XLU Options History — March 2023

In March 2023, XLU traded between $31.88 and $33.77. ATM implied volatility averaged 21.2%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.1% (HV 20d: 20.1%). Max pain ranged from $33.00 to $33.75. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2023-03-09: Highest Volume — 87,454 contracts
  • 2023-03-23: Largest IV spike — 9.6% change
  • 2023-03-15: Highest IV Rank — 54.3%
  • 2023-03-23: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.96$31.88$33.77$32.02$33.74
Max Pain$33.18$33.00$33.75$33.75$33.00
ATM IV21.2%18.6%24.2%20.5%19.4%
Expected Move6.0%5.1%6.9%5.8%5.4%
HV 20d20.1%17.5%23.8%17.5%21.6%
HV 60d18.0%16.7%19.1%16.7%19.1%
IV Rank37.1%22.3%54.3%33.1%23.5%
IV Percentile60.7%25.4%86.9%55.6%36.1%
Term Structure-0.1%-1.0%0.7%-0.3%0.7%
VWIV21.3%18.6%24.1%20.0%19.8%
Skew 25d4.6%3.8%5.3%4.5%4.1%
Skew 10d9.0%6.7%11.6%8.4%8.5%
Call IV 25d19.1%16.8%22.5%18.4%17.3%
Put IV 25d23.7%20.7%26.9%22.9%21.4%
Bid-Ask Spread %16.702.6756.222.674.08
Gamma HHI0.090.050.180.140.14
Net GEX-4.2M-22.8M22.8M-22.8M22.8M
Net DEX159.7M-44.8M433.7M433.7M-44.8M
Net VEX-2.9M-3.5M-2.3M-2.3M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.283.691.370.76
Total Volume37,870.52217,12087,45438,87217,974
Total OI599,437.739506,998701,874561,160628,444

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$32.02$33.7520.5%5.8%17.5%33.1%20.0%4.5%-0.3%-22.8M433.7M-2.3M1.372.6716,41422,458265,302295,858
2023-03-02$32.55$33.2519.5%5.6%18.1%27.4%18.8%4.2%0.0%-12.0M296.5M-2.5M0.282.7532,3929,104289,572291,274
2023-03-03$33.00$33.0018.6%5.3%19.1%22.3%18.7%3.9%-0.2%-819.8K174.1M-2.6M0.378.1119,6107,288307,114293,992
2023-03-06$33.27$33.0018.7%5.1%18.1%23.1%18.6%3.8%-0.3%1.0M126.3M-2.6M1.476.8017,43425,608300,254292,082
2023-03-07$32.78$33.0019.4%5.4%18.4%27.1%18.7%3.9%-0.1%-10.5M249.6M-2.5M0.727.6822,87216,408294,832301,118
2023-03-08$33.02$33.0018.6%5.3%18.7%22.5%20.3%4.0%-0.3%-3.6M190.2M-2.7M1.4915.9213,74620,450307,720301,770
2023-03-09$32.74$33.0020.3%5.8%17.8%32.0%21.5%4.1%-0.7%-9.6M261.5M-2.7M1.9510.0729,61057,844314,058326,432
2023-03-10$32.14$33.0021.8%6.3%18.5%40.6%21.6%5.2%-0.6%-21.0M402.8M-2.7M2.1523.6318,49039,834320,720351,146
2023-03-13$32.78$33.0023.1%6.5%19.0%47.9%22.1%4.6%-0.4%-13.8M264.9M-2.8M0.7655.8122,16416,920301,402344,122
2023-03-14$33.02$33.0022.5%6.5%19.1%44.5%23.1%4.7%0.3%-10.9M209.6M-2.8M1.2856.2211,95015,270310,148346,438
2023-03-15$33.53$33.0024.2%6.8%20.0%54.3%24.1%4.4%-0.6%-2.7M97.2M-3.0M2.2134.2811,79026,026315,274355,288
2023-03-16$33.77$33.0022.2%6.3%20.1%43.0%23.4%4.5%-0.5%8.3M15.5M-2.9M2.1051.9311,39423,952318,388351,928
2023-03-17$33.42$33.0023.5%6.6%20.3%50.5%23.6%5.0%-1.0%-14.1M92.0M-3.0M1.8513.5314,71627,214330,836371,038
2023-03-20$33.50$33.5021.9%6.2%19.9%41.0%22.4%5.0%0.2%-2.0M90.5M-3.1M0.849.9311,2689,464209,558297,440
2023-03-21$32.88$33.5021.9%6.2%20.1%40.9%20.5%5.3%-0.1%-6.7M162.5M-3.0M0.498.0533,23616,412216,430298,414
2023-03-22$32.48$33.5021.7%6.2%20.3%40.1%21.1%4.5%0.2%-8.6M175.8M-3.0M0.7817.479,6087,512237,918301,076
2023-03-23$31.88$33.5023.8%6.9%21.2%52.0%23.1%5.3%-0.4%-14.5M266.9M-2.9M0.959.3421,35220,296242,774300,218
2023-03-24$32.80$33.5023.1%6.6%23.8%47.8%23.5%5.2%-0.4%1.4M95.0M-3.2M0.8324.3917,06014,118256,302306,068
2023-03-27$32.88$33.5021.8%6.3%23.8%40.5%22.0%5.1%0.2%1.1M78.4M-3.1M1.365.2311,88016,126248,170297,010
2023-03-28$32.92$33.2521.3%6.1%22.9%38.0%21.8%5.0%0.2%3.0M61.3M-3.1M3.065.899,89230,256253,518300,336
2023-03-29$33.44$33.0020.2%5.7%22.7%31.6%20.8%4.3%0.0%8.9M-2.4M-3.3M1.974.6515,67630,826258,056326,758
2023-03-30$33.56$33.0020.0%5.7%22.1%30.4%19.7%4.1%0.6%11.6M-24.1M-3.4M3.695.715,77421,334264,516345,956
2023-03-31$33.74$33.0019.4%5.4%21.6%23.5%19.8%4.1%0.7%22.8M-44.8M-3.5M0.764.0810,2167,758265,356363,088