XLU Options History — September 2022

In September 2022, XLU traded between $32.94 and $39.01. ATM implied volatility averaged 21.9%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.9% (HV 20d: 19.9%). Max pain ranged from $37.00 to $38.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.01.

Notable Days

  • 2022-09-27: Highest Volume — 338,634 contracts
  • 2022-09-29: Largest IV spike — 11.7% change
  • 2022-09-26: Highest IV Rank — 100.0%
  • 2022-09-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.78$32.94$39.01$37.59$32.94
Max Pain$37.79$37.00$38.50$37.00$37.00
ATM IV21.9%18.3%27.6%20.0%26.5%
Expected Move6.3%5.2%8.1%5.7%7.7%
HV 20d19.9%13.3%27.5%13.3%27.2%
HV 60d20.0%18.4%22.7%22.7%20.4%
IV Rank68.0%40.7%100.0%55.8%92.6%
IV Percentile82.2%54.0%100.0%73.8%99.6%
Term Structure-0.2%-1.1%1.4%-0.0%-0.0%
VWIV22.7%19.7%29.1%20.0%26.3%
Skew 25d4.6%3.7%5.6%4.7%5.5%
Skew 10d9.2%7.4%13.0%9.0%9.6%
Call IV 25d19.9%17.0%25.1%17.8%24.2%
Put IV 25d24.5%20.9%30.7%22.4%29.7%
Bid-Ask Spread %10.143.0839.973.396.35
Gamma HHI0.130.070.650.070.65
Net GEX-77.2M-281.7M-28.2M-41.1M-281.7M
Net DEX350.4M-562.9M1.67B-77.8M1.67B
Net VEX-4.7M-5.2M-4.0M-4.7M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.011.376.032.331.37
Total Volume132,865.14349,840338,63475,210233,286
Total OI1,264,346.3811,079,7481,519,3721,193,2881,357,042

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$37.59$37.0020.0%5.7%13.3%55.8%20.0%4.7%-0.0%-41.1M-77.8M-4.7M2.333.3922,57452,636360,856832,432
2022-09-02$37.23$37.0019.6%5.6%13.7%53.1%19.7%4.3%-0.2%-48.2M89.4M-4.7M1.483.0829,98044,300368,856862,386
2022-09-06$37.48$38.0020.1%5.7%13.8%57.1%22.0%4.8%-0.1%-45.7M-49.6M-4.4M4.105.5514,67460,200361,578850,246
2022-09-07$38.56$38.0019.4%5.6%16.7%49.7%21.7%4.1%-0.1%-28.2M-449.8M-4.1M2.818.3426,51474,502364,396874,904
2022-09-08$38.42$38.0019.1%5.5%16.8%47.4%22.2%3.9%0.2%-40.3M-384.8M-4.3M6.038.9621,572129,972371,362917,780
2022-09-09$38.78$38.0018.3%5.2%17.0%40.7%20.9%3.9%0.3%-43.5M-470.8M-4.3M4.4210.3812,70256,136373,826994,180
2022-09-12$39.01$38.0018.6%5.3%16.3%43.0%20.1%4.0%0.1%-34.5M-562.9M-4.0M3.7519.1117,55465,902366,788970,628
2022-09-13$37.91$38.5020.3%5.8%19.0%57.1%21.3%4.6%0.1%-74.2M-91.3M-4.5M2.676.5448,380129,414374,4201,008,374
2022-09-14$38.34$38.0019.6%5.4%19.5%51.8%21.1%4.9%-0.7%-79.2M-244.8M-4.7M2.0539.9730,75263,074403,8561,080,112
2022-09-15$37.41$38.0021.8%5.9%21.3%69.8%20.4%3.7%-1.1%-99.0M263.3M-4.9M2.2824.6236,36482,810418,8741,096,440
2022-09-16$37.32$38.0020.6%5.8%21.2%60.0%22.1%4.2%-0.3%-66.7M229.5M-4.9M2.6112.1237,70898,572435,1301,084,242
2022-09-19$37.41$38.0020.3%5.8%21.3%57.6%20.9%4.7%-0.2%-67.2M275.5M-4.8M2.4814.0615,77439,042286,466793,282
2022-09-20$37.01$38.0021.6%6.2%21.0%68.2%22.7%4.5%-0.2%-73.6M439.5M-5.0M2.014.2834,15668,554293,306798,440
2022-09-21$36.54$38.0021.8%6.2%21.4%69.3%21.1%4.5%-0.3%-77.9M594.1M-5.0M2.309.3115,10234,738313,318813,968
2022-09-22$36.51$38.0022.5%6.5%21.3%75.3%21.7%4.3%-0.5%-84.6M629.2M-5.2M1.489.1649,07672,414317,662826,982
2022-09-23$35.84$37.7524.6%7.0%21.8%92.8%24.5%4.5%1.4%-88.1M872.9M-5.1M4.935.5436,926182,170325,414838,318
2022-09-26$35.18$37.7525.9%7.5%22.2%100.0%26.3%5.4%-0.8%-91.5M1.03B-5.0M3.446.7133,180113,990319,788844,028
2022-09-27$34.44$37.5026.4%7.8%22.9%100.0%27.6%5.6%-0.3%-81.3M1.21B-4.7M4.964.4356,796281,838340,710832,260
2022-09-28$34.96$37.5024.7%7.2%23.5%87.0%26.1%5.1%-0.2%-96.5M917.7M-5.1M1.875.1830,71457,298366,696871,772
2022-09-29$33.47$37.5027.6%8.1%27.5%100.0%29.1%5.6%-0.4%-78.7M1.47B-4.6M3.845.9157,630221,192370,080870,076
2022-09-30$32.94$37.0026.5%7.7%27.2%92.6%26.3%5.5%-0.0%-281.7M1.67B-4.5M1.376.3598,310134,976408,240948,802