XLU Options History — March 2022

In March 2022, XLU traded between $33.57 and $37.33. ATM implied volatility averaged 19.4%, placing in the 61.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.1% (HV 20d: 18.3%). Max pain ranged from $33.25 to $36.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.71.

Notable Days

2022-03-04: Highest Volume — 153,538 contracts
2022-03-07: Largest IV spike — 11.3% change
2022-03-04: Highest IV Rank — 100.0%
2022-03-08: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.60	$33.57	$37.33	$33.57	$37.33
Max Pain	$34.48	$33.25	$36.50	$33.25	$36.50
ATM IV	19.4%	14.7%	24.5%	21.4%	16.2%
Expected Move	5.7%	4.4%	7.7%	6.5%	4.7%
HV 20d	18.3%	13.7%	21.3%	18.0%	13.7%
HV 60d	16.5%	16.0%	17.1%	16.0%	16.3%
IV Rank	61.1%	20.2%	100.0%	87.8%	32.8%
IV Percentile	83.4%	37.3%	100.0%	99.6%	66.3%
Term Structure	-0.1%	-1.5%	1.0%	-0.6%	0.4%
VWIV	21.0%	15.8%	27.6%	21.9%	16.7%
Skew 25d	4.2%	3.1%	5.5%	4.9%	3.3%
Skew 10d	8.3%	6.2%	11.2%	7.2%	6.9%
Call IV 25d	17.9%	13.8%	22.6%	18.9%	14.8%
Put IV 25d	22.1%	16.9%	27.5%	23.9%	18.0%
Bid-Ask Spread %	16.64	6.82	67.90	10.96	9.20
Gamma HHI	0.10	0.07	0.18	0.08	0.08
Net GEX	8.4M	-4.7M	31.9M	-1.4M	-4.7M
Net DEX	-268.8M	-466.3M	72.2M	72.2M	-453.5M
Net VEX	-4.4M	-4.8M	-4.0M	-4.2M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.71	0.53	7.68	1.08	1.57
Total Volume	93,570.435	44,664	153,538	59,922	95,008
Total OI	953,807.826	766,542	1,108,128	766,542	1,108,128

Daily Data (23 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
2022-03-01	$33.57	$33.25	21.4%	6.5%	18.0%	87.8%	21.9%	4.9%	-0.6%	-1.4M	72.2M	-4.2M	1.08	10.96	28,816	31,106	294,288	472,254
2022-03-02	$34.13	$33.25	19.1%	5.6%	18.8%	65.6%	25.1%	4.7%	-0.1%	3.8M	-47.2M	-4.2M	3.04	9.95	15,226	46,336	294,278	483,542
2022-03-03	$34.65	$33.25	19.8%	6.0%	19.0%	72.0%	22.4%	4.4%	0.3%	6.9M	-172.5M	-4.1M	1.14	10.21	20,880	23,784	291,854	508,370
2022-03-04	$35.29	$33.50	21.8%	6.6%	20.0%	100.0%	25.4%	5.3%	-0.3%	13.6M	-334.0M	-4.0M	1.52	6.82	60,998	92,540	306,802	511,192
2022-03-07	$35.90	$33.25	24.2%	7.6%	20.7%	100.0%	27.6%	5.4%	-0.7%	11.1M	-401.0M	-4.2M	4.00	12.77	19,338	77,266	327,048	568,460
2022-03-08	$35.41	$33.50	24.5%	7.7%	21.2%	100.0%	26.7%	4.8%	-1.1%	9.8M	-293.4M	-4.4M	4.89	7.61	17,492	85,482	333,716	576,670
2022-03-09	$35.33	$33.50	24.1%	7.4%	21.3%	97.1%	26.7%	5.4%	-1.5%	8.9M	-273.0M	-4.4M	7.68	9.71	15,642	120,196	337,074	597,294
2022-03-10	$35.31	$33.50	22.9%	7.1%	21.3%	87.5%	26.4%	4.9%	-0.7%	6.7M	-258.7M	-4.6M	2.77	7.42	24,636	68,250	343,916	642,380
2022-03-11	$35.24	$33.50	22.7%	7.0%	19.0%	85.2%	25.2%	4.3%	-0.3%	9.2M	-235.0M	-4.8M	4.19	67.90	18,104	75,794	347,958	665,780
2022-03-14	$35.17	$33.50	23.0%	6.3%	19.1%	88.1%	27.3%	5.5%	-0.5%	4.9M	-195.5M	-4.7M	4.53	19.17	17,436	78,958	340,770	668,826
2022-03-15	$35.63	$33.50	21.8%	6.0%	18.9%	78.5%	20.4%	4.3%	-0.9%	19.1M	-351.2M	-4.5M	2.98	22.27	15,080	44,926	344,988	691,346
2022-03-16	$35.43	$33.50	19.5%	5.5%	18.7%	59.7%	18.9%	3.9%	1.0%	19.5M	-323.2M	-4.4M	1.83	36.33	26,890	49,114	349,060	694,168
2022-03-17	$35.77	$0.00	18.1%	5.3%	18.7%	48.5%	19.0%	3.5%	0.4%	27.8M	-431.6M	-4.3M	1.36	23.89	35,930	48,946	358,580	697,792
2022-03-18	$35.48	$36.50	16.9%	4.9%	19.1%	38.4%	16.5%	3.1%	-0.2%	8.0M	-396.8M	-4.0M	0.53	17.57	96,984	51,880	377,912	712,398
2022-03-21	$35.35	$35.00	18.0%	4.9%	19.1%	47.2%	17.0%	4.1%	-0.1%	1.7M	-92.0M	-4.6M	0.85	22.85	58,018	49,034	261,752	594,838
2022-03-22	$35.46	$35.50	16.1%	4.7%	19.0%	32.2%	15.8%	3.7%	0.0%	1.9M	-98.0M	-4.5M	1.30	9.59	54,130	70,492	271,292	620,742
2022-03-23	$35.52	$35.50	17.0%	4.9%	17.7%	39.5%	17.8%	3.7%	0.1%	11.2M	-154.4M	-4.6M	3.43	12.05	23,320	79,918	295,376	643,122
2022-03-24	$35.82	$35.50	16.4%	4.7%	17.8%	34.7%	19.8%	3.5%	0.1%	31.9M	-217.8M	-4.5M	4.56	9.93	20,822	95,004	299,768	690,986
2022-03-25	$36.31	$35.50	16.3%	4.7%	15.6%	33.1%	17.3%	3.2%	0.2%	-1.3M	-348.5M	-4.6M	2.00	9.28	18,936	37,950	302,758	759,142
2022-03-28	$36.55	$35.50	15.8%	4.6%	15.5%	29.7%	16.1%	3.3%	0.2%	-2.1M	-310.2M	-4.5M	1.14	15.68	23,110	26,430	278,550	684,440
2022-03-29	$36.90	$36.00	14.7%	4.4%	14.8%	20.2%	16.9%	3.1%	0.4%	3.5M	-400.4M	-4.3M	2.02	9.62	17,806	36,052	290,960	693,332
2022-03-30	$37.20	$36.00	15.5%	4.7%	14.2%	27.3%	17.5%	3.4%	0.3%	2.8M	-466.3M	-4.1M	3.89	22.01	28,260	109,800	295,272	708,406
2022-03-31	$37.33	$36.50	16.2%	4.7%	13.7%	32.8%	16.7%	3.3%	0.4%	-4.7M	-453.5M	-4.5M	1.57	9.20	36,948	58,060	312,520	795,608