XLU Options History — September 2021

In September 2021, XLU traded between $31.88 and $34.96. ATM implied volatility averaged 15.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.5% (HV 20d: 13.0%). Max pain ranged from $33.00 to $34.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2021-09-08: Highest Volume — 155,826 contracts
  • 2021-09-20: Largest IV spike — 26.0% change
  • 2021-09-30: Highest IV Rank — 50.5%
  • 2021-09-30: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.55$31.88$34.96$34.71$32.08
Max Pain$33.96$33.00$34.50$33.50$33.00
ATM IV15.5%12.9%18.5%13.2%18.5%
Expected Move4.5%3.3%5.5%3.3%5.5%
HV 20d13.0%9.4%14.9%9.8%13.6%
HV 60d13.3%12.8%13.8%12.9%13.3%
IV Rank27.0%6.1%50.5%8.5%50.5%
IV Percentile37.7%2.8%73.4%5.2%73.4%
Term Structure0.1%-0.4%0.5%0.4%-0.1%
VWIV15.6%13.0%19.0%13.0%17.1%
Skew 25d3.2%1.9%5.0%2.1%4.8%
Skew 10d6.5%-0.7%12.7%-0.7%9.7%
Call IV 25d14.6%12.2%17.6%12.6%16.4%
Put IV 25d17.8%14.5%22.3%14.8%21.1%
Bid-Ask Spread %6.663.4416.0516.054.36
Gamma HHI0.100.050.200.110.06
Net GEX-9.1M-48.5M39.7M33.2M-17.5M
Net DEX1.7M-529.7M509.1M-437.0M428.8M
Net VEX-4.1M-5.1M-3.0M-3.1M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.302.701.050.30
Total Volume68,167.04830,074155,82681,47841,406
Total OI1,036,328.286848,2701,221,520923,5941,038,206

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$34.71$33.5013.2%3.3%9.8%8.5%13.0%2.1%0.4%33.2M-437.0M-3.1M1.0516.0539,78841,690360,698562,896
2021-09-02$34.92$34.0013.2%3.9%9.4%7.8%14.6%2.2%0.1%39.7M-529.7M-3.0M0.548.8819,47010,604379,152611,576
2021-09-03$34.88$34.0012.9%3.8%9.5%6.1%14.1%2.4%0.2%28.3M-515.2M-3.0M0.609.7740,50824,494386,782639,544
2021-09-07$34.33$34.0014.4%4.1%11.4%17.9%14.9%2.5%0.1%-8.6M-262.2M-3.1M1.274.5532,97241,862377,326624,154
2021-09-08$34.96$34.0014.8%4.4%12.9%21.3%15.0%2.3%0.4%30.0M-512.7M-3.1M0.8910.2182,36673,460390,092636,312
2021-09-09$34.80$34.0015.2%4.3%12.9%24.6%15.4%2.8%-0.2%21.8M-422.6M-3.6M0.493.4424,36811,974406,228658,432
2021-09-10$34.34$34.5015.4%4.5%13.9%25.6%15.8%2.6%0.4%-6.3M-265.5M-4.0M0.953.8756,47853,766462,526699,234
2021-09-13$34.19$34.5015.9%4.6%13.8%29.6%15.5%2.8%-0.4%-15.0M-189.5M-4.0M0.433.6634,38014,910445,838688,716
2021-09-14$34.08$34.5015.6%4.5%13.6%27.1%15.3%2.7%-0.1%-22.9M-117.4M-4.1M1.693.5529,79450,444461,698735,526
2021-09-15$34.06$34.5014.5%4.2%13.6%18.7%15.0%1.9%0.2%-25.4M-118.3M-3.8M1.133.4630,05834,088466,298736,980
2021-09-16$33.77$34.5014.1%4.0%13.9%15.5%14.8%2.6%0.5%-30.1M20.3M-4.1M0.335.1360,25019,620462,462748,472
2021-09-17$33.29$34.5014.6%4.2%14.3%19.7%14.9%2.5%0.2%-48.5M225.0M-4.0M1.247.8536,44645,120460,108761,412
2021-09-20$32.88$34.0018.4%5.3%14.0%50.3%19.0%4.7%-0.2%-14.3M215.4M-4.7M0.848.2354,27845,658321,014527,256
2021-09-21$32.86$34.0017.3%5.1%13.6%40.9%16.9%4.9%0.4%-15.8M248.6M-4.8M2.703.5813,03235,196330,402545,978
2021-09-22$32.74$33.7515.9%4.6%13.6%29.9%15.2%4.0%0.1%-20.9M284.2M-4.8M0.4214.1723,1969,652355,026577,098
2021-09-23$32.63$33.7515.2%4.2%13.5%23.9%14.7%3.8%-0.0%-25.8M344.6M-4.9M0.614.5431,76819,450359,714606,698
2021-09-24$32.66$33.7515.2%4.3%13.5%24.0%15.0%3.6%0.3%-23.7M331.8M-4.9M0.733.7628,34620,752369,018611,942
2021-09-27$32.24$33.5016.4%4.5%13.9%33.8%15.7%3.3%0.1%-24.9M389.4M-4.8M0.733.9727,39220,058373,656588,636
2021-09-28$31.88$33.5018.0%5.3%14.2%46.5%18.7%5.0%0.2%-27.2M509.1M-4.9M0.419.2064,06026,522386,106598,008
2021-09-29$32.17$33.5017.8%5.2%14.9%45.3%17.7%4.3%-0.2%-17.4M409.0M-5.0M0.787.5434,70227,130402,666609,008
2021-09-30$32.08$33.0018.5%5.5%13.6%50.5%17.1%4.8%-0.1%-17.5M428.8M-5.1M0.304.3631,8229,584424,070614,136