XLU Options History — April 2022

In April 2022, XLU traded between $35.83 and $38.56. ATM implied volatility averaged 19.1%, placing in the 56.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.4% (HV 20d: 12.7%). Max pain ranged from $36.50 to $37.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.32.

Notable Days

  • 2022-04-25: Highest Volume — 245,902 contracts
  • 2022-04-06: Largest IV spike — 11.4% change
  • 2022-04-29: Highest IV Rank — 81.1%
  • 2022-04-29: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.60$35.83$38.56$37.61$35.83
Max Pain$37.27$36.50$37.50$36.50$37.50
ATM IV19.1%15.4%22.1%15.9%22.1%
Expected Move5.5%4.5%6.6%4.6%6.6%
HV 20d12.7%10.1%16.6%12.6%16.6%
HV 60d16.3%16.0%16.7%16.4%16.7%
IV Rank56.2%26.6%81.1%30.1%81.1%
IV Percentile85.8%56.3%97.6%61.1%97.6%
Term Structure-0.1%-0.8%0.5%0.4%-0.8%
VWIV20.4%16.7%23.3%18.3%23.2%
Skew 25d4.4%3.4%5.7%3.8%5.7%
Skew 10d8.8%2.9%11.2%9.5%11.1%
Call IV 25d17.2%14.0%19.5%14.0%19.5%
Put IV 25d21.6%17.8%25.2%17.8%25.2%
Bid-Ask Spread %8.273.2338.5617.095.00
Gamma HHI0.080.070.150.070.08
Net GEX-76.1M-151.0M-7.5M-7.5M-121.7M
Net DEX73.9M-569.8M1.14B-478.8M1.14B
Net VEX-6.3M-7.4M-4.6M-4.6M-7.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.321.686.633.003.73
Total Volume127,52950,790245,902146,828128,538
Total OI1,597,564.51,172,0641,889,0321,172,0641,696,050

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-04-01$37.61$36.5015.9%4.6%12.6%30.1%18.3%3.8%0.4%-7.5M-478.8M-4.6M3.0017.0936,692110,136331,958840,106
2022-04-04$37.46$36.5015.4%4.5%11.7%26.6%16.7%3.8%0.1%-21.5M-380.4M-4.8M2.5716.0414,22636,564342,916897,320
2022-04-05$37.64$36.5016.3%4.8%10.1%33.1%18.6%3.4%0.3%-15.3M-447.4M-4.7M3.2015.3328,02289,716347,014900,932
2022-04-06$38.29$36.5018.1%5.0%11.1%48.2%19.7%4.3%0.1%-12.4M-569.8M-4.8M2.1438.5656,284120,490355,292949,672
2022-04-07$38.36$37.0018.8%5.2%11.0%53.8%21.6%4.5%0.5%-16.8M-509.3M-5.2M6.634.9531,996212,228370,4601,029,262
2022-04-08$38.56$37.5018.4%5.3%10.7%50.7%21.4%4.0%0.1%-17.8M-491.2M-5.6M4.913.7232,028157,258381,4481,175,528
2022-04-11$37.96$37.5020.0%5.6%12.7%63.7%20.5%4.7%-0.4%-53.7M-149.0M-6.3M3.259.1342,992139,672386,8781,243,046
2022-04-12$38.05$37.5020.1%5.6%12.3%64.5%21.4%4.8%-0.5%-66.4M-109.6M-6.5M3.473.9131,306108,552397,2461,327,360
2022-04-13$38.03$37.5018.5%5.3%11.9%51.6%20.5%4.2%0.0%-105.7M-23.3M-6.9M5.434.0920,810113,002407,4361,435,402
2022-04-14$38.09$37.5018.7%5.3%11.7%53.0%20.1%4.3%-0.2%-78.8M-79.8M-6.8M3.153.3123,97075,618401,7201,487,312
2022-04-18$37.75$37.5019.5%5.6%11.8%59.6%19.7%4.2%-0.2%-108.4M239.0M-6.9M2.553.2317,56444,798344,2441,326,748
2022-04-19$38.09$37.5018.0%5.2%11.7%47.4%18.9%4.0%-0.2%-93.2M-7.7M-6.2M2.523.5021,69854,674348,3421,338,698
2022-04-20$38.38$37.5017.2%4.9%11.8%41.1%17.9%3.4%0.0%-69.9M-174.2M-6.0M2.914.1926,44876,858355,8461,329,132
2022-04-21$37.84$37.5019.1%5.5%13.5%56.6%19.9%4.0%-0.2%-108.9M140.1M-6.6M3.585.6818,65866,816355,0281,352,468
2022-04-22$37.38$37.5020.8%6.0%14.3%70.0%20.8%4.8%-0.3%-151.0M448.2M-7.1M2.506.1243,808109,348359,6461,362,704
2022-04-25$36.95$37.5021.1%6.1%14.4%72.4%23.0%4.9%-0.4%-123.8M681.4M-7.4M5.073.8540,510205,392361,9861,344,446
2022-04-26$36.56$37.5022.1%6.5%14.8%80.8%23.3%5.7%-0.4%-119.4M799.2M-7.4M2.185.1026,46657,780368,8901,326,250
2022-04-27$36.42$37.5021.5%6.3%14.4%75.8%20.7%5.6%-0.6%-117.1M818.2M-7.3M1.917.6418,32835,096381,0461,309,080
2022-04-28$36.72$37.5020.1%5.8%14.4%64.2%22.1%4.9%-0.4%-113.2M632.6M-7.0M1.685.0328,47447,764379,6581,302,720
2022-04-29$35.83$37.5022.1%6.6%16.6%81.1%23.2%5.7%-0.8%-121.7M1.14B-7.3M3.735.0027,194101,344384,1741,311,876