XLU Options History — December 2022

In December 2022, XLU traded between $34.70 and $36.39. ATM implied volatility averaged 20.0%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.0% (HV 20d: 20.0%). Max pain ranged from $34.00 to $34.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.28.

Notable Days

  • 2022-12-16: Highest Volume — 112,436 contracts
  • 2022-12-13: Largest IV drop — 6.3% change
  • 2022-12-07: Highest IV Rank — 41.2%
  • 2022-12-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.49$34.70$36.39$35.77$35.22
Max Pain$34.36$34.00$34.50$34.50$34.50
ATM IV20.0%18.8%21.1%20.6%20.4%
Expected Move5.7%5.3%6.4%6.4%5.7%
HV 20d20.0%16.4%25.3%24.8%16.8%
HV 60d27.3%24.9%28.6%28.5%24.9%
IV Rank35.1%28.6%41.2%38.2%37.4%
IV Percentile50.1%36.1%65.1%58.3%55.2%
Term Structure0.2%-0.5%0.8%-0.5%0.5%
VWIV20.8%19.5%23.1%23.1%21.3%
Skew 25d3.2%2.5%3.7%3.7%3.5%
Skew 10d6.5%5.1%8.0%6.3%7.7%
Call IV 25d18.6%17.7%19.6%19.0%18.8%
Put IV 25d21.8%20.7%23.0%22.6%22.2%
Bid-Ask Spread %9.633.5323.063.533.75
Gamma HHI0.080.060.120.100.06
Net GEX2.2M-20.1M24.1M15.0M-2.7M
Net DEX-176.2M-511.1M132.0M-375.1M-30.9M
Net VEX-3.2M-3.4M-3.0M-3.2M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.246.030.241.36
Total Volume43,583.23810,668112,436110,31234,992
Total OI927,247.143773,2821,118,780950,086801,846

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$35.77$34.5020.6%6.4%24.8%38.2%23.1%3.7%-0.5%15.0M-375.1M-3.2M0.243.5388,86221,450400,308549,778
2022-12-02$35.44$34.5019.4%6.1%25.3%31.9%22.0%3.5%-0.4%12.4M-248.6M-3.2M1.164.509,75811,350402,104564,594
2022-12-05$35.36$34.0020.0%5.7%25.3%35.3%20.5%3.5%0.3%10.2M-225.1M-3.1M4.3821.028,64837,852400,634557,588
2022-12-06$35.45$34.0021.0%5.9%24.0%40.7%21.8%3.3%0.4%7.0M-203.6M-3.4M4.1421.549,63839,886404,642588,366
2022-12-07$35.30$34.0021.1%5.9%24.1%41.2%22.1%3.3%0.3%4.2M-158.6M-3.3M2.314.4416,47438,090407,252599,014
2022-12-08$35.55$34.0020.6%5.8%23.6%38.6%21.4%2.8%0.0%3.1M-241.9M-3.3M1.2114.2812,54415,142413,736612,608
2022-12-09$35.44$34.0019.9%5.7%18.0%34.4%21.4%2.5%0.8%256.1K-213.4M-3.2M1.5412.9416,51225,450419,308619,034
2022-12-12$36.16$34.0020.3%5.8%18.6%36.6%20.3%3.0%-0.1%17.9M-440.7M-3.0M1.315.2618,96424,938415,454605,096
2022-12-13$36.39$34.5019.0%5.3%18.2%29.8%20.1%3.1%-0.2%22.6M-511.1M-3.0M0.7910.2517,54813,934421,092630,286
2022-12-14$36.30$34.5018.8%5.3%18.3%28.6%19.5%2.8%-0.3%24.1M-490.3M-3.0M1.4823.0611,81617,480427,800634,292
2022-12-15$35.81$34.5019.5%5.5%19.0%32.5%21.2%2.8%-0.5%16.5M-330.1M-3.0M6.038.9811,18267,472431,036635,740
2022-12-16$35.33$34.5020.0%5.6%18.1%35.2%19.5%2.7%-0.4%-2.8M-145.8M-3.1M0.4812.7175,74436,692434,590684,190
2022-12-19$34.70$34.5020.7%5.9%18.0%39.0%20.0%3.5%0.1%-20.1M132.0M-3.1M1.746.7617,95431,232281,286491,996
2022-12-20$34.97$34.5019.9%5.7%18.1%34.8%21.0%3.3%0.4%-14.6M52.8M-3.3M3.416.787,38625,196292,520501,388
2022-12-21$35.28$34.5019.2%5.5%18.1%30.9%20.7%3.1%0.5%-9.7M-24.5M-3.2M3.837.025,73821,952294,840512,426
2022-12-22$34.91$34.5020.1%5.7%18.3%35.5%20.0%3.0%-0.0%-17.0M89.0M-3.3M4.626.306,28829,052295,902526,110
2022-12-23$35.41$34.5019.3%5.5%18.8%31.6%20.1%3.2%0.4%-6.0M-42.7M-3.2M1.3512.749,46412,810297,662517,730
2022-12-27$35.70$34.5019.6%5.6%18.4%33.1%20.0%3.5%0.6%-2.0M-140.4M-3.2M2.305.508,95020,586293,566502,166
2022-12-28$35.31$34.5020.5%5.8%18.7%37.6%19.9%3.3%0.8%-8.0M-32.4M-3.2M1.086.005,1305,538297,682509,546
2022-12-29$35.59$34.5020.0%5.6%16.4%35.0%21.0%3.4%0.5%-5.0M-119.0M-3.1M3.144.976,17419,380299,908497,074
2022-12-30$35.22$34.5020.4%5.7%16.8%37.4%21.3%3.5%0.5%-2.7M-30.9M-3.1M1.363.7514,85620,136301,968499,878