XLU Options History — July 2021

In July 2021, XLU traded between $31.95 and $33.34. ATM implied volatility averaged 14.6%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.3% (HV 20d: 14.3%). Max pain ranged from $32.25 to $33.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2021-07-16: Highest Volume — 119,002 contracts
2021-07-19: Largest IV spike — 11.1% change
2021-07-19: Highest IV Rank — 36.0%
2021-07-19: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.58	$31.95	$33.34	$31.95	$32.94
Max Pain	$32.71	$32.25	$33.00	$32.25	$33.00
ATM IV	14.6%	13.0%	16.7%	14.3%	15.0%
Expected Move	4.1%	3.4%	4.8%	3.7%	4.2%
HV 20d	14.3%	13.6%	15.5%	14.3%	14.4%
HV 60d	14.4%	13.7%	15.0%	14.4%	14.7%
IV Rank	19.1%	6.5%	36.0%	17.2%	23.1%
IV Percentile	16.4%	3.6%	36.1%	11.1%	25.0%
Term Structure	0.1%	-1.9%	0.6%	-1.7%	0.5%
VWIV	14.7%	11.7%	17.1%	12.7%	14.6%
Skew 25d	3.0%	1.5%	4.1%	1.5%	3.2%
Skew 10d	6.2%	0.7%	10.3%	4.1%	6.0%
Call IV 25d	13.5%	12.2%	15.3%	13.2%	14.0%
Put IV 25d	16.5%	14.2%	18.9%	14.7%	17.2%
Bid-Ask Spread %	5.69	2.98	17.36	17.36	5.00
Gamma HHI	0.13	0.06	0.46	0.10	0.08
Net GEX	7.5M	-133.5M	86.1M	-6.3M	19.6M
Net DEX	-91.9M	-529.7M	145.2M	111.7M	-148.8M
Net VEX	-3.4M	-3.8M	-3.0M	-3.2M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.29	3.98	1.57	0.74
Total Volume	57,392.762	16,876	119,002	67,120	28,848
Total OI	921,661.429	776,488	1,015,460	984,246	967,978

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
2021-07-01	$31.95	$32.25	14.3%	3.7%	14.3%	17.2%	12.7%	1.5%	-1.7%	-6.3M	111.7M	-3.2M	1.57	17.36	26,082	41,038	470,558	513,688
2021-07-02	$31.95	$32.25	13.0%	3.4%	14.2%	6.5%	11.7%	1.7%	0.4%	-52.0M	145.2M	-3.1M	0.72	2.98	36,340	26,264	479,360	529,480
2021-07-06	$32.09	$32.50	13.9%	4.2%	14.3%	14.0%	14.6%	3.0%	0.2%	4.7M	37.8M	-3.0M	0.55	3.05	25,230	13,998	459,532	492,362
2021-07-07	$32.31	$32.50	14.3%	4.2%	14.3%	16.7%	14.6%	2.5%	0.1%	36.4M	-101.7M	-3.0M	1.33	4.05	19,848	26,394	470,198	501,492
2021-07-08	$32.20	$32.50	14.7%	4.4%	13.8%	20.5%	15.0%	3.0%	0.1%	-1.0M	8.2M	-3.2M	0.51	4.51	28,982	14,828	461,666	522,458
2021-07-09	$32.26	$32.50	14.0%	4.0%	13.6%	14.9%	14.5%	2.6%	0.1%	-133.5M	-31.9M	-3.1M	0.98	4.29	26,498	26,072	475,810	536,824
2021-07-12	$32.34	$32.50	14.0%	4.0%	13.6%	14.7%	14.3%	2.7%	-0.2%	37.8M	-61.5M	-3.2M	2.61	3.41	14,552	38,016	411,140	477,908
2021-07-13	$32.16	$32.50	14.0%	4.2%	13.7%	14.4%	13.3%	2.8%	0.5%	10.8M	69.6M	-3.2M	1.55	3.68	28,480	44,078	412,224	498,270
2021-07-14	$32.49	$32.50	14.1%	4.1%	14.1%	15.3%	14.4%	2.7%	0.3%	55.0M	-91.3M	-3.3M	0.84	4.98	20,928	17,650	437,964	534,508
2021-07-15	$32.80	$32.50	14.9%	4.2%	13.6%	22.1%	15.6%	4.1%	-0.6%	86.1M	-267.3M	-3.5M	0.29	7.65	78,776	22,996	450,130	545,292
2021-07-16	$33.17	$32.50	15.0%	4.4%	14.1%	22.6%	15.7%	3.5%	0.6%	44.0M	-529.7M	-3.5M	0.83	9.58	64,860	54,142	465,554	549,906
2021-07-19	$32.48	$33.00	16.7%	4.8%	14.4%	36.0%	16.6%	3.6%	-1.9%	-1.1M	-7.8M	-3.7M	0.70	4.43	31,540	22,142	327,236	449,252
2021-07-20	$32.73	$33.00	15.2%	4.3%	14.5%	24.1%	15.6%	3.3%	0.4%	6.3M	-83.4M	-3.6M	0.66	5.67	42,716	28,116	337,962	461,060
2021-07-21	$32.41	$33.00	15.1%	4.3%	14.9%	23.2%	15.0%	3.3%	0.1%	-5.4M	29.8M	-3.7M	3.98	4.85	9,440	37,548	362,570	481,998
2021-07-22	$32.42	$33.00	14.4%	4.1%	14.3%	18.1%	14.6%	3.5%	0.3%	-19.2M	43.2M	-3.6M	1.28	10.58	19,914	25,460	364,864	500,346
2021-07-23	$32.85	$33.00	13.8%	3.9%	14.8%	13.3%	14.0%	3.0%	0.6%	8.1M	-108.2M	-3.8M	0.72	3.92	9,816	7,060	373,848	523,608
2021-07-26	$32.79	$33.00	14.6%	4.1%	14.6%	19.3%	16.0%	3.6%	0.4%	3.3M	-88.0M	-3.7M	1.73	3.69	23,318	40,246	349,810	490,396
2021-07-27	$33.34	$33.00	15.4%	4.3%	15.5%	25.8%	14.7%	3.4%	0.3%	19.0M	-300.9M	-3.6M	0.52	4.95	48,132	25,166	352,990	494,644
2021-07-28	$33.20	$33.00	14.6%	4.1%	14.2%	19.4%	17.1%	3.3%	0.4%	20.4M	-265.9M	-3.7M	2.17	6.16	19,732	42,750	366,988	526,880
2021-07-29	$33.26	$33.00	14.6%	4.1%	14.1%	19.3%	14.2%	3.2%	0.6%	24.9M	-289.7M	-3.8M	0.82	4.69	25,992	21,260	384,190	541,946
2021-07-30	$32.94	$33.00	15.0%	4.2%	14.4%	23.1%	14.6%	3.2%	0.5%	19.6M	-148.8M	-3.7M	0.74	5.00	16,624	12,224	391,444	576,534