XLU Options History — October 2023

In October 2023, XLU traded between $28.09 and $29.95. ATM implied volatility averaged 22.3%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.3% (HV 20d: 25.6%). Max pain ranged from $28.50 to $30.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.19.

Notable Days

2023-10-02: Highest Volume — 747,448 contracts
2023-10-18: Largest IV spike — 7.5% change
2023-10-27: Highest IV Rank — 70.8%
2023-10-02: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.22	$28.09	$29.95	$28.09	$29.74
Max Pain	$28.89	$28.50	$30.50	$30.50	$29.00
ATM IV	22.3%	20.4%	25.4%	25.4%	20.4%
Expected Move	6.5%	5.7%	7.6%	7.6%	6.1%
HV 20d	25.6%	20.4%	27.8%	24.4%	20.4%
HV 60d	19.0%	18.0%	19.9%	18.4%	19.9%
IV Rank	55.1%	38.0%	70.8%	64.1%	59.1%
IV Percentile	83.1%	72.2%	91.7%	91.7%	72.2%
Term Structure	-0.3%	-0.8%	0.2%	-0.6%	0.0%
VWIV	23.0%	20.5%	25.9%	25.4%	22.3%
Skew 25d	3.6%	3.0%	4.3%	4.3%	3.3%
Skew 10d	7.3%	2.4%	11.7%	8.3%	6.6%
Call IV 25d	20.9%	19.0%	24.3%	23.6%	19.0%
Put IV 25d	24.5%	22.2%	27.9%	27.9%	22.4%
Bid-Ask Spread %	8.33	2.21	28.72	5.50	7.27
Gamma HHI	0.09	0.07	0.31	0.08	0.07
Net GEX	49.1M	-22.1M	110.9M	-22.1M	17.6M
Net DEX	88.3M	-583.1M	996.5M	996.5M	13.2M
Net VEX	-7.5M	-8.2M	-4.3M	-4.3M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.21	3.47	1.09	0.95
Total Volume	201,163.818	25,984	747,448	747,448	25,984
Total OI	2,085,899.455	1,314,568	2,368,150	1,314,568	1,918,364

Daily Data (22 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
2023-10-02	$28.09	$30.50	25.4%	7.6%	24.4%	64.1%	25.4%	4.3%	-0.6%	-22.1M	996.5M	-4.3M	1.09	5.50	357,016	390,432	667,942	646,626
2023-10-03	$28.43	$29.00	25.2%	7.3%	25.0%	63.0%	25.9%	3.5%	-0.3%	3.9M	649.4M	-6.0M	0.63	2.41	322,006	204,232	914,488	779,926
2023-10-04	$28.41	$29.00	24.6%	7.1%	25.0%	60.0%	23.3%	4.0%	-0.3%	15.1M	606.4M	-6.5M	0.58	2.21	282,316	163,004	1,044,910	872,984
2023-10-05	$28.21	$28.50	24.6%	6.9%	23.9%	60.0%	23.5%	3.4%	-0.8%	24.7M	572.5M	-6.8M	0.79	4.83	93,890	74,296	1,263,524	857,196
2023-10-06	$28.66	$28.50	23.5%	6.5%	24.6%	54.0%	22.4%	3.3%	-0.6%	74.5M	326.7M	-7.1M	0.21	7.01	332,046	70,102	1,316,084	860,954
2023-10-09	$28.75	$28.50	23.4%	6.6%	24.6%	53.4%	23.3%	3.5%	0.0%	60.1M	187.0M	-7.6M	0.35	4.58	155,030	54,586	1,362,210	864,214
2023-10-10	$29.29	$28.50	21.9%	6.1%	25.8%	45.6%	22.3%	3.4%	-0.7%	90.4M	-208.7M	-8.0M	0.98	3.06	87,246	85,426	1,406,906	869,482
2023-10-11	$29.77	$28.50	20.4%	5.7%	26.5%	38.0%	21.6%	3.0%	-0.7%	110.9M	-583.1M	-8.2M	1.78	4.20	98,990	175,820	1,409,568	878,806
2023-10-12	$29.25	$28.50	20.9%	6.0%	25.8%	40.7%	20.5%	3.0%	0.2%	78.4M	-83.2M	-7.9M	1.06	28.72	73,758	78,440	1,413,766	920,780
2023-10-13	$29.48	$28.50	22.0%	6.2%	26.3%	46.2%	22.6%	3.6%	-0.3%	82.2M	-287.5M	-8.2M	0.69	3.62	80,098	55,272	1,416,036	939,814
2023-10-16	$29.95	$28.50	21.2%	6.0%	27.1%	44.9%	22.9%	3.3%	-0.7%	97.0M	-563.1M	-8.2M	0.75	2.98	105,312	79,240	1,370,860	946,016
2023-10-17	$29.80	$29.00	20.7%	5.9%	27.1%	43.5%	22.0%	3.3%	-0.2%	81.9M	-352.6M	-8.1M	1.89	4.04	23,856	45,134	1,360,012	953,176
2023-10-18	$29.60	$29.00	22.2%	6.4%	27.2%	53.8%	22.7%	3.6%	-0.7%	69.9M	-169.2M	-8.0M	3.47	4.34	35,432	122,950	1,362,228	975,744
2023-10-19	$29.30	$29.00	22.4%	6.4%	27.2%	57.6%	23.0%	3.8%	-0.2%	51.2M	36.9M	-7.9M	2.38	5.35	24,356	57,974	1,381,368	986,782
2023-10-20	$29.03	$29.00	22.3%	6.5%	27.3%	57.1%	23.2%	3.7%	-0.7%	93.0M	248.1M	-7.5M	2.09	4.00	40,530	84,616	1,379,976	982,958
2023-10-23	$28.82	$29.00	22.8%	6.8%	27.3%	59.9%	23.5%	4.1%	0.0%	-7.2M	470.7M	-7.3M	1.02	10.47	53,410	54,588	980,180	870,518
2023-10-24	$29.61	$29.00	21.5%	6.4%	27.8%	56.5%	22.9%	3.9%	-0.1%	34.3M	-9.9M	-7.8M	0.84	13.03	46,372	39,118	1,025,434	893,040
2023-10-25	$29.70	$29.00	21.2%	6.3%	26.9%	54.3%	23.0%	3.8%	-0.0%	41.4M	-37.0M	-7.8M	1.15	18.52	31,426	36,260	1,026,528	898,004
2023-10-26	$29.95	$29.00	21.1%	6.4%	26.0%	60.9%	22.7%	3.5%	-0.1%	62.3M	-213.8M	-8.0M	1.85	16.38	59,922	110,726	1,041,854	922,620
2023-10-27	$29.33	$29.00	22.1%	6.6%	27.1%	70.8%	22.2%	3.7%	-0.0%	10.3M	231.5M	-8.0M	0.72	27.92	47,874	34,692	1,039,826	961,076
2023-10-30	$29.58	$29.00	21.6%	6.6%	20.7%	67.6%	23.8%	3.9%	-0.0%	10.9M	111.1M	-8.0M	0.99	2.90	16,006	15,820	980,658	926,350
2023-10-31	$29.74	$29.00	20.4%	6.1%	20.4%	59.1%	22.3%	3.3%	0.0%	17.6M	13.2M	-7.9M	0.95	7.27	13,354	12,630	989,194	929,170