XLU Options History — May 2023

In May 2023, XLU traded between $32.17 and $34.67. ATM implied volatility averaged 17.1%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.0% (HV 20d: 13.1%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2023-05-17: Highest Volume — 123,974 contracts
  • 2023-05-05: Largest IV drop — 8.9% change
  • 2023-05-26: Highest IV Rank — 19.5%
  • 2023-05-04: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.59$32.17$34.67$34.63$32.53
Max Pain$34.33$33.00$35.00$34.50$33.00
ATM IV17.1%15.5%18.8%16.3%17.0%
Expected Move4.9%4.6%5.3%4.6%4.8%
HV 20d13.1%11.3%15.2%14.2%11.8%
HV 60d17.5%16.4%18.5%18.5%16.5%
IV Rank8.4%0.0%19.5%1.8%8.8%
IV Percentile11.0%0.0%33.7%2.0%9.9%
Term Structure0.2%-0.8%1.0%0.1%-0.4%
VWIV17.5%15.5%21.5%15.7%18.9%
Skew 25d4.4%3.9%5.1%4.0%4.4%
Skew 10d8.4%7.2%9.7%7.2%7.9%
Call IV 25d14.9%13.5%16.5%14.2%14.9%
Put IV 25d19.3%17.6%21.5%18.2%19.3%
Bid-Ask Spread %8.772.3941.638.572.39
Gamma HHI0.130.070.290.080.14
Net GEX-29.7M-76.1M-2.1M-7.5M-30.9M
Net DEX226.9M6.2M467.7M37.0M280.7M
Net VEX-3.7M-3.8M-3.3M-3.8M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.403.900.770.85
Total Volume28,597.5458,826123,97415,07236,322
Total OI772,162.091735,486863,080735,486787,026

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$34.63$34.5016.3%4.6%14.2%1.8%15.7%4.0%0.1%-7.5M37.0M-3.8M0.778.578,5086,564262,972472,514
2023-05-02$34.14$34.5016.8%4.7%15.2%5.0%17.7%4.1%0.5%-21.0M152.8M-3.8M1.7835.558,18014,528266,094475,364
2023-05-03$34.11$34.5017.8%5.2%15.2%11.4%19.8%4.4%-0.0%-20.2M161.3M-3.8M0.9841.6311,44011,174267,138470,808
2023-05-04$34.28$35.0018.3%5.3%12.1%14.5%19.0%4.4%0.5%-13.3M103.4M-3.8M0.738.5717,81612,930274,694468,034
2023-05-05$34.45$35.0016.7%4.9%12.1%4.4%17.4%4.1%0.6%-5.7M57.6M-3.8M0.858.008,3187,070282,608475,962
2023-05-08$34.44$35.0015.9%4.7%12.1%0.0%17.4%4.3%0.5%-9.0M62.7M-3.7M1.785.648,24814,686275,102463,772
2023-05-09$34.40$35.0015.9%4.7%12.0%0.0%16.8%4.2%0.5%-12.9M79.3M-3.7M1.214.596,4387,762277,942475,504
2023-05-10$34.67$35.0015.5%4.8%12.4%0.0%16.7%3.9%1.0%-2.1M6.2M-3.7M0.835.019,0947,516279,342479,366
2023-05-11$34.30$35.0016.1%4.6%12.9%3.2%16.6%4.2%0.1%-22.5M117.0M-3.6M1.105.038,4069,210280,474483,268
2023-05-12$34.45$35.0015.5%4.6%12.3%0.0%16.1%4.1%0.6%-11.2M61.4M-3.6M0.8514.457,9946,780283,200484,784
2023-05-15$34.10$35.0016.4%4.8%12.8%5.4%16.7%4.3%0.7%-26.3M142.5M-3.5M1.104.6912,00613,218274,514476,606
2023-05-16$33.42$35.0017.3%5.0%14.6%10.7%17.4%4.7%0.5%-50.1M329.8M-3.5M1.064.1815,04615,940278,286481,316
2023-05-17$33.16$34.5017.1%4.9%14.5%9.3%17.9%4.3%0.1%-56.1M392.1M-3.4M2.044.0140,82283,152283,854481,088
2023-05-18$33.11$34.0016.9%4.8%14.5%8.3%16.6%4.3%0.9%-76.1M403.2M-3.8M1.184.5311,35613,386316,262546,494
2023-05-19$33.10$34.0017.0%4.8%14.3%9.0%15.5%3.9%0.7%-43.9M351.2M-3.8M0.404.0623,8869,464320,870542,210
2023-05-22$33.08$34.0017.4%4.9%14.0%11.5%16.1%4.6%-0.4%-31.8M311.0M-3.7M0.663.819,1486,040285,154469,646
2023-05-23$33.02$34.0017.6%5.0%14.0%12.7%21.5%4.8%-0.3%-32.7M321.2M-3.7M3.908.064,03015,704289,042471,996
2023-05-24$32.78$33.5018.6%5.0%12.1%18.2%16.8%5.0%-0.3%-44.5M359.0M-3.8M0.5211.305,7903,036301,908506,970
2023-05-25$32.44$33.5018.3%5.1%11.7%16.5%18.1%5.1%-0.4%-63.2M467.7M-3.7M2.213.9325,39656,018312,344510,614
2023-05-26$32.28$33.2518.8%5.3%11.6%19.5%17.7%5.0%-0.8%-34.3M417.6M-3.4M0.402.4414,7965,846316,944463,340
2023-05-30$32.17$33.0018.1%5.3%11.3%15.4%18.3%4.5%-0.8%-37.2M377.7M-3.3M1.322.526,9369,146321,290450,850
2023-05-31$32.53$33.0017.0%4.8%11.8%8.8%18.9%4.4%-0.4%-30.9M280.7M-3.4M0.852.3919,63816,684327,674459,352