XLU Options History — August 2022

In August 2022, XLU traded between $36.94 and $38.88. ATM implied volatility averaged 17.7%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 14.7%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.56.

Notable Days

2022-08-23: Highest Volume — 135,238 contracts
2022-08-22: Largest IV spike — 10.9% change
2022-08-30: Highest IV Rank — 55.0%
2022-08-30: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.89	$36.94	$38.88	$36.94	$37.25
Max Pain	$35.89	$35.00	$37.00	$35.00	$37.00
ATM IV	17.7%	16.0%	19.9%	18.2%	19.2%
Expected Move	5.0%	4.6%	5.6%	5.2%	5.5%
HV 20d	14.7%	10.1%	21.8%	21.8%	13.0%
HV 60d	22.7%	22.2%	23.4%	23.4%	22.6%
IV Rank	38.2%	24.3%	55.0%	41.7%	49.6%
IV Percentile	51.2%	31.0%	73.0%	58.3%	68.3%
Term Structure	0.1%	-0.5%	2.4%	-0.3%	-0.2%
VWIV	18.4%	17.2%	20.9%	18.3%	20.9%
Skew 25d	3.7%	2.5%	5.2%	3.5%	4.3%
Skew 10d	7.0%	4.8%	9.2%	7.3%	8.8%
Call IV 25d	16.2%	14.7%	17.6%	16.9%	17.3%
Put IV 25d	19.8%	17.8%	22.0%	20.4%	21.6%
Bid-Ask Spread %	8.02	2.17	90.27	4.00	2.92
Gamma HHI	0.09	0.06	0.14	0.11	0.08
Net GEX	-6.5M	-68.9M	23.4M	17.9M	-36.2M
Net DEX	-512.0M	-906.4M	-12.9M	-467.5M	-12.9M
Net VEX	-4.0M	-4.6M	-3.3M	-4.2M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.56	1.27	9.46	2.35	5.67
Total Volume	60,527.739	29,362	135,238	51,154	105,904
Total OI	1,098,664.348	1,015,150	1,206,210	1,015,150	1,145,174

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
2022-08-01	$36.94	$35.00	18.2%	5.2%	21.8%	41.7%	18.3%	3.5%	-0.3%	17.9M	-467.5M	-4.2M	2.35	4.00	15,284	35,870	365,792	649,358
2022-08-02	$37.09	$35.00	18.9%	5.4%	16.5%	47.3%	19.5%	3.8%	-0.3%	16.7M	-486.2M	-4.3M	3.37	15.18	15,730	53,084	368,826	651,224
2022-08-03	$37.15	$35.50	18.1%	5.0%	15.9%	40.7%	18.7%	3.4%	-0.4%	17.2M	-501.2M	-4.2M	3.15	3.74	14,516	45,682	374,050	674,858
2022-08-04	$37.28	$35.00	18.1%	5.1%	15.8%	41.1%	18.8%	3.0%	-0.5%	23.4M	-580.2M	-4.0M	2.19	3.03	16,512	36,214	378,194	679,136
2022-08-05	$37.09	$35.00	17.6%	5.0%	16.0%	37.1%	17.2%	3.5%	-0.2%	18.6M	-509.3M	-4.2M	2.98	2.82	14,820	44,228	383,416	688,756
2022-08-08	$37.16	$35.00	17.6%	5.2%	16.0%	37.2%	18.8%	3.8%	0.7%	20.5M	-500.0M	-4.2M	3.15	3.31	9,808	30,866	379,368	678,252
2022-08-09	$37.55	$35.00	18.0%	5.1%	15.9%	40.4%	18.4%	3.3%	-0.2%	20.3M	-644.6M	-3.9M	3.65	3.02	8,302	30,290	380,690	686,736
2022-08-10	$37.72	$35.00	16.8%	5.0%	15.8%	31.0%	17.5%	3.2%	0.5%	17.9M	-688.2M	-3.8M	3.39	3.89	7,682	26,048	383,040	702,886
2022-08-11	$37.72	$35.00	17.0%	5.0%	15.7%	32.0%	17.9%	3.0%	0.6%	17.1M	-682.1M	-3.9M	2.87	3.58	8,618	24,714	385,150	729,452
2022-08-12	$38.31	$35.50	16.1%	4.6%	16.2%	25.4%	18.3%	2.9%	-0.0%	11.7M	-807.4M	-3.8M	1.42	2.35	13,154	18,626	388,002	739,600
2022-08-15	$38.64	$35.50	16.5%	4.7%	14.9%	28.5%	17.9%	3.3%	0.3%	8.1M	-889.2M	-3.4M	2.74	2.40	7,850	21,512	383,186	712,612
2022-08-16	$38.80	$36.00	16.0%	4.6%	14.9%	24.3%	17.2%	3.0%	1.2%	7.0M	-906.4M	-3.4M	2.79	4.37	11,962	33,340	385,516	724,628
2022-08-17	$38.77	$36.00	17.3%	4.9%	13.3%	34.3%	17.4%	5.2%	2.4%	-1.6M	-877.7M	-3.3M	5.74	90.27	7,636	43,828	389,160	744,168
2022-08-18	$38.88	$36.00	16.4%	4.6%	13.2%	27.4%	17.3%	2.5%	0.8%	-6.5M	-864.3M	-3.6M	4.32	4.90	12,486	53,988	391,490	778,240
2022-08-19	$38.83	$36.00	16.8%	4.7%	13.3%	30.9%	17.8%	3.2%	1.2%	-10.3M	-808.9M	-3.7M	4.62	2.35	18,804	86,916	393,700	812,510
2022-08-22	$38.27	$36.50	18.6%	5.1%	14.8%	45.4%	19.5%	4.1%	-0.5%	-32.5M	-277.0M	-4.2M	5.38	2.68	13,988	75,214	316,572	743,608
2022-08-23	$38.13	$36.50	18.6%	5.2%	15.0%	45.2%	19.1%	4.2%	-0.1%	-39.2M	-240.8M	-4.3M	9.46	2.25	12,932	122,306	323,522	758,872
2022-08-24	$38.19	$37.00	17.8%	5.0%	15.0%	38.7%	18.0%	4.1%	-0.2%	-41.6M	-251.2M	-4.3M	3.29	2.17	11,100	36,528	323,472	776,756
2022-08-25	$38.41	$37.00	16.9%	4.6%	10.1%	31.4%	17.7%	3.7%	-0.2%	-38.7M	-339.3M	-4.2M	2.06	2.27	12,600	25,964	327,884	787,896
2022-08-26	$37.88	$37.00	18.6%	5.1%	11.3%	45.5%	18.3%	4.4%	-0.3%	-68.9M	-158.9M	-4.4M	3.94	2.97	13,064	51,454	334,076	803,124
2022-08-29	$38.05	$37.00	19.1%	5.3%	11.3%	48.9%	19.7%	5.0%	-0.4%	-34.8M	-225.6M	-4.4M	1.27	5.36	40,532	51,304	330,034	781,802
2022-08-30	$37.41	$37.00	19.9%	5.6%	12.9%	55.0%	19.3%	4.4%	-0.4%	-34.7M	-56.8M	-4.6M	2.04	14.75	16,740	34,138	354,868	779,624
2022-08-31	$37.25	$37.00	19.2%	5.5%	13.0%	49.6%	20.9%	4.3%	-0.2%	-36.2M	-12.9M	-4.4M	5.67	2.92	15,880	90,024	358,926	786,248