.1%	-0.2%	3.1M	-160.4M	-2.8M	0.55	5.07	19,356	10,628	294,736	393,444
2021-04-28	$32.78	$33.00	14.0%	4.0%	12.4%	2.8%	14.4%	1.4%	-0.2%	-207.2K	-138.9M	-2.7M	0.52	9.40	8,392	4,348	298,552	410,514
2021-04-29	$33.09	$33.00	13.8%	4.0%	12.6%	1.8%	13.9%	2.1%	-0.0%	6.6M	-244.3M	-2.6M	1.64	10.75	10,856	17,798	303,092	412,420
2021-04-30	$33.24	$33.00	14.5%	4.2%	12.6%	5.4%	16.6%	2.5%	-0.0%	13.3M	-279.0M	-2.7M	1.14	8.88	12,032	13,772	303,744	426,360