XLU Options History — January 2023

In January 2023, XLU traded between $34.31 and $36.03. ATM implied volatility averaged 19.0%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.1% (HV 20d: 17.9%). Max pain ranged from $34.50 to $35.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2023-01-18: Highest Volume — 59,760 contracts
  • 2023-01-18: Largest IV spike — 9.4% change
  • 2023-01-03: Highest IV Rank — 40.4%
  • 2023-01-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.03$34.31$36.03$35.19$34.36
Max Pain$35.21$34.50$35.50$34.50$35.00
ATM IV19.0%17.3%21.3%21.1%18.4%
Expected Move5.5%5.0%6.1%6.1%5.6%
HV 20d17.9%16.3%19.5%16.5%16.3%
HV 60d21.4%19.7%23.9%23.8%19.7%
IV Rank25.0%14.9%40.4%40.4%21.0%
IV Percentile32.5%11.5%65.9%63.9%22.6%
Term Structure-0.1%-0.5%0.5%-0.3%-0.1%
VWIV19.5%17.5%21.7%21.7%18.8%
Skew 25d3.4%3.0%4.0%3.7%3.6%
Skew 10d6.8%5.4%8.0%7.2%7.6%
Call IV 25d17.3%15.6%19.8%19.5%16.6%
Put IV 25d20.8%18.7%23.1%23.1%20.3%
Bid-Ask Spread %7.893.4324.983.433.92
Gamma HHI0.110.060.600.060.08
Net GEX-17.6M-97.5M9.6M-4.0M-18.0M
Net DEX38.9M-252.7M289.0M-16.2M187.1M
Net VEX-2.8M-3.1M-2.5M-3.0M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.694.232.100.78
Total Volume37,232.216,13459,76043,14234,372
Total OI735,823.1479,822914,768779,370502,086

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$35.19$34.5021.1%6.1%16.5%40.4%21.7%3.7%-0.3%-4.0M-16.2M-3.0M2.103.4313,92829,214302,180477,190
2023-01-04$35.37$34.7520.7%5.9%16.6%36.5%20.7%3.3%-0.1%-2.4M-67.1M-3.0M1.524.207,77411,778306,084497,488
2023-01-05$34.78$35.5021.3%6.0%17.5%40.1%21.3%3.2%-0.3%-18.6M124.9M-3.1M1.3712.2923,46232,110306,454504,458
2023-01-06$35.61$35.5019.4%5.6%19.5%27.0%20.4%3.0%-0.3%5.7M-150.3M-3.1M2.7611.4710,71629,588324,592518,740
2023-01-09$35.77$35.5019.7%5.7%19.4%28.6%21.4%3.5%0.3%5.0M-173.3M-3.0M4.234.358,28635,088318,016518,118
2023-01-10$35.66$35.5019.1%5.6%19.4%25.5%19.0%3.5%0.5%-1.5M-127.8M-3.1M1.339.459,94813,266322,232542,406
2023-01-11$36.03$35.5019.1%5.5%18.4%25.2%19.5%3.2%-0.0%9.6M-252.7M-3.0M3.4711.048,95031,018330,076548,174
2023-01-12$35.80$35.5018.1%5.1%18.4%19.5%18.8%3.0%-0.2%6.2M-221.2M-2.9M2.195.856,90215,128332,174546,632
2023-01-13$35.72$35.5017.3%5.0%18.3%14.9%18.5%3.1%0.5%-2.0M-161.0M-2.9M2.3113.667,64417,628334,758551,230
2023-01-17$35.63$35.5017.9%5.2%17.7%18.4%17.5%3.0%-0.5%-1.2M-168.9M-2.7M1.818.8713,80024,912330,772547,284
2023-01-18$34.75$35.5019.6%5.6%19.3%28.0%18.8%3.7%-0.4%-42.7M162.8M-2.7M2.814.6715,69044,070339,064558,660
2023-01-19$34.48$35.5019.2%5.5%18.5%25.8%20.5%4.0%0.1%-50.0M289.0M-2.6M2.1424.9817,03036,474342,062564,032
2023-01-20$34.53$35.0019.2%5.5%18.2%25.7%20.1%3.8%-0.5%-11.8M271.8M-2.6M1.104.3015,02416,536350,938563,830
2023-01-23$34.58$35.0019.2%5.6%17.9%25.9%18.9%3.7%-0.4%-25.5M177.7M-2.5M0.696.2226,75618,392205,314274,508
2023-01-24$34.80$35.0018.2%5.4%17.7%19.9%18.7%3.4%-0.1%-19.2M129.5M-2.6M1.318.8715,94420,832218,206282,740
2023-01-25$34.33$35.0018.5%5.5%17.4%21.6%19.0%3.5%-0.1%-33.6M244.9M-2.6M2.366.6117,66841,716220,754298,552
2023-01-26$34.42$35.0018.0%5.3%17.1%19.0%19.4%3.4%-0.0%-36.3M210.3M-2.6M1.076.027,8108,324227,648300,228
2023-01-27$34.52$35.0017.4%5.2%16.9%15.6%18.0%3.6%-0.0%-97.5M163.3M-2.6M1.114.0310,44611,640232,048295,980
2023-01-30$34.31$35.0018.4%5.6%16.6%21.5%19.6%3.8%0.0%-14.4M155.8M-2.5M2.453.5510,07024,710219,796260,958
2023-01-31$34.36$35.0018.4%5.6%16.3%21.0%18.8%3.6%-0.1%-18.0M187.1M-2.6M0.783.9219,35015,022224,146277,940