XLU Options History — July 2022

In July 2022, XLU traded between $34.21 and $37.01. ATM implied volatility averaged 20.4%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 5.5% (HV 20d: 25.9%). Max pain ranged from $34.75 to $35.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2022-07-15: Highest Volume — 139,088 contracts
  • 2022-07-05: Largest IV spike — 12.4% change
  • 2022-07-05: Highest IV Rank — 84.8%
  • 2022-07-05: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.09$34.21$37.01$35.95$37.01
Max Pain$35.04$34.75$35.50$34.75$35.00
ATM IV20.4%17.7%23.6%21.0%17.7%
Expected Move5.8%4.9%6.7%5.7%4.9%
HV 20d25.9%20.4%33.5%30.6%23.4%
HV 60d23.6%22.8%23.9%22.8%23.9%
IV Rank59.4%38.2%84.8%64.2%38.2%
IV Percentile77.7%52.4%97.2%85.7%52.4%
Term Structure-0.2%-0.8%0.2%-0.1%-0.3%
VWIV20.6%17.7%23.5%21.0%17.7%
Skew 25d3.6%3.0%4.1%3.3%3.0%
Skew 10d7.3%5.8%8.4%6.2%5.8%
Call IV 25d18.8%16.4%22.2%19.7%16.4%
Put IV 25d22.5%19.4%26.2%23.0%19.4%
Bid-Ask Spread %6.633.2218.423.923.91
Gamma HHI0.080.060.170.070.17
Net GEX-7.0M-26.0M30.3M2.8M30.3M
Net DEX38.7M-533.3M336.8M-243.0M-533.3M
Net VEX-4.7M-5.0M-4.2M-4.8M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.913.370.912.59
Total Volume60,330.536,436139,08892,22260,000
Total OI1,005,431.1944,9461,035,126986,8701,020,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$35.95$34.7521.0%5.7%30.6%64.2%21.0%3.3%-0.1%2.8M-243.0M-4.8M0.913.9248,34643,876374,926611,944
2022-07-05$34.64$35.0023.6%6.7%33.0%84.8%23.5%4.0%-0.2%-8.5M132.7M-4.9M1.173.6755,10864,394372,838609,750
2022-07-06$35.16$35.0022.7%6.3%33.5%77.3%23.2%3.7%-0.4%-7.0M11.8M-5.0M0.963.8430,22029,126372,442637,534
2022-07-07$35.04$35.0021.7%6.1%33.4%69.6%21.6%3.3%-0.2%-9.6M43.8M-4.9M1.373.2220,47828,040371,712643,792
2022-07-08$34.98$35.0020.9%5.9%33.0%63.7%20.9%3.1%-0.3%-11.6M47.3M-4.8M1.344.7319,35625,912375,662649,022
2022-07-11$35.02$35.0021.8%6.1%32.2%70.3%21.2%3.7%-0.2%-9.3M49.7M-4.8M2.743.8411,24830,786369,156638,298
2022-07-12$34.87$35.0022.3%6.2%32.1%74.3%21.6%4.0%-0.8%-12.8M100.6M-4.8M3.374.2610,37834,994371,834647,324
2022-07-13$34.85$35.5021.7%6.1%25.4%69.7%21.4%3.7%-0.6%-14.4M117.4M-4.8M2.174.3711,79825,554372,402662,714
2022-07-14$34.76$35.5021.3%6.0%23.9%66.3%20.9%3.9%-0.5%-14.5M140.8M-4.8M3.084.6710,75433,154373,718658,992
2022-07-15$34.88$35.0019.8%5.7%23.7%54.2%20.3%3.6%-0.1%-4.4M95.5M-4.7M1.298.0560,71678,372378,726656,400
2022-07-18$34.45$35.0020.6%5.9%22.1%61.1%21.3%3.8%-0.1%-15.1M221.0M-4.8M1.0916.1820,90822,708341,406603,540
2022-07-19$34.69$35.0019.9%5.7%21.7%55.1%21.0%4.0%0.2%-11.7M164.9M-4.7M1.8911.3520,74039,262342,350609,400
2022-07-20$34.22$35.0020.1%5.8%22.1%56.6%20.9%4.1%-0.1%-23.3M320.1M-4.8M2.086.8823,36048,576346,298630,598
2022-07-21$34.21$35.0019.1%5.5%21.8%49.2%19.3%3.6%0.2%-26.0M336.8M-4.7M1.343.4619,03825,560353,900660,070
2022-07-22$34.59$35.0018.7%5.3%20.8%46.0%18.8%3.2%0.2%-18.1M216.9M-4.8M1.304.6126,17834,160358,276665,382
2022-07-25$35.06$35.0019.1%5.4%20.4%49.3%19.5%3.7%-0.2%-7.1M80.2M-4.7M1.8318.4214,98627,396357,588645,542
2022-07-26$35.33$35.0019.5%5.5%20.5%52.0%19.8%3.8%-0.2%-2.4M-12.2M-4.7M2.054.0615,89432,574362,274651,742
2022-07-27$35.45$35.0018.7%5.3%20.5%45.9%19.3%3.8%-0.2%3.2M-76.5M-4.5M1.825.0012,93223,504365,612636,894
2022-07-28$36.66$35.0018.1%5.1%23.5%41.2%18.5%3.2%0.1%19.2M-440.4M-4.3M1.7314.2424,28441,940369,724638,090
2022-07-29$37.01$35.0017.7%4.9%23.4%38.2%17.7%3.0%-0.3%30.3M-533.3M-4.2M2.593.9116,69443,306373,164647,586