XLU Options History — November 2022

In November 2022, XLU traded between $32.86 and $35.70. ATM implied volatility averaged 22.8%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.9% (HV 20d: 26.7%). Max pain ranged from $33.50 to $34.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2022-11-07: Highest Volume — 96,588 contracts
  • 2022-11-10: Largest IV drop — 8.4% change
  • 2022-11-09: Highest IV Rank — 58.9%
  • 2022-11-01: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.14$32.86$35.70$33.55$35.70
Max Pain$34.40$33.50$34.50$33.50$34.50
ATM IV22.8%20.9%24.5%24.4%21.0%
Expected Move6.7%5.8%7.4%7.4%6.5%
HV 20d26.7%23.7%32.0%32.0%25.2%
HV 60d27.7%26.2%29.1%26.3%29.1%
IV Rank50.2%40.1%58.9%58.5%40.7%
IV Percentile78.8%63.1%88.9%88.1%63.5%
Term Structure0.2%-0.7%1.3%0.0%-0.1%
VWIV24.4%20.8%27.4%27.3%25.2%
Skew 25d4.0%3.5%4.6%4.0%4.3%
Skew 10d8.0%6.3%8.7%8.1%8.2%
Call IV 25d21.0%18.8%23.0%22.7%19.1%
Put IV 25d25.1%23.2%26.8%26.8%23.4%
Bid-Ask Spread %8.492.7516.923.267.51
Gamma HHI0.090.060.280.070.09
Net GEX2.1M-20.3M31.6M-1.8M11.4M
Net DEX43.1M-324.4M406.3M148.1M-324.4M
Net VEX-3.8M-4.1M-3.4M-4.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.974.921.554.92
Total Volume59,152.47621,22896,58872,56447,726
Total OI1,044,148.381916,5521,166,0541,048,762946,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$33.55$33.5024.4%7.4%32.0%58.5%27.3%4.0%0.0%-1.8M148.1M-4.0M1.553.2628,40844,156422,926625,836
2022-11-02$33.28$33.5024.5%7.4%31.4%58.8%27.4%3.5%0.0%-7.7M239.7M-4.0M3.098.0420,64863,902414,402632,300
2022-11-03$33.39$34.5023.5%7.0%29.0%53.9%24.9%3.5%0.2%-11.1M251.1M-4.1M3.1916.9214,25045,494411,986647,836
2022-11-04$33.54$34.5023.7%6.8%27.3%54.7%24.4%3.5%0.0%10.8M206.5M-4.0M2.6013.8814,30237,236413,642664,806
2022-11-07$32.92$34.5024.2%7.1%28.3%57.2%25.6%4.0%0.3%-16.7M369.6M-3.8M2.3210.8529,10067,488397,276637,612
2022-11-08$33.22$34.5024.1%7.2%28.3%56.7%26.5%3.8%1.0%-11.7M285.0M-3.8M3.2611.5415,37450,142409,308657,048
2022-11-09$32.86$34.5024.5%7.2%25.4%58.9%25.7%3.9%0.5%-20.3M406.3M-3.8M0.9713.0445,52644,366408,770669,826
2022-11-10$34.37$34.5022.4%6.5%28.5%48.1%24.3%3.6%0.5%12.7M-74.0M-4.0M1.434.5238,80055,532444,566680,402
2022-11-11$34.02$34.5022.7%6.7%27.9%49.4%25.0%3.7%0.9%31.6M13.6M-4.1M1.718.8022,91039,150460,266694,126
2022-11-14$33.77$34.5023.0%6.6%27.3%51.1%25.6%4.3%1.3%-1.2M120.0M-4.0M1.8211.6819,14834,886447,506677,684
2022-11-15$33.98$34.5023.0%6.6%26.9%51.1%23.6%4.2%1.0%1.5M67.8M-4.1M1.8511.4517,25631,866455,192686,022
2022-11-16$34.34$34.5022.2%6.4%26.4%46.9%23.3%3.9%1.2%8.0M-55.8M-4.0M1.4113.5522,57631,906461,662693,428
2022-11-17$33.66$34.5023.3%6.6%25.5%52.4%23.9%4.4%0.5%-4.6M174.5M-3.9M1.575.7422,74035,600463,774693,808
2022-11-18$34.38$34.5022.2%6.3%25.2%47.0%22.5%4.1%1.1%-364.9K-52.7M-3.9M1.3913.4225,34635,230463,226702,828
2022-11-21$34.59$34.5022.7%6.3%25.2%49.7%22.9%4.2%-0.6%4.1M-45.0M-3.8M2.604.6515,57240,454388,238530,350
2022-11-22$34.88$34.5021.6%6.1%24.5%43.6%21.6%4.6%-0.7%8.2M-115.8M-3.8M1.573.8220,43831,990392,854523,698
2022-11-23$35.16$34.5020.9%5.8%24.6%40.1%20.8%4.4%-0.6%11.5M-201.3M-3.7M3.094.3013,21440,888396,036529,438
2022-11-25$35.48$34.5020.9%6.0%24.6%40.2%21.9%4.4%-0.7%15.2M-300.9M-3.5M1.695.518,92615,112397,766528,228
2022-11-28$35.05$34.5022.3%6.8%23.8%47.2%25.8%4.3%-0.7%5.6M-152.1M-3.5M3.422.997,53225,784392,340524,320
2022-11-29$34.78$34.5022.5%6.9%23.7%48.6%24.4%4.4%-0.4%-98.5K-56.1M-3.5M1.242.759,46811,760395,276544,138
2022-11-30$35.70$34.5021.0%6.5%25.2%40.7%25.2%4.3%-0.1%11.4M-324.4M-3.4M4.927.518,06439,662398,844547,526