XLU Options History — February 2023

In February 2023, XLU traded between $32.52 and $34.77. ATM implied volatility averaged 18.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.4% (HV 20d: 16.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-02-28: Highest Volume — 55,444 contracts
  • 2023-02-21: Largest IV spike — 15.3% change
  • 2023-02-21: Highest IV Rank — 33.0%
  • 2023-02-28: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.81$32.52$34.77$34.77$32.52
Max Pain$34.41$34.00$35.00$35.00$34.00
ATM IV18.8%17.0%20.5%17.1%20.3%
Expected Move5.3%4.9%5.7%5.1%5.7%
HV 20d16.4%15.0%17.5%16.9%17.0%
HV 60d18.1%16.5%19.9%19.8%16.5%
IV Rank23.3%13.3%33.0%13.9%32.1%
IV Percentile29.8%9.1%54.8%9.5%53.6%
Term Structure0.1%-0.9%1.8%-0.3%-0.6%
VWIV18.9%17.5%20.3%19.5%20.3%
Skew 25d4.0%3.4%4.9%3.6%4.3%
Skew 10d7.7%6.6%9.2%8.0%7.1%
Call IV 25d16.8%15.4%18.2%15.4%18.1%
Put IV 25d20.7%18.9%22.9%19.0%22.4%
Bid-Ask Spread %7.782.7628.5727.9228.57
Gamma HHI0.100.080.150.080.15
Net GEX-18.9M-32.0M5.7M-8.8M-19.3M
Net DEX214.0M79.6M370.9M79.6M370.9M
Net VEX-2.6M-2.7M-2.5M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.392.752.001.12
Total Volume27,479.36814,96255,44431,64055,444
Total OI538,238.421498,822581,892518,032539,876

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$34.77$35.0017.1%5.1%16.9%13.9%19.5%3.6%-0.3%-8.8M79.6M-2.7M2.0027.9210,53221,108235,836282,196
2023-02-02$34.72$34.5017.0%5.0%16.8%13.3%17.5%3.4%0.2%-8.5M88.1M-2.7M2.034.7211,82424,040237,470280,820
2023-02-03$33.98$34.5017.2%5.0%17.5%14.4%18.2%3.6%0.2%-24.6M250.0M-2.6M1.169.1516,68219,330240,180293,076
2023-02-06$34.23$34.5018.2%5.3%15.2%20.0%19.1%3.6%0.1%-17.1M166.3M-2.6M1.026.1713,40413,622231,674279,252
2023-02-07$34.26$34.5017.6%5.0%15.0%16.4%19.1%3.6%-0.2%-17.4M166.3M-2.6M0.954.7117,01016,174239,166289,042
2023-02-08$33.62$34.5018.9%5.5%16.2%23.9%18.9%3.9%0.8%-25.6M291.9M-2.5M0.734.2712,2248,944243,966295,626
2023-02-09$33.27$34.5019.2%5.5%15.6%25.9%19.0%4.0%-0.2%-28.0M367.1M-2.5M1.014.369,3529,488246,980300,842
2023-02-10$33.83$34.5018.8%5.4%17.1%23.4%19.0%3.8%-0.2%-29.0M242.7M-2.6M0.393.8729,31811,446251,162299,412
2023-02-13$34.03$34.5019.2%5.5%17.4%25.6%18.3%4.3%0.7%-22.3M176.5M-2.7M0.803.539,6547,716259,402299,786
2023-02-14$33.98$34.5018.4%5.3%17.4%21.4%18.7%4.0%0.6%-27.1M188.9M-2.7M2.754.295,08613,978263,202299,536
2023-02-15$34.13$34.5017.9%5.1%15.3%18.5%18.7%3.8%1.1%-27.9M153.0M-2.6M0.704.7914,83810,374262,180302,674
2023-02-16$33.92$34.5018.2%5.2%15.2%20.0%18.0%3.5%0.9%-32.0M191.0M-2.6M0.764.0112,1369,178268,488303,770
2023-02-17$34.30$34.5017.8%4.9%15.8%17.6%18.0%3.5%1.8%5.7M88.7M-2.7M1.643.3812,79421,022272,850309,042
2023-02-21$33.70$34.5020.5%5.6%16.9%33.0%19.9%4.9%-0.4%-11.7M179.4M-2.6M1.378.1411,16015,330232,998265,824
2023-02-22$33.41$34.2520.5%5.5%16.8%33.0%18.6%4.4%-0.4%-14.0M239.8M-2.6M0.9415.8511,12410,472240,100277,532
2023-02-23$33.30$34.0020.2%5.4%16.3%31.4%19.5%4.5%-0.9%-15.9M265.5M-2.6M1.404.346,2288,734244,486283,092
2023-02-24$33.27$34.0019.9%5.5%16.2%29.5%19.0%4.1%-0.4%-18.8M271.0M-2.6M0.442.7612,4485,494246,134284,824
2023-02-27$33.08$34.0019.8%5.6%16.2%29.3%19.5%4.3%-0.3%-16.0M288.8M-2.5M0.793.0013,62010,780245,610278,424
2023-02-28$32.52$34.0020.3%5.7%17.0%32.1%20.3%4.3%-0.6%-19.3M370.9M-2.5M1.1228.5726,21229,232254,614285,262