XLU Options History — December 2021

In December 2021, XLU traded between $33.19 and $35.91. ATM implied volatility averaged 16.2%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.4% (HV 20d: 16.6%). Max pain ranged from $32.50 to $33.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2021-12-21: Highest Volume — 191,344 contracts
2021-12-22: Largest IV drop — 12.4% change
2021-12-03: Highest IV Rank — 62.4%
2021-12-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.76	$33.19	$35.91	$33.19	$35.91
Max Pain	$33.05	$32.50	$33.50	$33.50	$33.50
ATM IV	16.2%	13.3%	19.4%	18.9%	13.6%
Expected Move	4.7%	3.7%	6.1%	5.8%	3.7%
HV 20d	16.6%	13.9%	18.7%	15.2%	13.9%
HV 60d	14.2%	13.7%	14.8%	14.1%	13.9%
IV Rank	34.9%	10.0%	62.4%	57.5%	11.8%
IV Percentile	56.9%	7.1%	92.1%	87.7%	11.5%
Term Structure	0.1%	-0.6%	0.5%	-0.1%	0.1%
VWIV	17.6%	14.4%	24.1%	21.8%	15.0%
Skew 25d	3.5%	2.9%	4.8%	4.3%	3.2%
Skew 10d	7.1%	3.8%	11.5%	5.8%	11.5%
Call IV 25d	15.1%	12.4%	18.0%	17.4%	12.4%
Put IV 25d	18.6%	15.4%	22.8%	21.7%	15.6%
Bid-Ask Spread %	8.17	3.69	25.25	18.97	4.30
Gamma HHI	0.16	0.10	0.44	0.10	0.13
Net GEX	43.0M	-14.7M	132.1M	-14.7M	46.5M
Net DEX	-381.3M	-805.6M	91.0M	91.0M	-594.7M
Net VEX	-4.2M	-5.1M	-3.5M	-4.9M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.27	2.92	1.02	0.78
Total Volume	74,597.909	38,204	191,344	57,624	92,950
Total OI	1,133,795.364	962,162	1,216,024	1,141,240	1,063,214

Daily Data (22 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
2021-12-01	$33.19	$33.50	18.9%	5.8%	15.2%	57.5%	21.8%	4.3%	-0.1%	-14.7M	91.0M	-4.9M	1.02	18.97	28,592	29,032	438,116	703,124
2021-12-02	$33.50	$33.50	18.7%	5.6%	15.6%	56.4%	19.9%	4.2%	-0.3%	-4.0M	-16.2M	-4.9M	1.99	7.04	16,156	32,228	450,550	720,564
2021-12-03	$33.52	$33.50	19.4%	6.1%	15.4%	62.4%	24.1%	4.8%	-0.0%	-7.7M	1.9M	-5.1M	2.92	9.53	17,792	51,908	450,126	734,224
2021-12-06	$34.22	$32.50	18.0%	5.3%	16.7%	49.9%	18.4%	4.1%	0.5%	26.3M	-296.4M	-4.7M	1.41	21.86	30,098	42,352	446,396	747,174
2021-12-07	$34.47	$32.50	16.6%	4.7%	15.8%	38.2%	18.9%	3.6%	0.1%	43.0M	-408.0M	-4.4M	1.75	4.83	23,062	40,452	447,484	745,074
2021-12-08	$34.52	$32.50	15.9%	4.6%	15.8%	32.2%	17.2%	3.2%	-0.1%	55.7M	-477.0M	-4.3M	2.20	6.27	19,940	43,802	458,292	757,732
2021-12-09	$34.44	$32.50	16.3%	4.6%	15.8%	35.4%	16.8%	3.0%	0.1%	55.2M	-393.8M	-4.4M	1.72	8.27	14,606	25,096	447,844	756,232
2021-12-10	$34.56	$32.50	15.2%	4.4%	15.7%	26.1%	17.3%	3.1%	0.2%	132.1M	-490.6M	-4.1M	2.01	5.26	26,456	53,294	449,140	757,288
2021-12-13	$35.14	$32.50	15.9%	4.6%	16.6%	32.0%	17.3%	3.1%	0.3%	48.8M	-630.8M	-4.0M	1.80	4.72	20,456	36,922	433,740	757,864
2021-12-14	$34.79	$32.50	17.3%	4.8%	16.9%	44.0%	19.3%	2.9%	-0.6%	39.3M	-489.7M	-4.1M	2.16	4.85	12,090	26,114	436,846	765,174
2021-12-15	$35.33	$32.50	16.1%	4.5%	17.6%	33.5%	17.0%	3.1%	-0.3%	57.1M	-704.2M	-3.9M	1.54	9.19	16,298	25,022	439,084	762,126
2021-12-16	$35.55	$32.50	16.4%	4.7%	17.6%	36.6%	16.6%	2.9%	-0.3%	52.6M	-805.6M	-3.7M	0.83	5.07	34,572	28,600	440,894	765,384
2021-12-17	$35.12	$32.50	17.2%	4.8%	18.1%	43.2%	16.8%	3.0%	-0.5%	89.1M	-679.7M	-3.8M	0.47	6.25	86,078	40,540	442,816	770,230
2021-12-20	$34.67	$33.50	18.6%	5.3%	18.7%	55.4%	19.8%	4.7%	0.2%	11.7M	-157.2M	-4.4M	0.67	7.10	46,218	31,140	321,966	640,196
2021-12-21	$34.63	$33.50	17.5%	5.0%	18.6%	46.3%	21.5%	4.0%	0.4%	14.5M	-144.2M	-4.3M	0.84	6.14	103,898	87,446	319,230	652,316
2021-12-22	$34.85	$33.50	15.4%	4.4%	18.7%	27.5%	15.2%	3.6%	0.5%	36.6M	-222.4M	-4.3M	0.43	5.12	45,284	19,598	387,324	692,868
2021-12-23	$34.95	$33.50	14.3%	4.1%	18.7%	18.0%	14.7%	3.3%	0.3%	57.3M	-279.2M	-4.1M	0.55	5.34	37,564	20,522	396,558	695,178
2021-12-27	$34.95	$33.50	14.4%	4.1%	17.8%	18.8%	14.8%	3.3%	0.3%	55.3M	-288.1M	-4.0M	0.71	3.69	35,294	25,008	391,342	687,792
2021-12-28	$35.29	$33.50	14.4%	4.1%	17.5%	19.3%	15.6%	3.4%	0.1%	78.7M	-425.2M	-3.9M	0.27	4.00	103,020	27,678	394,448	690,686
2021-12-29	$35.54	$33.50	13.6%	3.9%	14.0%	12.2%	14.4%	3.0%	0.2%	36.4M	-462.7M	-3.7M	0.65	6.71	44,624	29,204	335,500	698,718
2021-12-30	$35.66	$33.50	13.3%	3.7%	14.0%	10.0%	15.1%	3.0%	0.2%	37.0M	-515.1M	-3.7M	0.68	25.25	41,790	28,358	349,004	703,640
2021-12-31	$35.91	$33.50	13.6%	3.7%	13.9%	11.8%	15.0%	3.2%	0.1%	46.5M	-594.7M	-3.5M	0.78	4.30	52,218	40,732	355,656	707,558