XLU Options History — August 2023

In August 2023, XLU traded between $31.52 and $33.19. ATM implied volatility averaged 16.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.1% (HV 20d: 15.0%). Max pain ranged from $32.25 to $33.50. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.07.

Notable Days

2023-08-16: Highest Volume — 101,618 contracts
2023-08-03: Largest IV spike — 9.6% change
2023-08-15: Highest IV Rank — 20.6%
2023-08-15: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.99	$31.52	$33.19	$33.13	$31.60
Max Pain	$32.79	$32.25	$33.50	$33.00	$32.25
ATM IV	16.1%	14.1%	17.1%	15.0%	14.1%
Expected Move	4.5%	3.7%	4.9%	4.2%	3.7%
HV 20d	15.0%	10.9%	17.6%	16.5%	10.9%
HV 60d	15.1%	14.6%	15.5%	14.7%	14.7%
IV Rank	15.5%	5.2%	20.6%	9.8%	5.2%
IV Percentile	20.8%	5.6%	30.6%	11.9%	5.6%
Term Structure	0.1%	-0.5%	1.4%	-0.1%	-0.0%
VWIV	15.6%	12.7%	16.9%	14.9%	12.7%
Skew 25d	3.2%	2.4%	4.0%	2.4%	3.1%
Skew 10d	6.3%	4.0%	7.5%	4.0%	5.1%
Call IV 25d	14.7%	12.7%	15.8%	13.9%	12.7%
Put IV 25d	17.9%	15.8%	19.2%	16.3%	15.8%
Bid-Ask Spread %	7.48	1.87	32.71	5.02	2.54
Gamma HHI	0.12	0.08	0.20	0.09	0.15
Net GEX	-28.8M	-54.6M	31.3M	-8.2M	-50.3M
Net DEX	385.5M	113.4M	606.3M	113.4M	450.2M
Net VEX	-4.6M	-5.0M	-4.1M	-4.1M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.28	2.46	2.30	0.45
Total Volume	60,643.043	26,496	101,618	58,336	57,202
Total OI	1,113,148.348	921,984	1,240,244	921,984	1,208,346

Daily Data (23 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
2023-08-01	$33.13	$33.00	15.0%	4.2%	16.5%	9.8%	14.9%	2.4%	-0.1%	-8.2M	113.4M	-4.1M	2.30	5.02	17,678	40,658	388,848	533,136
2023-08-02	$33.19	$33.00	15.3%	4.4%	15.7%	11.3%	15.5%	2.6%	-0.3%	-11.5M	118.6M	-4.3M	0.36	13.58	66,548	24,176	396,476	563,900
2023-08-03	$32.45	$33.50	16.8%	4.7%	17.2%	19.0%	16.9%	2.9%	-0.4%	-34.0M	371.1M	-4.3M	0.71	4.87	46,578	32,954	422,144	586,210
2023-08-04	$32.03	$33.50	16.8%	4.8%	17.6%	18.9%	16.2%	3.1%	-0.0%	-41.8M	507.5M	-4.3M	0.58	16.26	58,162	33,784	448,032	593,006
2023-08-07	$32.03	$33.50	16.9%	4.8%	17.5%	19.8%	16.5%	3.3%	-0.1%	-38.7M	456.1M	-4.4M	1.34	15.27	21,732	29,158	448,402	599,390
2023-08-08	$32.14	$33.00	16.3%	4.8%	17.0%	16.4%	15.9%	3.5%	0.4%	-33.7M	403.3M	-4.4M	0.28	6.10	43,918	12,372	463,624	602,812
2023-08-09	$32.34	$33.00	16.4%	4.6%	15.8%	16.8%	15.6%	3.2%	-0.2%	-23.4M	293.4M	-4.5M	0.52	4.78	53,286	27,730	485,484	607,838
2023-08-10	$32.03	$33.00	16.4%	4.7%	16.0%	16.9%	16.2%	2.9%	0.0%	-31.3M	418.2M	-4.7M	1.13	32.71	12,438	14,058	512,202	623,316
2023-08-11	$32.26	$33.00	15.4%	4.4%	16.3%	11.7%	15.5%	2.8%	-0.2%	-4.2M	342.2M	-4.7M	1.45	3.03	17,274	25,052	514,838	633,444
2023-08-14	$32.03	$33.00	16.1%	4.6%	16.3%	15.2%	16.0%	3.1%	1.1%	-42.2M	437.4M	-4.6M	0.96	11.75	18,126	17,472	496,766	628,516
2023-08-15	$31.52	$33.00	17.1%	4.9%	16.8%	20.6%	16.6%	3.0%	1.1%	-49.5M	606.3M	-4.5M	1.08	2.36	35,792	38,668	503,210	637,394
2023-08-16	$31.67	$32.50	16.7%	4.8%	16.4%	18.5%	16.4%	3.0%	0.7%	-51.2M	493.3M	-4.6M	1.81	1.98	36,152	65,466	519,750	639,412
2023-08-17	$31.61	$32.50	17.0%	4.8%	14.9%	20.1%	15.8%	2.9%	1.1%	-54.6M	517.9M	-4.8M	0.47	4.96	42,086	19,974	544,240	667,290
2023-08-18	$31.79	$32.50	16.2%	4.5%	13.3%	15.9%	16.8%	2.9%	1.4%	-34.1M	461.3M	-4.8M	2.46	2.67	22,994	56,670	568,554	671,690
2023-08-21	$31.63	$32.50	17.0%	4.7%	13.3%	20.3%	15.9%	3.7%	-0.5%	-34.1M	435.3M	-4.7M	0.74	3.18	25,744	19,038	460,806	603,504
2023-08-22	$31.64	$32.50	16.9%	4.6%	13.2%	19.5%	15.7%	4.0%	-0.4%	-31.7M	423.4M	-4.8M	0.99	24.04	19,070	18,890	477,662	610,630
2023-08-23	$31.75	$32.50	17.0%	4.7%	13.5%	20.3%	16.5%	3.8%	-0.5%	-26.4M	380.2M	-4.9M	0.44	3.45	65,272	28,456	497,584	618,574
2023-08-24	$31.61	$32.50	17.1%	4.6%	12.8%	20.5%	16.6%	3.6%	-0.4%	-17.9M	378.1M	-4.9M	1.74	3.59	18,034	31,322	545,140	612,480
2023-08-25	$31.89	$32.50	15.7%	4.2%	13.5%	13.3%	15.2%	3.5%	-0.1%	31.3M	273.8M	-5.0M	1.39	1.87	21,724	30,088	554,306	630,700
2023-08-28	$31.83	$32.50	15.5%	4.2%	13.5%	12.1%	14.9%	3.5%	0.1%	-24.0M	324.1M	-4.8M	0.64	2.27	16,674	10,594	537,524	614,244
2023-08-29	$31.92	$32.50	14.6%	3.9%	13.3%	7.5%	13.8%	3.6%	0.2%	-17.1M	289.6M	-4.7M	1.00	2.10	15,928	15,932	544,710	618,366
2023-08-30	$31.73	$32.50	14.3%	3.8%	13.3%	6.1%	13.2%	3.4%	0.4%	-33.0M	371.0M	-4.6M	1.74	3.57	25,484	44,382	548,952	618,960
2023-08-31	$31.60	$32.25	14.1%	3.7%	10.9%	5.2%	12.7%	3.1%	-0.0%	-50.3M	450.2M	-4.7M	0.45	2.54	39,570	17,632	555,678	652,668