XLU Options History — August 2021

In August 2021, XLU traded between $33.21 and $34.94. ATM implied volatility averaged 14.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.5% (HV 20d: 12.0%). Max pain ranged from $32.00 to $33.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2021-08-19: Highest Volume — 133,164 contracts
  • 2021-08-20: Largest IV drop — 9.5% change
  • 2021-08-19: Highest IV Rank — 32.8%
  • 2021-08-19: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.12$33.21$34.94$33.21$34.27
Max Pain$32.86$32.00$33.50$33.00$33.50
ATM IV14.6%13.2%16.3%15.4%13.4%
Expected Move4.1%3.5%4.6%4.2%3.5%
HV 20d12.0%8.9%14.8%14.6%8.9%
HV 60d13.3%12.7%14.7%14.7%12.8%
IV Rank19.3%8.4%32.8%26.3%9.8%
IV Percentile20.3%4.8%41.7%31.3%6.3%
Term Structure0.2%-0.3%0.7%-0.1%0.5%
VWIV15.3%12.7%19.8%17.3%12.7%
Skew 25d2.9%2.1%3.6%3.6%2.2%
Skew 10d5.9%-0.4%10.0%10.0%3.1%
Call IV 25d13.6%12.2%15.0%14.5%12.8%
Put IV 25d16.5%15.0%18.4%18.1%15.0%
Bid-Ask Spread %5.442.3817.743.592.38
Gamma HHI0.140.080.450.090.08
Net GEX26.6M-35.0M81.6M13.9M9.0M
Net DEX-456.6M-866.9M-230.8M-249.2M-296.1M
Net VEX-3.3M-3.8M-2.8M-3.6M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.232.470.741.43
Total Volume64,429.81820,638133,16431,40699,800
Total OI951,743.364821,9121,050,420888,362904,214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$33.21$33.0015.4%4.2%14.6%26.3%17.3%3.6%-0.1%13.9M-249.2M-3.6M0.743.5918,09613,310384,142504,220
2021-08-03$33.38$33.0015.2%3.9%14.6%24.6%15.0%3.5%-0.1%21.2M-293.9M-3.8M1.144.5323,60826,910387,894509,692
2021-08-04$33.37$33.0015.6%4.1%14.5%27.4%16.2%3.1%-0.3%21.2M-278.4M-3.8M1.5017.7417,44226,136391,556518,318
2021-08-05$33.71$32.0014.6%4.5%14.7%19.8%19.8%3.5%0.1%40.8M-463.7M-3.5M1.663.3020,34833,712394,326537,094
2021-08-06$33.76$32.0014.8%4.3%14.7%20.7%15.4%3.4%0.2%55.0M-480.3M-3.6M2.474.1323,11457,142396,506550,922
2021-08-09$33.69$32.0014.3%4.3%14.8%17.3%16.7%3.4%0.7%37.4M-437.9M-3.4M1.833.0815,30628,080385,216542,532
2021-08-10$33.74$32.5014.0%4.3%14.5%14.8%16.3%3.3%0.6%28.5M-431.4M-3.5M1.038.5129,62430,404392,040588,762
2021-08-11$34.03$32.5013.5%4.1%14.4%10.9%14.3%3.2%0.7%44.3M-575.9M-3.3M0.332.8243,35214,404398,040588,456
2021-08-12$34.12$32.5013.6%4.0%14.2%11.5%14.7%2.9%0.6%67.6M-593.5M-3.5M0.804.0411,4549,184406,836606,512
2021-08-13$34.31$32.5013.2%3.8%13.8%8.4%15.0%2.8%-0.1%43.6M-651.2M-3.3M0.583.1336,88221,500396,444606,462
2021-08-16$34.54$32.5014.4%4.2%10.9%18.2%14.4%2.9%0.5%37.0M-705.4M-3.0M0.432.3866,19228,650385,374578,852
2021-08-17$34.47$32.5014.8%4.3%10.9%21.4%15.8%3.1%0.4%55.7M-713.2M-3.0M0.572.9741,07023,298409,948589,464
2021-08-18$34.34$33.0015.6%4.5%10.1%27.4%16.0%3.0%0.4%34.1M-579.6M-3.4M0.238.1040,1929,416406,756609,566
2021-08-19$34.56$33.0016.3%4.6%10.2%32.8%17.4%3.5%0.6%44.4M-711.8M-3.1M0.655.4980,59252,572418,598616,358
2021-08-20$34.94$33.0014.7%4.2%9.9%20.3%15.3%2.9%0.5%81.6M-866.9M-2.8M1.964.1741,72681,754429,044621,376
2021-08-23$34.55$33.0014.9%4.1%11.0%21.6%15.5%2.7%-0.2%13.4M-350.5M-3.3M2.187.1529,41463,984319,264502,648
2021-08-24$34.33$33.5014.7%4.0%10.1%20.5%14.8%2.3%-0.0%-23.5M-258.1M-3.1M1.132.5828,78432,478328,612573,774
2021-08-25$34.41$33.5014.5%4.0%9.9%18.7%14.0%2.5%-0.1%-21.0M-275.2M-3.3M0.512.5923,22011,790340,260588,844
2021-08-26$34.29$33.5015.0%4.2%10.1%22.9%14.7%2.5%-0.3%-35.0M-230.8M-3.3M0.6014.9948,50429,260347,936611,934
2021-08-27$34.31$33.5014.0%3.6%9.2%14.8%12.9%2.4%-0.3%1.2M-267.7M-3.1M0.482.7434,00416,318356,198618,334
2021-08-30$34.34$33.5014.0%3.6%8.9%14.8%12.7%2.1%0.2%14.8M-334.3M-3.0M0.289.3026,9067,524347,030548,000
2021-08-31$34.27$33.5013.4%3.5%8.9%9.8%12.7%2.2%0.5%9.0M-296.1M-3.2M1.432.3840,99658,804350,966553,248