XLU Options History — February 2022

In February 2022, XLU traded between $32.55 and $34.66. ATM implied volatility averaged 18.6%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.5% (HV 20d: 16.2%). Max pain ranged from $33.25 to $34.50. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.59.

Notable Days

  • 2022-02-25: Highest Volume — 109,668 contracts
  • 2022-02-10: Largest IV spike — 11.5% change
  • 2022-02-23: Highest IV Rank — 87.5%
  • 2022-02-23: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.63$32.55$34.66$34.22$33.90
Max Pain$33.80$33.25$34.50$34.50$33.25
ATM IV18.6%16.0%21.4%16.9%19.3%
Expected Move5.4%4.6%6.1%4.9%5.8%
HV 20d16.2%14.3%19.1%14.8%19.1%
HV 60d15.6%15.0%16.0%15.2%16.0%
IV Rank61.1%35.9%87.5%44.7%67.7%
IV Percentile87.7%65.9%98.8%77.8%92.9%
Term Structure-0.1%-0.9%0.8%0.2%-0.5%
VWIV18.7%15.7%21.6%17.8%21.6%
Skew 25d5.0%4.0%7.3%4.2%4.7%
Skew 10d10.2%4.9%15.7%6.3%10.1%
Call IV 25d16.6%14.4%18.4%15.3%17.5%
Put IV 25d21.6%18.5%25.6%19.5%22.2%
Bid-Ask Spread %15.635.7165.4818.3511.06
Gamma HHI0.110.080.410.090.09
Net GEX-26.7M-66.3M450.0K-17.5M-773.1K
Net DEX192.3M-43.3M406.9M99.4M3.4M
Net VEX-4.0M-4.2M-3.9M-4.2M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.653.062.662.11
Total Volume59,011.26339,000109,66862,75247,348
Total OI814,657.158731,288874,348808,368740,636

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$34.22$34.5016.9%4.9%14.8%44.7%17.8%4.2%0.2%-17.5M99.4M-4.2M2.6618.3517,15045,602288,730519,638
2022-02-02$34.66$34.5016.3%4.7%15.7%38.8%15.7%4.2%-0.1%-2.0M-43.3M-4.0M0.757.1754,69840,964290,202522,304
2022-02-03$34.48$34.0017.7%5.0%15.7%52.1%17.8%4.3%-0.0%-1.7M-11.9M-4.1M2.9011.9217,14449,762309,822520,868
2022-02-04$34.38$34.0017.4%4.9%15.2%49.9%18.2%4.2%-0.2%-10.6M23.4M-4.1M1.469.6436,40453,042311,880528,608
2022-02-07$34.13$33.5017.5%5.2%14.8%50.5%18.6%4.5%0.6%-15.2M87.1M-4.1M1.509.8326,69240,120311,434515,714
2022-02-08$34.16$34.0016.9%5.0%14.4%44.8%17.5%4.3%0.8%-8.8M77.3M-4.1M3.067.0113,49641,356322,214520,536
2022-02-09$34.30$34.0016.0%4.6%14.3%35.9%16.8%4.0%-0.0%450.0K18.1M-3.9M0.658.6025,23816,500322,790519,344
2022-02-10$33.48$34.0017.8%5.2%16.5%53.2%19.0%4.7%0.5%-49.3M289.5M-4.0M0.709.0736,74025,710315,312519,584
2022-02-11$33.58$34.0019.6%5.6%16.4%70.0%19.4%5.1%0.0%-58.7M271.0M-4.0M1.3113.3118,22023,940327,340528,484
2022-02-14$33.25$34.0020.3%5.9%16.6%77.2%20.4%5.8%-0.6%-39.2M324.8M-3.9M1.275.8620,10425,572310,950514,328
2022-02-15$32.95$34.0019.1%5.5%16.4%65.8%18.5%5.3%0.5%-44.4M406.9M-3.9M1.238.6017,50621,494321,308523,576
2022-02-16$33.24$33.5018.8%5.4%16.5%62.4%17.3%4.9%-0.1%-45.4M327.2M-3.9M1.1443.2325,27028,756326,360521,624
2022-02-17$33.23$33.5020.1%5.8%16.5%75.3%18.2%5.6%-0.6%-41.7M325.7M-4.0M0.746.5833,57024,698335,928524,646
2022-02-18$33.12$33.5020.0%5.7%16.5%74.5%20.2%5.4%0.2%-25.7M360.3M-4.0M1.888.0320,22037,968346,380527,968
2022-02-22$33.05$33.5020.7%5.9%15.9%80.6%20.1%5.8%-0.9%-27.1M276.5M-3.9M2.7010.9511,40630,770256,194475,094
2022-02-23$32.55$33.5021.4%6.1%16.4%87.5%19.7%6.1%-0.9%-28.1M367.9M-3.9M1.905.7113,93426,516267,206477,808
2022-02-24$32.69$33.5020.1%5.9%16.2%75.1%18.9%7.3%-0.5%-25.2M336.8M-3.9M1.0965.4820,88822,748274,672479,224
2022-02-25$33.66$33.5018.0%5.2%19.1%55.3%19.4%5.1%-0.6%-66.3M112.9M-3.9M1.1036.6252,27857,390279,586480,194
2022-02-28$33.90$33.2519.3%5.8%19.1%67.7%21.6%4.7%-0.5%-773.1K3.4M-3.9M2.1111.0615,22632,122278,446462,190