XLU Options History — October 2022

In October 2022, XLU traded between $30.81 and $34.34. ATM implied volatility averaged 28.1%, placing in the 84.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.9% (HV 20d: 32.0%). Max pain ranged from $33.50 to $37.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.67.

Notable Days

2022-10-12: Highest Volume — 235,364 contracts
2022-10-06: Largest IV spike — 7.1% change
2022-10-06: Highest IV Rank — 100.0%
2022-10-12: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.34	$30.81	$34.34	$33.73	$33.41
Max Pain	$34.29	$33.50	$37.00	$37.00	$33.50
ATM IV	28.1%	24.5%	32.3%	27.2%	24.7%
Expected Move	8.1%	7.3%	9.1%	8.0%	7.5%
HV 20d	32.0%	27.8%	36.5%	29.2%	32.7%
HV 60d	24.4%	21.1%	26.3%	21.1%	26.3%
IV Rank	84.2%	58.7%	100.0%	97.3%	60.0%
IV Percentile	96.8%	88.9%	100.0%	99.6%	90.1%
Term Structure	-0.5%	-1.4%	0.1%	-0.5%	-0.1%
VWIV	29.3%	26.4%	31.6%	28.5%	30.8%
Skew 25d	5.0%	4.0%	6.2%	4.8%	4.2%
Skew 10d	10.2%	8.2%	11.8%	8.9%	8.8%
Call IV 25d	26.0%	22.8%	30.3%	24.8%	23.1%
Put IV 25d	31.1%	26.9%	36.4%	29.7%	27.2%
Bid-Ask Spread %	4.37	2.41	6.77	6.53	3.99
Gamma HHI	0.10	0.07	0.13	0.08	0.07
Net GEX	-28.9M	-62.3M	4.3M	-51.1M	-4.1M
Net DEX	956.8M	70.7M	1.55B	1.00B	187.2M
Net VEX	-4.1M	-5.1M	-3.6M	-4.8M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.56	4.10	0.90	3.46
Total Volume	120,449.429	57,510	235,364	172,590	74,754
Total OI	1,267,818.476	1,007,642	1,452,942	1,228,854	1,042,722

Daily Data (21 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
2022-10-03	$33.73	$37.00	27.2%	8.0%	29.2%	97.3%	28.5%	4.8%	-0.5%	-51.1M	1.00B	-4.8M	0.90	6.53	90,648	81,942	415,930	812,924
2022-10-04	$34.34	$37.00	25.9%	7.5%	30.0%	88.6%	26.8%	4.9%	-0.3%	-43.3M	776.8M	-5.1M	1.07	5.85	34,962	37,496	462,544	826,870
2022-10-05	$33.69	$37.00	26.7%	7.7%	27.8%	94.0%	26.4%	4.8%	-0.8%	-45.7M	1.02B	-4.8M	1.20	4.50	61,486	73,838	462,982	831,914
2022-10-06	$32.59	$36.00	28.6%	8.0%	29.3%	100.0%	26.8%	5.0%	-0.4%	-50.8M	1.35B	-4.3M	1.54	5.56	56,370	87,000	444,654	826,116
2022-10-07	$31.78	$35.00	29.0%	8.0%	29.2%	100.0%	27.2%	5.3%	-0.5%	-62.3M	1.54B	-3.9M	2.29	2.86	59,256	135,748	476,652	847,224
2022-10-10	$31.99	$35.00	29.6%	8.2%	29.2%	100.0%	28.4%	5.7%	-0.9%	-48.5M	1.40B	-4.0M	1.21	3.54	41,968	50,980	473,374	824,128
2022-10-11	$31.89	$34.00	30.1%	8.5%	28.5%	100.0%	28.8%	5.6%	-0.7%	-45.9M	1.35B	-4.1M	1.30	3.95	50,572	65,802	496,946	816,494
2022-10-12	$30.81	$33.50	32.3%	9.1%	28.8%	100.0%	31.2%	6.2%	-0.7%	-38.7M	1.55B	-3.8M	2.55	3.27	66,392	168,972	533,524	836,730
2022-10-13	$31.57	$33.50	31.0%	8.7%	30.9%	93.4%	30.7%	5.3%	-0.9%	-33.7M	1.31B	-4.1M	0.67	6.77	111,100	74,024	572,970	841,608
2022-10-14	$31.02	$33.50	30.4%	8.6%	31.0%	90.2%	29.4%	5.1%	-1.1%	-30.5M	1.37B	-3.9M	1.25	3.61	40,004	49,834	616,976	835,966
2022-10-17	$31.75	$33.50	30.0%	8.6%	32.8%	88.0%	29.5%	5.5%	-1.4%	-28.4M	1.15B	-4.0M	0.56	2.41	63,232	35,436	567,016	821,778
2022-10-18	$32.27	$33.50	28.5%	8.1%	33.9%	80.0%	29.7%	5.2%	-0.7%	-24.1M	979.7M	-4.1M	0.97	3.34	29,192	28,318	577,556	824,214
2022-10-19	$31.86	$33.50	28.9%	8.3%	33.9%	82.1%	31.1%	5.5%	-0.7%	-24.8M	1.13B	-3.9M	2.09	6.38	39,736	83,224	582,196	829,236
2022-10-20	$31.02	$33.50	29.2%	8.4%	34.5%	83.6%	31.6%	5.8%	-0.7%	-40.2M	1.30B	-3.6M	2.19	5.72	37,470	81,926	594,372	818,270
2022-10-21	$31.79	$33.50	27.9%	8.1%	36.2%	76.9%	29.5%	4.9%	-0.5%	-18.0M	1.07B	-3.8M	1.55	6.10	35,406	54,818	605,572	832,912
2022-10-24	$31.93	$33.50	27.9%	8.2%	36.0%	77.0%	29.8%	4.8%	0.1%	-13.3M	518.0M	-3.8M	1.59	3.44	24,952	39,668	416,968	590,674
2022-10-25	$32.58	$33.50	26.3%	7.8%	36.5%	68.3%	29.6%	4.3%	0.1%	-5.6M	369.9M	-4.0M	0.99	2.98	79,030	78,440	420,742	602,952
2022-10-26	$32.63	$33.50	25.8%	7.7%	35.9%	66.0%	30.8%	4.3%	-0.1%	-1.7M	339.9M	-4.0M	4.10	3.51	19,292	79,190	456,146	600,662
2022-10-27	$32.83	$33.50	25.6%	7.7%	32.8%	64.9%	31.6%	4.0%	0.1%	-506.8K	304.0M	-4.2M	2.57	3.55	20,578	52,872	457,650	634,798
2022-10-28	$33.70	$33.50	24.5%	7.3%	33.6%	58.7%	26.6%	4.1%	0.1%	4.3M	70.7M	-4.2M	1.11	3.97	63,344	70,166	456,044	635,182
2022-10-31	$33.41	$33.50	24.7%	7.5%	32.7%	60.0%	30.8%	4.2%	-0.1%	-4.1M	187.2M	-4.1M	3.46	3.99	16,778	57,976	421,454	621,268