XLU Options History — November 2023

In November 2023, XLU traded between $29.80 and $31.57. ATM implied volatility averaged 17.5%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.4% (HV 20d: 20.8%). Max pain ranged from $29.00 to $30.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2023-11-01: Highest Volume — 387,334 contracts
  • 2023-11-03: Largest IV drop — 6.2% change
  • 2023-11-01: Highest IV Rank — 47.2%
  • 2023-11-01: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.87$29.80$31.57$30.27$31.39
Max Pain$30.43$29.00$30.50$29.00$30.50
ATM IV17.5%16.5%18.9%18.9%16.5%
Expected Move5.0%4.7%5.6%5.6%4.8%
HV 20d20.8%18.5%23.7%21.1%18.7%
HV 60d21.3%20.2%22.1%20.2%22.0%
IV Rank35.4%27.7%47.2%47.2%27.7%
IV Percentile43.9%31.7%55.2%55.2%31.7%
Term Structure0.1%-0.9%1.6%0.3%-0.5%
VWIV17.7%16.5%20.9%20.9%17.3%
Skew 25d2.4%1.7%3.2%3.2%2.4%
Skew 10d4.7%3.0%7.1%6.9%4.3%
Call IV 25d16.3%15.4%17.6%17.6%15.4%
Put IV 25d18.6%17.8%20.8%20.8%17.8%
Bid-Ask Spread %10.122.0871.9619.712.74
Gamma HHI0.080.070.100.070.09
Net GEX53.5M5.4M87.8M38.7M43.2M
Net DEX-480.3M-909.5M169.5M-321.7M-398.8M
Net VEX-7.4M-8.8M-6.7M-7.9M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.127.580.237.58
Total Volume99,445.42917,984387,334387,33476,730
Total OI2,013,809.7141,727,2682,269,5921,929,3781,823,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$30.27$29.0018.9%5.6%21.1%47.2%20.9%3.2%0.3%38.7M-321.7M-7.9M0.2319.71313,90473,430995,476933,902
2023-11-02$30.86$30.5018.6%5.4%21.5%44.5%19.9%3.0%0.3%75.7M-803.2M-8.8M0.442.8091,42240,6761,255,332957,636
2023-11-03$31.02$30.5017.5%5.1%21.1%35.1%18.0%2.7%0.4%86.9M-909.5M-8.5M0.532.8287,40646,2361,268,300958,366
2023-11-06$30.88$30.5017.7%5.1%21.3%36.9%17.8%2.7%-0.1%87.8M-747.5M-8.3M0.532.5832,01216,9361,280,458964,322
2023-11-07$30.68$30.5017.3%5.1%20.8%34.2%16.8%2.9%0.5%75.6M-583.9M-8.1M0.192.1994,69617,5761,277,496970,074
2023-11-08$30.40$30.5017.0%4.9%20.4%31.4%17.6%2.8%0.2%56.0M-333.1M-7.8M0.752.4570,22852,7161,280,648976,422
2023-11-09$30.02$30.5017.7%5.1%19.9%37.3%17.6%2.6%0.1%32.5M-68.7M-7.6M0.382.1739,47414,9241,275,688986,862
2023-11-10$30.11$30.5017.2%5.0%19.7%32.9%18.5%2.3%0.2%33.3M-92.0M-7.6M0.122.54294,46635,9281,269,898999,694
2023-11-13$29.80$30.5017.0%4.8%19.3%31.2%17.6%2.6%1.6%5.4M169.5M-6.9M0.692.4352,32635,9121,044,500994,354
2023-11-14$30.98$30.5017.0%4.9%23.7%31.6%17.3%1.8%1.0%64.0M-722.5M-7.2M0.9647.2858,04655,9201,060,4821,016,256
2023-11-15$30.92$30.5017.1%4.9%23.6%32.6%16.9%1.8%0.6%64.0M-690.1M-7.3M0.745.6232,98024,2461,075,5541,022,730
2023-11-16$31.10$30.5017.3%4.9%23.2%33.7%16.7%1.7%0.9%69.7M-809.6M-7.3M1.722.1716,11827,6521,090,2601,044,660
2023-11-17$31.11$30.5017.6%5.0%22.7%36.7%17.4%1.7%0.9%41.2M-824.1M-7.2M1.232.0812,55415,4761,091,8781,066,498
2023-11-20$31.09$30.5018.3%5.0%22.4%42.3%18.1%2.1%-0.9%40.5M-335.8M-7.1M1.6410.3830,40849,846871,766855,502
2023-11-21$31.09$30.5017.9%4.8%20.7%38.9%17.1%2.4%-0.9%39.0M-332.8M-7.1M1.0371.9611,67612,064882,444863,370
2023-11-22$31.23$30.5017.3%4.7%20.7%33.8%16.5%2.2%-0.7%48.4M-425.2M-7.0M0.603.9715,7929,486884,958872,522
2023-11-24$31.32$30.5017.5%4.8%20.5%35.2%16.7%2.4%-0.8%52.3M-462.2M-7.0M1.855.426,30011,684885,534875,998
2023-11-27$31.40$30.5017.2%4.9%18.6%33.2%17.8%2.1%-0.5%55.8M-469.5M-6.8M1.258.299,13411,388877,282866,644
2023-11-28$31.57$30.5017.2%4.9%18.5%33.3%17.0%2.3%-0.6%66.6M-579.8M-6.7M0.184.7175,17813,586880,212871,126
2023-11-29$31.14$30.5017.2%4.9%19.4%32.9%17.8%2.3%-0.4%46.4M-346.3M-6.7M2.368.3130,30871,514939,152881,820
2023-11-30$31.39$30.5016.5%4.8%18.7%27.7%17.3%2.4%-0.5%43.2M-398.8M-6.7M7.582.748,94867,782883,010940,918