XLU Options History — October 2021

In October 2021, XLU traded between $31.96 and $33.70. ATM implied volatility averaged 15.4%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.6% (HV 20d: 13.9%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2021-10-20: Highest Volume — 102,940 contracts
  • 2021-10-15: Largest IV drop — 7.3% change
  • 2021-10-04: Highest IV Rank — 55.4%
  • 2021-10-04: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.87$31.96$33.70$31.96$33.47
Max Pain$32.88$32.50$33.00$33.00$33.00
ATM IV15.4%13.4%19.1%18.1%13.6%
Expected Move4.4%3.8%5.4%5.2%3.8%
HV 20d13.9%12.3%15.1%13.1%13.6%
HV 60d13.3%12.9%13.9%13.3%12.9%
IV Rank26.2%9.6%55.4%47.4%11.0%
IV Percentile35.6%7.1%79.4%69.0%10.7%
Term Structure0.2%-0.4%0.9%0.7%0.9%
VWIV15.8%13.6%19.9%19.9%13.6%
Skew 25d3.9%2.7%5.4%4.7%2.7%
Skew 10d7.7%0.4%13.5%10.1%3.0%
Call IV 25d14.0%12.2%17.6%16.4%12.2%
Put IV 25d17.9%14.9%22.9%21.1%14.9%
Bid-Ask Spread %4.853.6210.164.356.85
Gamma HHI0.070.060.090.060.08
Net GEX-7.3M-41.8M20.3M-22.8M1.8M
Net DEX127.6M-232.1M552.7M484.8M-137.9M
Net VEX-4.9M-5.2M-4.6M-5.0M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.552.982.200.86
Total Volume54,575.71413,912102,94046,71465,802
Total OI1,096,781.238979,8481,208,3241,058,8901,101,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$31.96$33.0018.1%5.2%13.1%47.4%19.9%4.7%0.7%-22.8M484.8M-5.0M2.204.3514,58432,130429,306629,584
2021-10-04$32.44$33.0019.1%5.4%14.7%55.4%19.5%5.4%0.2%-16.3M311.5M-5.1M0.934.4452,29648,684419,098621,496
2021-10-05$32.31$33.0017.7%4.9%14.0%44.3%17.6%4.4%-0.0%-21.2M360.4M-5.0M1.274.7918,47223,404425,280642,368
2021-10-06$32.71$33.0017.3%5.1%12.8%41.2%18.1%4.7%0.1%-9.0M194.3M-5.2M2.984.1113,10039,018458,624681,316
2021-10-07$32.61$33.0017.2%4.8%12.8%39.9%17.3%4.5%-0.1%-15.3M247.8M-5.1M0.714.3526,06818,576458,870685,458
2021-10-08$32.39$33.0016.6%4.8%12.3%35.8%16.6%4.4%0.1%-22.7M350.8M-5.2M1.534.3113,73020,950461,438702,898
2021-10-11$31.97$33.0017.3%5.0%12.9%41.2%17.2%5.0%0.3%-34.9M552.7M-4.9M2.474.1316,86241,730445,828686,034
2021-10-12$32.06$32.5017.4%5.0%13.0%41.7%17.1%4.8%0.1%-41.8M538.3M-4.9M1.814.0316,67630,180452,712699,088
2021-10-13$32.49$32.5016.3%4.7%14.3%32.8%16.0%4.6%0.0%-37.4M330.8M-4.8M0.555.0417,4329,558456,390720,778
2021-10-14$32.86$32.5015.3%4.3%14.8%25.0%15.4%3.8%-0.4%-8.7M127.6M-4.9M0.614.1726,72016,368462,486734,832
2021-10-15$32.83$32.5014.2%4.0%14.0%16.0%14.4%4.0%-0.1%-2.1M110.7M-4.7M1.804.1023,25841,870469,838738,486
2021-10-18$32.53$32.5014.4%4.1%13.7%17.6%14.6%3.6%-0.2%-11.0M223.3M-4.7M1.664.1120,19833,538367,476612,372
2021-10-19$32.90$33.0013.9%4.0%14.3%14.0%14.9%3.3%-0.4%-10.0M110.8M-4.8M0.783.877,8186,094374,810641,096
2021-10-20$33.36$33.0014.2%4.1%15.1%16.6%14.5%3.5%-0.4%6.6M-71.7M-4.8M0.615.1563,87639,064384,972655,416
2021-10-21$33.43$33.0014.2%4.1%15.0%15.9%15.2%2.9%-0.4%11.9M-123.7M-4.8M1.244.0020,15025,042407,266664,806
2021-10-22$33.67$33.0013.4%3.9%15.1%9.6%14.2%2.7%-0.2%20.3M-225.1M-4.6M0.703.7846,95032,982408,868673,090
2021-10-25$33.49$33.0013.7%3.9%14.4%12.3%14.2%3.2%0.7%19.1M-133.0M-4.7M0.683.6235,34424,116406,552642,664
2021-10-26$33.70$33.0013.5%4.0%13.6%10.3%13.9%2.9%0.9%18.3M-232.1M-4.7M0.6010.1637,04422,072414,680645,484
2021-10-27$33.48$33.0013.4%4.0%13.7%9.8%13.9%3.0%0.9%12.6M-163.3M-4.7M1.584.3119,24830,376417,108646,640
2021-10-28$33.58$33.0013.8%4.0%13.6%13.1%13.9%2.9%0.6%8.7M-177.5M-4.7M1.418.1222,66632,044421,842663,112
2021-10-29$33.47$33.0013.6%3.8%13.6%11.0%13.6%2.7%0.9%1.8M-137.9M-4.6M0.866.8535,33230,470422,306679,638