XLU Options History — May 2022

In May 2022, XLU traded between $35.20 and $37.61. ATM implied volatility averaged 20.9%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.3% (HV 20d: 19.5%). Max pain ranged from $37.00 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.74.

Notable Days

  • 2022-05-02: Highest Volume — 259,232 contracts
  • 2022-05-04: Largest IV drop — 15.8% change
  • 2022-05-11: Highest IV Rank — 89.5%
  • 2022-05-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.09$35.20$37.61$35.20$37.22
Max Pain$37.07$37.00$37.50$37.50$37.00
ATM IV20.9%18.0%23.2%22.3%18.9%
Expected Move6.0%5.2%6.8%6.8%5.6%
HV 20d19.5%17.1%21.2%17.1%18.2%
HV 60d17.5%16.6%18.1%17.1%16.6%
IV Rank70.5%47.4%89.5%82.5%54.4%
IV Percentile89.8%73.4%98.8%97.6%78.2%
Term Structure0.0%-0.7%0.9%-0.3%-0.1%
VWIV22.5%19.0%25.5%24.8%20.0%
Skew 25d5.3%3.8%6.9%6.0%4.7%
Skew 10d10.0%6.9%13.7%11.6%7.9%
Call IV 25d18.6%16.2%20.8%19.6%16.9%
Put IV 25d23.8%20.3%26.6%25.6%21.6%
Bid-Ask Spread %6.023.9012.026.124.48
Gamma HHI0.090.080.100.090.08
Net GEX-97.3M-132.3M-26.0M-118.7M-39.8M
Net DEX678.5M-339.1M1.37B1.37B-173.6M
Net VEX-6.1M-7.1M-5.0M-7.1M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.749.858.071.77
Total Volume95,150.95240,112259,232259,23242,360
Total OI1,650,710.4761,414,9821,773,4621,651,2261,448,538

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$35.20$37.5022.3%6.8%17.1%82.5%24.8%6.0%-0.3%-118.7M1.37B-7.1M8.076.1228,588230,644385,7421,265,484
2022-05-03$35.35$37.5021.4%6.4%17.3%74.9%21.9%6.9%-0.4%-132.3M1.28B-7.1M2.785.5822,44662,346395,6401,349,882
2022-05-04$36.19$37.5018.0%5.3%19.6%47.4%19.0%4.9%0.0%-128.7M772.9M-6.7M1.495.4134,07850,658394,6201,349,066
2022-05-05$35.69$37.0020.8%6.1%18.6%70.0%21.7%5.9%0.1%-126.2M1.08B-6.8M1.9612.0218,48236,208393,7921,338,936
2022-05-06$36.11$37.0021.0%5.9%19.3%71.6%23.1%5.3%-0.1%-105.0M812.3M-6.6M3.316.5916,47654,546400,7121,339,806
2022-05-09$35.86$37.0023.2%6.4%19.1%89.3%23.8%5.8%-0.7%-111.3M872.1M-6.6M0.886.9437,12032,700388,1541,308,754
2022-05-10$35.33$37.0023.0%6.4%19.1%88.1%23.7%6.1%-0.5%-122.7M1.18B-6.6M3.385.8045,404153,274408,6101,318,116
2022-05-11$35.63$37.0023.2%6.6%19.4%89.5%24.6%5.7%-0.2%-114.1M981.2M-6.6M2.075.1917,64036,566411,2321,317,878
2022-05-12$35.23$37.0023.2%6.8%19.6%89.3%25.5%5.8%0.6%-125.7M1.24B-6.6M9.226.0812,100111,604410,2901,323,462
2022-05-13$35.73$37.0021.4%6.2%20.5%74.7%23.4%5.3%0.5%-119.5M946.5M-6.4M2.874.9416,53047,386410,9481,342,132
2022-05-16$35.80$37.0020.7%5.9%20.5%68.9%22.4%5.0%0.7%-120.2M859.8M-5.9M2.324.0812,06628,046400,2881,303,288
2022-05-17$36.08$37.0019.8%5.7%20.4%61.9%21.8%4.8%0.3%-107.0M653.3M-5.6M3.685.5113,84850,952404,8701,299,050
2022-05-18$35.79$37.0021.1%6.1%20.1%72.8%23.5%5.1%0.7%-116.6M828.8M-5.8M5.445.1815,19882,602406,4041,296,608
2022-05-19$35.74$37.0021.1%6.1%19.7%72.8%23.4%5.0%-0.4%-129.0M880.1M-5.7M9.859.3611,414112,418411,4961,324,834
2022-05-20$35.81$37.0020.5%5.8%19.5%68.0%21.3%5.1%0.9%-75.3M843.9M-5.8M7.976.0713,178104,978412,9781,360,484
2022-05-23$36.20$37.0020.0%5.7%19.6%63.9%20.7%5.1%-0.2%-79.1M390.0M-5.6M0.743.9063,41846,700303,8081,111,174
2022-05-24$37.09$37.0020.8%6.0%21.2%70.1%22.3%5.1%-0.1%-53.0M-31.5M-5.6M2.044.7426,85654,894348,8221,123,280
2022-05-25$37.02$37.0020.3%6.1%21.1%65.9%23.5%4.9%-0.4%-51.7M-25.4M-5.5M3.067.8923,44271,658357,6721,126,806
2022-05-26$37.22$37.0019.1%5.5%21.0%56.4%20.5%4.4%-0.3%-40.9M-166.1M-5.2M0.916.4433,35830,274361,0861,112,248
2022-05-27$37.61$37.0018.2%5.2%19.1%48.9%22.3%3.8%0.1%-26.0M-339.1M-5.0M4.694.1116,81078,904374,7881,123,142
2022-05-31$37.22$37.0018.9%5.6%18.2%54.4%20.0%4.7%-0.1%-39.8M-173.6M-5.0M1.774.4815,27627,084366,8861,081,652