XLU Options History — July 2023

In July 2023, XLU traded between $32.51 and $34.22. ATM implied volatility averaged 14.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.6% (HV 20d: 16.3%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.17.

Notable Days

2023-07-21: Highest Volume — 120,862 contracts
2023-07-06: Largest IV spike — 9.4% change
2023-07-19: Highest IV Rank — 11.6%
2023-07-10: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.37	$32.51	$34.22	$32.88	$33.47
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	14.7%	13.7%	15.4%	13.7%	14.6%
Expected Move	4.2%	3.7%	4.4%	3.7%	4.2%
HV 20d	16.3%	14.6%	17.8%	14.6%	16.0%
HV 60d	14.3%	13.2%	15.3%	13.2%	14.6%
IV Rank	8.2%	2.7%	11.6%	2.7%	7.5%
IV Percentile	8.3%	2.4%	13.1%	2.4%	8.7%
Term Structure	-0.0%	-0.3%	0.4%	-0.1%	-0.3%
VWIV	14.8%	13.4%	15.7%	13.4%	14.8%
Skew 25d	2.4%	1.4%	3.2%	2.5%	2.5%
Skew 10d	5.0%	3.2%	6.4%	5.8%	5.4%
Call IV 25d	13.7%	12.6%	14.5%	12.6%	13.7%
Put IV 25d	16.1%	15.1%	17.2%	15.1%	16.2%
Bid-Ask Spread %	17.32	2.27	73.15	2.76	18.68
Gamma HHI	0.10	0.08	0.16	0.09	0.09
Net GEX	18.3M	-28.5M	65.7M	2.6M	6.3M
Net DEX	-62.3M	-440.4M	233.3M	61.1M	-3.7M
Net VEX	-4.1M	-4.3M	-3.8M	-3.8M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.31	4.29	0.64	1.64
Total Volume	37,492.3	9,562	120,862	9,562	23,838
Total OI	922,328.6	856,962	1,014,300	856,962	907,258

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-07-03	$32.88	$33.00	13.7%	3.7%	14.6%	2.7%	13.4%	2.5%	-0.1%	2.6M	61.1M	-3.8M	0.64	2.76	5,834	3,728	406,556	450,406
2023-07-05	$33.33	$33.00	13.9%	3.9%	15.2%	4.0%	14.3%	2.5%	0.0%	29.6M	-107.3M	-3.8M	1.40	3.04	28,486	39,876	409,542	452,588
2023-07-06	$32.94	$33.00	15.2%	4.3%	15.9%	10.9%	15.3%	2.9%	-0.0%	5.7M	70.2M	-4.0M	0.31	73.15	34,706	10,910	418,962	477,500
2023-07-07	$32.75	$33.00	14.8%	4.4%	15.1%	8.5%	15.0%	2.7%	0.0%	5.5M	151.2M	-4.0M	0.71	3.14	17,000	12,060	437,402	484,544
2023-07-10	$32.51	$33.00	15.3%	4.4%	15.1%	11.5%	14.7%	3.2%	0.0%	-28.5M	233.3M	-3.9M	0.86	15.73	21,484	18,528	422,052	477,930
2023-07-11	$32.88	$33.00	15.0%	4.2%	15.6%	9.8%	15.1%	3.0%	-0.3%	-1.5M	78.2M	-3.9M	0.38	3.88	26,786	10,182	434,040	477,540
2023-07-12	$33.44	$33.00	14.0%	4.0%	16.8%	4.5%	14.0%	2.4%	0.0%	51.8M	-163.7M	-4.1M	0.35	5.74	29,292	10,378	449,144	485,016
2023-07-13	$33.53	$33.00	14.3%	4.1%	16.8%	5.8%	14.2%	2.5%	-0.1%	65.7M	-187.8M	-4.0M	1.39	2.27	6,864	9,536	452,826	488,936
2023-07-14	$33.38	$33.00	14.0%	4.0%	16.9%	4.4%	14.6%	2.3%	0.1%	33.5M	-130.2M	-3.9M	2.38	7.98	6,822	16,202	452,900	493,330
2023-07-17	$33.14	$33.00	14.6%	4.2%	16.7%	7.5%	14.4%	2.4%	-0.2%	8.6M	-8.3M	-4.0M	4.29	2.33	6,128	26,298	424,604	492,718
2023-07-18	$32.77	$33.00	14.8%	4.2%	17.0%	8.9%	14.5%	3.1%	0.4%	-15.0M	178.3M	-4.0M	2.53	2.50	16,534	41,766	424,536	518,776
2023-07-19	$33.10	$33.00	15.4%	4.4%	16.1%	11.6%	15.7%	2.5%	0.1%	4.8M	29.1M	-4.2M	0.77	2.45	14,142	10,924	432,366	548,826
2023-07-20	$33.64	$33.00	15.1%	4.3%	17.0%	10.1%	15.6%	2.2%	-0.2%	32.5M	-192.2M	-4.2M	0.68	54.02	31,592	21,558	435,912	556,128
2023-07-21	$34.22	$33.00	15.2%	4.4%	17.8%	10.6%	15.6%	1.4%	-0.3%	35.4M	-440.4M	-4.1M	0.34	2.55	90,464	30,398	447,408	566,892
2023-07-24	$34.13	$33.00	15.2%	4.4%	16.9%	10.7%	15.5%	2.2%	-0.0%	28.7M	-235.3M	-4.3M	1.20	27.71	7,964	9,538	375,620	505,368
2023-07-25	$34.20	$33.00	14.9%	4.2%	16.8%	9.2%	15.1%	2.2%	-0.0%	33.2M	-266.6M	-4.2M	0.78	3.13	15,834	12,370	378,378	510,448
2023-07-26	$34.09	$33.00	14.8%	4.2%	16.9%	8.8%	14.7%	2.2%	0.0%	34.1M	-238.6M	-4.3M	0.83	52.51	11,792	9,838	386,258	518,228
2023-07-27	$33.59	$33.00	15.3%	4.4%	16.4%	11.0%	15.2%	2.2%	-0.2%	17.7M	-62.8M	-4.2M	0.90	44.50	15,280	13,722	392,184	524,390
2023-07-28	$33.45	$33.00	14.3%	4.1%	16.5%	6.0%	14.0%	2.0%	0.1%	15.9M	-10.3M	-4.2M	0.93	18.41	16,144	15,048	397,132	531,928
2023-07-31	$33.47	$33.00	14.6%	4.2%	16.0%	7.5%	14.8%	2.5%	-0.3%	6.3M	-3.7M	-4.1M	1.64	18.68	9,044	14,794	385,814	521,444