XLU Options History — November 2021

In November 2021, XLU traded between $33.00 and $33.91. ATM implied volatility averaged 15.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.6% (HV 20d: 11.4%). Max pain ranged from $33.00 to $33.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2021-11-23: Highest Volume — 99,122 contracts
2021-11-26: Largest IV spike — 13.4% change
2021-11-30: Highest IV Rank — 53.1%
2021-11-30: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.53	$33.00	$33.91	$33.57	$33.00
Max Pain	$33.21	$33.00	$33.50	$33.00	$33.50
ATM IV	15.0%	14.1%	18.3%	14.2%	18.3%
Expected Move	4.3%	3.8%	5.6%	4.1%	5.6%
HV 20d	11.4%	9.4%	15.0%	12.8%	15.0%
HV 60d	13.2%	12.9%	14.4%	13.0%	14.4%
IV Rank	24.5%	16.5%	53.1%	16.5%	53.1%
IV Percentile	37.3%	18.7%	84.1%	21.0%	84.1%
Term Structure	0.0%	-0.8%	0.5%	0.2%	0.0%
VWIV	15.7%	14.1%	21.5%	15.5%	21.5%
Skew 25d	2.7%	1.9%	4.5%	3.1%	4.5%
Skew 10d	5.1%	0.8%	8.6%	8.6%	7.1%
Call IV 25d	14.1%	13.1%	16.8%	13.1%	16.8%
Put IV 25d	16.8%	15.5%	21.3%	16.3%	21.3%
Bid-Ask Spread %	5.67	2.95	9.47	6.09	7.41
Gamma HHI	0.10	0.07	0.13	0.07	0.10
Net GEX	9.1M	-25.7M	31.7M	-6.9M	-19.1M
Net DEX	-109.5M	-228.0M	149.2M	-66.4M	149.2M
Net VEX	-4.6M	-4.8M	-4.4M	-4.7M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.40	2.39	1.12	2.39
Total Volume	66,877.429	48,312	99,122	54,598	61,772
Total OI	1,118,902.476	1,033,426	1,184,332	1,033,426	1,115,144

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
2021-11-01	$33.57	$33.00	14.2%	4.1%	12.8%	16.5%	15.5%	3.1%	0.2%	-6.9M	-66.4M	-4.7M	1.12	6.09	25,700	28,898	375,602	657,824
2021-11-02	$33.54	$33.00	14.3%	4.1%	12.7%	18.3%	15.1%	3.0%	0.1%	-6.2M	-70.2M	-4.5M	1.62	5.71	36,922	59,746	385,538	663,102
2021-11-03	$33.49	$33.00	14.3%	4.1%	12.1%	18.0%	15.0%	3.0%	-0.2%	-4.9M	-50.5M	-4.6M	1.06	9.47	42,688	45,386	406,880	680,816
2021-11-04	$33.29	$33.50	14.3%	4.2%	12.3%	18.3%	14.7%	2.5%	0.0%	-13.6M	29.8M	-4.8M	0.54	4.56	48,782	26,426	415,666	683,264
2021-11-05	$33.63	$33.50	14.4%	4.3%	12.3%	18.9%	14.8%	2.4%	0.3%	4.7M	-142.1M	-4.7M	0.72	4.73	41,478	29,678	428,970	685,548
2021-11-08	$33.15	$33.50	16.1%	4.8%	12.6%	33.7%	16.0%	2.7%	0.4%	-11.2M	57.4M	-4.7M	0.93	7.10	45,400	42,270	424,958	671,598
2021-11-09	$33.26	$33.00	16.2%	4.5%	12.6%	34.5%	16.1%	2.6%	-0.2%	8.9M	-50.2M	-4.7M	0.40	4.33	41,550	16,598	449,264	667,442
2021-11-10	$33.45	$33.00	15.3%	4.5%	11.9%	27.1%	16.0%	1.9%	0.3%	23.6M	-178.9M	-4.6M	0.68	3.61	38,748	26,214	466,188	671,288
2021-11-11	$33.34	$33.00	15.0%	4.3%	11.5%	24.4%	16.0%	2.3%	0.5%	13.6M	-90.8M	-4.6M	2.34	3.76	19,748	46,178	459,548	671,860
2021-11-12	$33.36	$33.00	14.2%	4.1%	11.4%	17.6%	14.8%	2.1%	0.0%	9.0M	-89.9M	-4.5M	1.14	7.82	37,444	42,752	460,302	694,896
2021-11-15	$33.68	$33.00	14.2%	4.1%	11.2%	17.7%	14.6%	2.1%	0.4%	28.2M	-228.0M	-4.6M	0.78	2.95	31,082	24,368	457,694	698,384
2021-11-16	$33.66	$33.00	14.2%	4.1%	10.7%	17.5%	14.7%	2.0%	0.3%	29.1M	-219.6M	-4.6M	0.70	3.49	28,500	19,812	459,798	703,052
2021-11-17	$33.66	$33.00	14.5%	4.2%	9.5%	19.9%	15.0%	2.5%	0.1%	31.7M	-216.4M	-4.6M	0.76	4.78	28,496	21,574	464,678	703,886
2021-11-18	$33.43	$33.00	14.4%	4.1%	9.8%	19.2%	14.7%	2.3%	0.4%	14.4M	-87.6M	-4.7M	1.33	9.05	23,076	30,752	467,552	716,780
2021-11-19	$33.67	$33.00	14.7%	4.2%	9.8%	21.7%	14.6%	2.2%	0.5%	27.3M	-220.8M	-4.6M	1.06	4.77	33,048	34,870	464,866	718,374
2021-11-22	$33.91	$33.50	14.1%	3.8%	9.9%	16.6%	14.5%	2.6%	-0.3%	23.8M	-218.5M	-4.4M	1.01	4.69	28,118	28,524	417,046	654,686
2021-11-23	$33.91	$33.50	14.8%	4.1%	9.7%	23.0%	14.1%	2.8%	-0.5%	26.0M	-216.2M	-4.5M	1.03	4.60	48,886	50,236	419,902	658,226
2021-11-24	$33.91	$33.50	14.8%	4.0%	9.4%	22.6%	14.4%	2.6%	-0.6%	22.3M	-218.8M	-4.6M	0.60	7.00	39,098	23,606	439,382	685,086
2021-11-26	$33.41	$33.50	16.8%	4.7%	10.8%	39.7%	17.0%	4.2%	-0.8%	-25.7M	13.1M	-4.7M	1.76	7.23	20,746	36,586	439,482	687,072
2021-11-29	$33.87	$33.50	16.3%	4.8%	11.7%	35.3%	19.7%	3.4%	0.0%	15.8M	-184.0M	-4.5M	2.26	5.96	14,936	33,734	429,510	675,798
2021-11-30	$33.00	$33.50	18.3%	5.6%	15.0%	53.1%	21.5%	4.5%	0.0%	-19.1M	149.2M	-4.8M	2.39	7.41	18,216	43,556	431,314	683,830