XLU Options History — June 2021

In June 2021, XLU traded between $31.63 and $33.26. ATM implied volatility averaged 13.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 0.0% (HV 20d: 13.5%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2021-06-21: Highest Volume — 144,758 contracts
  • 2021-06-18: Largest IV spike — 18.3% change
  • 2021-06-30: Highest IV Rank — 16.5%
  • 2021-06-18: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.46$31.63$33.26$32.38$31.63
Max Pain$32.52$32.00$33.00$32.50$32.50
ATM IV13.5%12.2%14.9%14.6%14.2%
Expected Move3.8%3.5%4.2%4.0%3.9%
HV 20d13.5%10.6%16.5%16.4%14.3%
HV 60d14.3%13.7%14.8%14.8%14.2%
IV Rank6.0%0.0%16.5%6.5%16.5%
IV Percentile4.2%0.0%11.1%6.0%10.3%
Term Structure0.1%-0.9%0.8%-0.0%0.4%
VWIV13.5%12.4%16.1%14.5%13.1%
Skew 25d2.0%0.7%3.1%2.6%2.3%
Skew 10d3.9%0.9%9.0%3.0%5.7%
Call IV 25d13.1%12.1%14.7%13.9%13.5%
Put IV 25d15.1%13.0%17.1%16.4%15.8%
Bid-Ask Spread %8.083.1944.276.673.60
Gamma HHI0.110.090.170.090.12
Net GEX3.1M-48.5M65.5M-3.9M-35.3M
Net DEX-69.0M-442.6M311.4M-60.0M267.3M
Net VEX-2.5M-3.1M-2.0M-2.4M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.364.511.190.80
Total Volume72,410.36426,136144,75832,50857,158
Total OI843,319.364693,104952,824731,338952,824

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$32.38$32.5014.6%4.0%16.4%6.5%14.5%2.6%-0.0%-3.9M-60.0M-2.4M1.196.6714,82217,686312,596418,742
2021-06-02$32.49$32.5014.9%4.1%16.5%8.4%15.6%3.0%-0.2%-3.5M-91.5M-2.5M4.514.7112,59256,742322,882434,910
2021-06-03$32.83$32.0014.9%4.1%15.8%8.1%13.9%2.2%-0.5%-2.2M-182.0M-2.5M0.5710.1626,84015,260323,198488,238
2021-06-04$32.69$32.0013.0%3.7%15.6%0.0%13.4%2.1%-0.2%-4.5M-165.7M-2.3M0.706.2121,53214,992326,446496,654
2021-06-07$32.74$32.5012.9%3.7%15.5%0.0%12.8%2.3%0.2%-12.9M-151.9M-2.3M0.786.5721,96617,226318,098490,044
2021-06-08$32.46$32.5012.8%3.7%14.9%0.0%13.3%2.0%0.4%-29.6M-42.4M-2.4M0.954.4324,30023,038334,700498,844
2021-06-09$32.80$32.0013.2%3.7%13.9%2.3%12.8%1.9%-0.3%2.8M-212.6M-2.2M0.574.3750,37228,656336,304499,270
2021-06-10$32.98$32.0012.5%3.5%12.6%0.0%12.4%1.9%-0.2%21.2M-309.0M-2.1M0.848.8727,37422,996356,678522,710
2021-06-11$33.04$32.5012.2%3.6%10.7%0.0%12.6%0.7%0.8%49.8M-348.6M-2.2M2.834.7617,69450,026369,134524,800
2021-06-14$33.06$32.5012.8%3.7%10.7%3.4%13.0%1.5%0.1%42.9M-363.1M-2.1M1.637.3715,15024,664366,158454,562
2021-06-15$33.26$32.5013.0%3.7%10.6%4.4%13.3%1.0%0.1%51.9M-442.6M-2.0M0.734.4915,06611,070364,646462,846
2021-06-16$32.78$32.5013.2%3.8%11.9%5.9%13.4%1.0%-0.9%32.6M-235.9M-2.2M0.5644.2757,68432,390367,002463,716
2021-06-17$32.99$33.0012.5%3.6%12.0%1.8%12.8%0.8%0.3%65.5M-348.2M-2.0M0.944.5451,79048,680402,152472,740
2021-06-18$32.34$33.0014.8%4.2%13.2%14.8%16.1%2.4%0.3%8.3M47.6M-2.4M0.397.7974,69628,768427,522514,754
2021-06-21$32.20$33.0014.7%4.1%13.2%14.2%13.8%3.1%0.2%12.8M9.6M-2.7M0.364.72106,60438,154314,684378,420
2021-06-22$32.12$33.0014.0%3.9%13.1%10.2%13.9%2.6%0.5%1.3M95.7M-2.8M0.674.2769,57246,274351,386406,294
2021-06-23$31.76$33.0013.5%3.8%12.9%7.2%13.4%2.2%0.3%-37.4M277.8M-2.9M1.0223.0369,39271,104390,268448,626
2021-06-24$31.68$32.5013.3%3.7%13.0%6.2%13.1%2.3%0.7%-48.5M311.4M-3.0M0.413.2447,53619,380426,648477,702
2021-06-25$31.98$32.5013.0%3.6%13.4%4.6%12.4%1.9%0.5%-31.3M159.2M-3.1M0.363.1966,43024,168445,960481,372
2021-06-28$32.16$32.5012.9%3.6%13.4%4.3%14.2%2.4%0.4%14.7M9.7M-3.1M1.263.5528,84836,220434,160458,260
2021-06-29$31.64$32.5014.5%4.1%14.4%14.3%14.3%2.5%0.3%-27.4M257.4M-3.0M0.746.9850,58037,536433,480482,596
2021-06-30$31.63$32.5014.2%3.9%14.3%16.5%13.1%2.3%0.4%-35.3M267.3M-3.0M0.803.6031,72225,436460,552492,272