XLU Options History — May 2021

In May 2021, XLU traded between $32.29 and $33.48. ATM implied volatility averaged 15.6%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.1% (HV 20d: 15.5%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2021-05-03: Highest Volume — 79,818 contracts
  • 2021-05-10: Largest IV spike — 14.4% change
  • 2021-05-12: Highest IV Rank — 27.2%
  • 2021-05-12: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.85$32.29$33.48$33.36$32.63
Max Pain$32.58$32.50$33.00$33.00$32.50
ATM IV15.6%13.4%18.4%14.8%13.8%
Expected Move4.4%3.6%5.2%4.5%3.6%
HV 20d15.5%11.8%17.4%11.8%16.4%
HV 60d16.0%15.2%17.1%15.5%15.2%
IV Rank12.1%0.0%27.2%7.4%2.3%
IV Percentile13.0%0.0%35.3%6.0%1.6%
Term Structure0.2%-0.1%1.0%0.2%0.1%
VWIV16.3%13.6%18.9%15.6%13.8%
Skew 25d2.7%1.8%3.7%2.2%2.2%
Skew 10d5.8%1.4%13.1%6.1%1.7%
Call IV 25d14.8%12.7%17.4%14.5%12.7%
Put IV 25d17.6%14.6%21.1%16.7%15.0%
Bid-Ask Spread %7.853.1625.4210.543.40
Gamma HHI0.090.060.260.100.07
Net GEX5.7M-27.3M53.6M11.5M-9.1M
Net DEX-168.0M-358.7M19.5M-290.3M-153.1M
Net VEX-2.6M-2.8M-2.3M-2.6M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.363.950.771.82
Total Volume41,414.311,45679,81879,81830,328
Total OI784,279.3713,378849,590715,022767,664

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$33.36$33.0014.8%4.5%11.8%7.4%15.6%2.2%0.2%11.5M-290.3M-2.6M0.7710.5444,97034,848298,378416,644
2021-05-04$33.19$33.0015.0%4.4%12.0%8.3%16.0%2.6%0.0%12.9M-260.4M-2.7M0.8713.9323,07820,080314,152423,962
2021-05-05$32.63$33.0014.9%4.2%13.6%8.0%14.8%2.8%0.3%-10.3M-59.5M-2.7M1.0425.4228,45829,672314,190435,252
2021-05-06$32.90$32.5014.3%4.3%13.9%4.9%15.7%1.9%0.3%-1.6M-163.8M-2.6M0.9511.0728,72427,230315,342438,216
2021-05-07$33.06$32.5013.4%4.0%14.0%0.0%16.1%1.8%0.1%32.0M-276.0M-2.4M0.974.3522,39021,704332,704451,290
2021-05-10$33.48$32.5015.3%4.5%14.5%10.6%16.8%2.5%0.2%19.1M-358.7M-2.5M0.644.0640,22625,562320,682438,046
2021-05-11$32.83$32.5016.5%4.7%15.7%16.8%16.8%3.0%0.0%2.4M-154.0M-2.7M0.3617.4528,00010,124343,222452,232
2021-05-12$32.29$32.5018.4%5.2%16.7%27.2%18.9%3.7%-0.1%-9.7M19.5M-2.8M1.427.8412,68017,952356,942452,458
2021-05-13$32.90$32.5017.2%4.9%17.4%21.0%18.9%3.5%-0.1%6.5M-184.0M-2.8M2.365.688,89421,028357,210462,356
2021-05-14$32.96$32.5016.0%4.6%17.0%14.5%16.9%3.5%0.1%2.0M-193.2M-2.7M2.7114.149,84226,634355,376476,532
2021-05-17$32.77$32.5016.3%4.7%16.9%15.9%17.2%3.4%0.7%4.0M-112.2M-2.7M1.537.149,53814,562350,120480,794
2021-05-18$32.72$32.5016.6%4.8%15.9%17.3%16.5%2.9%0.2%8.9M-124.6M-2.7M0.373.168,3543,102353,358470,594
2021-05-19$32.55$32.5017.3%4.9%15.8%21.1%17.1%3.3%0.2%-403.3K-72.7M-2.7M1.455.1317,26224,962357,732471,630
2021-05-20$32.94$32.5015.7%4.4%16.4%12.8%17.5%3.2%1.0%20.8M-195.7M-2.6M1.734.9813,20622,894352,390487,168
2021-05-21$33.02$32.5015.6%4.4%16.4%11.9%16.0%2.9%0.7%53.6M-219.7M-2.5M2.183.3915,50233,856356,656492,934
2021-05-24$33.09$32.5015.5%4.3%16.2%11.7%15.3%2.4%0.3%12.7M-236.8M-2.4M0.523.5323,59012,180302,734410,644
2021-05-25$32.66$32.5015.8%4.2%16.6%12.9%16.9%2.2%0.1%-2.2M-122.7M-2.5M0.893.8825,24622,458316,378417,042
2021-05-26$32.63$32.5015.0%4.1%16.6%9.0%15.3%2.5%0.3%-10.9M-134.6M-2.5M3.953.679,39437,106334,232437,746
2021-05-27$32.45$32.5014.8%4.0%16.3%7.8%13.6%2.4%0.0%-27.3M-67.2M-2.5M0.744.2313,0089,642333,574437,010
2021-05-28$32.63$32.5013.8%3.6%16.4%2.3%13.8%2.2%0.1%-9.1M-153.1M-2.3M1.823.4010,76619,562334,872432,792