XLU Options History — September 2023

In September 2023, XLU traded between $29.42 and $32.61. ATM implied volatility averaged 15.5%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.2% (HV 20d: 13.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2023-09-28: Highest Volume — 341,296 contracts
  • 2023-09-26: Largest IV spike — 19.2% change
  • 2023-09-28: Highest IV Rank — 37.2%
  • 2023-09-28: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.39$29.42$32.61$31.33$29.45
Max Pain$31.75$31.00$32.00$32.00$31.00
ATM IV15.5%13.4%20.3%14.3%19.6%
Expected Move4.4%3.6%5.8%3.6%5.5%
HV 20d13.3%10.4%18.7%10.4%18.7%
HV 60d15.0%14.3%15.9%14.4%15.8%
IV Rank12.4%1.2%37.2%6.0%33.8%
IV Percentile21.4%0.8%70.2%7.5%64.7%
Term Structure0.1%-0.2%0.5%0.3%0.0%
VWIV15.4%12.3%19.5%12.3%19.5%
Skew 25d2.7%1.5%3.8%2.7%2.7%
Skew 10d5.0%2.7%7.2%4.9%4.5%
Call IV 25d14.4%12.7%18.7%13.0%18.6%
Put IV 25d17.1%14.4%22.4%15.7%21.3%
Bid-Ask Spread %6.083.0515.7212.153.20
Gamma HHI0.170.090.510.160.09
Net GEX-1.6M-71.8M116.2M-63.9M-16.3M
Net DEX302.6M-360.2M809.1M589.6M706.7M
Net VEX-4.8M-5.1M-4.4M-4.6M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.242.740.470.38
Total Volume114,552.535,172341,29680,806284,334
Total OI1,261,481.11,024,8601,503,8921,248,8401,334,008

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$31.33$32.0014.3%3.6%10.4%6.0%12.3%2.7%0.3%-63.9M589.6M-4.6M0.4712.1554,95225,854588,610660,230
2023-09-05$30.90$31.5015.0%4.3%11.3%9.7%14.5%3.0%0.2%-71.8M747.1M-4.4M0.294.46189,86855,572601,672658,460
2023-09-06$30.86$31.5015.3%4.3%11.2%11.1%15.9%3.2%0.1%-60.9M700.8M-4.7M2.744.0517,02846,736731,046684,384
2023-09-07$31.35$31.5014.6%4.2%12.5%7.6%14.3%2.4%0.3%-42.4M430.4M-4.9M0.368.9563,22022,666740,592683,048
2023-09-08$31.61$31.5014.5%4.3%12.6%6.8%15.1%2.3%0.2%-16.0M249.8M-5.1M0.813.1123,19418,748774,436690,704
2023-09-11$31.70$31.5015.0%4.4%12.3%9.6%15.0%2.5%0.5%-18.8M217.1M-5.0M0.883.9933,13429,252710,454688,192
2023-09-12$31.82$31.5013.7%3.9%12.2%3.0%14.7%2.0%-0.2%1.1M149.0M-4.9M1.123.9026,56829,714725,904700,066
2023-09-13$32.10$31.5014.6%4.2%11.1%7.7%14.6%2.1%-0.1%48.7M-59.7M-5.0M0.574.3980,63445,884729,222710,866
2023-09-14$32.61$31.5013.6%3.9%12.2%2.1%13.8%1.8%0.1%116.2M-360.2M-4.9M1.233.0552,23464,296728,306728,092
2023-09-15$32.52$32.0013.4%3.9%12.2%1.2%13.5%1.5%-0.0%111.2M-271.9M-5.0M0.243.33126,66830,562731,292772,600
2023-09-18$32.16$32.0013.7%3.9%12.9%2.9%14.0%2.6%0.2%33.3M10.9M-5.0M1.505.0814,04221,130456,426568,434
2023-09-19$32.06$32.0013.9%4.0%12.8%3.9%13.9%2.4%0.1%23.6M50.1M-4.9M1.494.2219,16428,518462,058582,274
2023-09-20$32.00$32.0013.6%3.9%12.8%2.1%13.7%2.4%0.2%19.6M84.7M-4.9M1.5615.7222,40835,030473,174596,502
2023-09-21$31.80$32.0015.3%4.4%13.0%11.1%15.1%2.9%-0.1%-2.3M206.4M-4.9M1.364.3335,41048,066484,580608,744
2023-09-22$31.70$32.0015.4%4.4%13.0%12.0%15.2%2.8%-0.1%5.5M250.4M-5.0M1.554.0626,62641,344505,960613,478
2023-09-25$31.60$32.0016.1%4.6%12.6%15.2%16.0%3.2%0.2%1.2M254.1M-4.9M1.428.2325,26235,854500,626601,602
2023-09-26$30.67$32.0019.1%5.5%16.4%31.3%19.1%3.8%-0.1%-31.1M571.0M-4.8M0.606.6089,16053,734512,582609,074
2023-09-27$30.05$32.0019.8%5.7%17.5%34.6%18.9%3.7%0.1%-34.9M717.1M-4.6M2.376.6839,44093,448524,092605,910
2023-09-28$29.42$32.0020.3%5.8%18.7%37.2%19.2%3.8%-0.2%-34.4M809.1M-4.4M0.6012.13212,986128,310549,326602,596
2023-09-29$29.45$31.0019.6%5.5%18.7%33.8%19.5%2.7%0.0%-16.3M706.7M-4.7M0.383.20206,03878,296722,754611,254