XLU Options History — January 2022

In January 2022, XLU traded between $33.30 and $35.46. ATM implied volatility averaged 16.9%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.3% (HV 20d: 13.6%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2022-01-28: Highest Volume — 130,506 contracts
2022-01-24: Largest IV spike — 12.9% change
2022-01-25: Highest IV Rank — 71.7%
2022-01-26: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.56	$33.30	$35.46	$35.40	$34.52
Max Pain	$34.55	$34.00	$35.00	$34.00	$34.50
ATM IV	16.9%	14.0%	20.5%	14.0%	17.1%
Expected Move	4.9%	3.8%	6.1%	3.9%	5.1%
HV 20d	13.6%	12.3%	15.4%	15.2%	15.3%
HV 60d	14.2%	13.7%	15.1%	14.2%	15.1%
IV Rank	41.5%	15.6%	71.7%	15.7%	46.9%
IV Percentile	69.7%	16.7%	97.2%	17.1%	79.4%
Term Structure	-0.0%	-0.8%	0.8%	0.2%	0.0%
VWIV	17.5%	14.0%	22.8%	14.4%	19.1%
Skew 25d	4.4%	3.4%	6.0%	3.7%	4.6%
Skew 10d	8.9%	3.9%	13.7%	7.3%	12.2%
Call IV 25d	15.2%	12.7%	18.0%	12.9%	15.4%
Put IV 25d	19.6%	16.1%	23.6%	16.6%	20.0%
Bid-Ask Spread %	13.63	4.72	34.33	7.70	13.62
Gamma HHI	0.10	0.07	0.14	0.11	0.08
Net GEX	1.4M	-36.1M	35.3M	24.4M	-2.7M
Net DEX	-39.4M	-352.3M	316.2M	-290.7M	-5.3M
Net VEX	-4.0M	-4.2M	-3.7M	-3.7M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.66	3.36	0.98	2.32
Total Volume	62,510.1	41,832	130,506	105,082	79,030
Total OI	965,111.2	705,906	1,088,696	973,390	781,790

Daily Data (20 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
2022-01-03	$35.40	$34.00	14.0%	3.9%	15.2%	15.7%	14.4%	3.7%	0.2%	24.4M	-290.7M	-3.7M	0.98	7.70	53,182	51,900	336,000	637,390
2022-01-04	$35.46	$34.00	14.0%	3.8%	13.7%	15.6%	14.0%	3.4%	0.1%	35.3M	-352.3M	-3.8M	1.26	5.07	27,288	34,482	359,914	661,288
2022-01-05	$35.42	$34.00	15.0%	4.2%	13.6%	24.6%	16.3%	3.4%	0.2%	33.5M	-343.1M	-3.8M	1.76	5.74	24,188	42,572	366,902	663,264
2022-01-06	$34.98	$35.00	16.0%	4.6%	14.5%	32.5%	16.3%	4.4%	0.1%	9.2M	-136.4M	-4.2M	1.23	6.08	29,076	35,778	368,736	695,156
2022-01-07	$35.31	$35.00	15.7%	4.5%	14.8%	30.1%	16.4%	4.0%	0.2%	23.3M	-253.7M	-4.2M	1.67	4.72	24,510	40,816	372,724	694,844
2022-01-10	$34.91	$35.00	16.3%	4.6%	15.4%	35.7%	17.3%	4.1%	-0.1%	12.6M	-128.8M	-4.1M	1.18	34.33	19,832	23,424	358,386	679,700
2022-01-11	$34.66	$35.00	15.4%	4.6%	14.4%	27.6%	14.9%	4.1%	0.5%	1.5M	-42.1M	-4.0M	1.33	5.84	34,594	45,948	358,306	688,520
2022-01-12	$34.74	$35.00	15.3%	4.6%	14.0%	27.0%	15.1%	3.8%	0.8%	8.3M	-91.1M	-3.9M	1.17	6.50	20,298	23,716	369,614	692,974
2022-01-13	$34.91	$35.00	16.1%	4.7%	12.9%	34.1%	16.7%	4.1%	0.1%	16.6M	-153.8M	-4.0M	0.95	8.06	24,340	23,124	372,222	695,492
2022-01-14	$34.73	$35.00	15.9%	4.6%	12.8%	31.9%	15.9%	4.2%	0.2%	12.6M	-71.5M	-4.0M	1.01	14.15	25,432	25,744	377,630	698,100
2022-01-18	$34.30	$34.50	16.9%	4.8%	12.9%	41.1%	16.9%	4.4%	-0.1%	-7.3M	50.3M	-3.8M	0.96	9.92	22,208	21,374	377,856	689,076
2022-01-19	$34.53	$34.50	17.0%	4.9%	12.4%	41.1%	16.4%	4.0%	-0.8%	903.8K	-30.4M	-3.8M	0.66	9.76	31,538	20,878	377,066	696,956
2022-01-20	$34.57	$34.50	16.9%	4.9%	12.4%	41.0%	17.0%	3.7%	-0.7%	2.2M	-59.8M	-3.7M	0.90	9.09	28,126	25,356	387,174	700,042
2022-01-21	$34.40	$34.50	17.9%	5.2%	12.3%	49.7%	18.7%	4.6%	-0.3%	-14.0M	40.2M	-3.9M	0.90	29.47	26,860	24,090	383,930	704,766
2022-01-24	$33.94	$34.50	20.3%	5.9%	13.0%	69.8%	20.7%	5.2%	-0.4%	-21.3M	166.6M	-3.9M	0.66	22.84	33,492	22,132	271,876	434,030
2022-01-25	$33.62	$34.50	20.5%	6.1%	13.3%	71.7%	22.8%	6.0%	-0.6%	-25.8M	233.7M	-4.0M	3.36	24.02	14,550	48,896	287,164	451,642
2022-01-26	$33.30	$34.50	19.9%	6.1%	12.8%	66.6%	19.2%	6.0%	-0.1%	-33.3M	316.2M	-3.9M	0.93	19.08	25,398	23,692	287,808	467,910
2022-01-27	$33.67	$34.00	19.2%	5.8%	13.3%	66.8%	19.7%	5.5%	0.3%	-36.1M	219.8M	-4.1M	1.28	20.76	18,344	23,488	298,196	472,808
2022-01-28	$33.87	$34.00	18.5%	5.6%	13.5%	60.4%	21.2%	5.3%	0.2%	-12.5M	143.9M	-4.1M	1.63	15.90	49,530	80,976	302,648	482,324
2022-01-31	$34.52	$34.50	17.1%	5.1%	15.3%	46.9%	19.1%	4.6%	0.0%	-2.7M	-5.3M	-4.2M	2.32	13.62	23,832	55,198	286,294	495,496