XLU Options History — June 2022

In June 2022, XLU traded between $32.34 and $37.54. ATM implied volatility averaged 21.2%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 2.1% (HV 20d: 23.3%). Max pain ranged from $34.50 to $37.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2022-06-14: Highest Volume — 210,902 contracts
  • 2022-06-13: Largest IV spike — 20.8% change
  • 2022-06-14: Highest IV Rank — 100.0%
  • 2022-06-16: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.99$32.34$37.54$37.22$35.03
Max Pain$35.83$34.50$37.00$37.00$34.75
ATM IV21.2%17.4%25.5%19.0%21.9%
Expected Move6.1%5.0%7.4%5.6%6.1%
HV 20d23.3%14.8%29.0%18.2%28.9%
HV 60d19.5%16.0%22.1%16.2%22.1%
IV Rank69.4%42.3%100.0%55.2%71.2%
IV Percentile86.6%64.3%100.0%78.2%91.7%
Term Structure-0.1%-0.8%0.5%-0.5%0.5%
VWIV21.7%17.9%26.0%20.5%22.4%
Skew 25d4.4%3.6%5.7%4.7%4.0%
Skew 10d8.1%6.9%10.1%8.9%7.5%
Call IV 25d19.6%15.9%23.7%16.8%20.3%
Put IV 25d24.0%19.9%29.4%21.6%24.3%
Bid-Ask Spread %12.133.1946.599.745.19
Gamma HHI0.090.060.290.080.06
Net GEX-42.6M-103.0M1.4M-43.0M-1.9M
Net DEX439.8M-338.8M1.75B-165.0M10.0M
Net VEX-4.9M-5.2M-4.5M-5.0M-4.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.773.821.351.64
Total Volume76,328.85731,352210,90231,35259,964
Total OI1,304,329.048926,0221,593,8221,463,770958,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$37.22$37.0019.0%5.6%18.2%55.2%20.5%4.7%-0.5%-43.0M-165.0M-5.0M1.359.7413,32218,030370,3101,093,460
2022-06-02$37.30$36.5018.1%5.0%16.4%48.2%19.0%4.6%-0.3%-39.7M-218.5M-4.8M1.1946.5919,04222,648373,1141,098,476
2022-06-03$37.16$36.5018.4%5.3%15.5%50.9%18.6%4.8%-0.1%-42.5M-188.5M-4.8M1.9612.1521,58442,334377,4581,096,786
2022-06-06$37.35$37.0018.4%5.1%15.2%50.4%20.0%4.4%-0.2%-40.3M-243.3M-4.8M3.824.2315,10257,738376,0941,085,530
2022-06-07$37.54$37.0017.4%5.0%14.8%42.3%17.9%4.0%0.2%-33.8M-338.8M-4.6M2.747.0111,09430,434380,8721,125,064
2022-06-08$36.88$37.0017.8%5.1%15.3%45.3%18.0%4.2%0.2%-66.4M-27.0M-4.8M1.634.7726,66043,578382,5321,122,336
2022-06-09$36.07$37.0019.3%5.5%17.4%57.6%18.7%3.8%0.0%-92.8M399.0M-5.1M1.8718.3220,42238,216388,6921,131,028
2022-06-10$35.86$37.0020.2%5.6%17.0%65.2%19.1%4.2%-0.6%-102.1M531.9M-5.2M0.7717.3942,18632,570391,8181,142,550
2022-06-13$33.97$37.0024.4%7.0%25.2%99.4%24.7%5.6%-0.8%-103.0M1.45B-5.0M1.6518.7065,910108,946398,2721,132,178
2022-06-14$33.21$36.5025.1%7.2%26.1%100.0%26.0%5.3%-0.3%-78.7M1.62B-4.8M1.2810.9992,672118,230440,1321,096,608
2022-06-15$33.49$35.0023.5%6.7%26.2%87.4%23.3%4.6%0.1%-80.7M1.44B-4.9M1.4831.9347,27869,848483,2741,110,548
2022-06-16$32.65$35.0025.5%7.4%27.3%100.0%24.3%5.7%-0.8%-63.3M1.69B-4.6M2.356.1526,73862,840495,6381,085,902
2022-06-17$32.34$35.0023.8%6.9%27.3%86.2%23.8%4.3%-0.5%-58.0M1.75B-4.5M1.2917.6952,85068,120511,7341,077,246
2022-06-21$32.84$34.5022.9%6.7%28.1%79.2%24.9%4.7%-0.1%-16.1M508.4M-4.7M2.5212.2521,18253,362373,530552,492
2022-06-22$33.23$35.0023.2%6.5%28.2%81.6%22.9%4.3%-0.0%-15.2M435.0M-4.9M1.399.9027,36437,954370,130577,438
2022-06-23$33.94$35.0022.2%6.4%27.8%73.8%23.9%4.1%0.1%-7.0M250.7M-5.0M0.823.8333,58827,674381,012585,588
2022-06-24$34.55$35.0021.1%6.0%28.9%64.6%22.3%3.6%0.3%1.4M78.0M-5.0M0.976.4727,12826,212390,248589,008
2022-06-27$34.77$35.0021.2%6.1%29.0%65.9%21.3%4.1%0.1%-3.2M67.8M-5.0M1.874.6615,39628,754359,798582,100
2022-06-28$34.67$34.7521.3%6.1%28.5%66.8%22.0%4.0%0.0%-3.7M93.6M-4.9M1.483.1915,64423,190362,386586,870
2022-06-29$34.66$35.0021.4%6.1%28.4%67.3%23.0%4.0%0.1%-5.2M93.2M-4.8M1.823.5613,14623,956362,574591,906
2022-06-30$35.03$34.7521.9%6.1%28.9%71.2%22.4%4.0%0.5%-1.9M10.0M-4.9M1.645.1922,69637,268365,786592,392