XLU Options History — December 2023

In December 2023, XLU traded between $31.16 and $32.97. ATM implied volatility averaged 16.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.0% (HV 20d: 18.2%). Max pain ranged from $30.50 to $31.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-12-15: Highest Volume — 176,294 contracts
  • 2023-12-12: Largest IV drop — 6.2% change
  • 2023-12-20: Highest IV Rank — 31.0%
  • 2023-12-20: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.72$31.16$32.97$31.71$31.60
Max Pain$30.73$30.50$31.00$30.50$31.00
ATM IV16.1%14.5%17.0%16.1%16.2%
Expected Move4.6%4.1%4.9%4.7%4.4%
HV 20d18.2%15.2%19.8%17.8%19.5%
HV 60d21.8%19.5%23.4%21.8%19.5%
IV Rank24.3%11.4%31.0%23.9%24.7%
IV Percentile30.7%12.7%41.7%28.6%32.1%
Term Structure0.1%-0.4%0.5%-0.3%0.4%
VWIV16.3%15.0%17.3%17.3%15.5%
Skew 25d1.7%0.5%2.4%2.4%1.6%
Skew 10d3.4%1.2%4.7%4.1%4.2%
Call IV 25d15.5%14.3%16.5%14.9%15.1%
Put IV 25d17.2%15.7%18.3%17.3%16.7%
Bid-Ask Spread %12.393.4338.367.7325.41
Gamma HHI0.100.070.160.160.07
Net GEX45.4M-6.4M115.7M115.7M12.9M
Net DEX-472.8M-1.39B-44.0M-610.4M-232.9M
Net VEX-6.4M-6.9M-5.8M-6.7M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.272.430.770.92
Total Volume61,093.618,120176,29488,87860,666
Total OI1,734,460.41,426,2861,984,3221,888,0941,565,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$31.71$30.5016.1%4.7%17.8%23.9%17.3%2.4%-0.3%115.7M-610.4M-6.7M0.777.7350,22838,650885,6061,002,488
2023-12-04$31.64$30.5016.4%4.7%17.8%26.4%16.6%2.0%0.2%48.1M-520.3M-6.9M0.8010.1711,0528,822872,6661,002,776
2023-12-05$31.45$30.5016.6%4.7%17.9%27.8%16.9%2.2%0.1%40.2M-380.1M-6.9M0.9633.3814,32013,714883,5881,005,940
2023-12-06$31.80$30.5016.0%4.5%18.0%23.4%16.1%2.0%0.1%66.9M-656.3M-6.7M0.764.4515,76011,962887,9221,008,086
2023-12-07$31.79$30.5015.8%4.5%17.6%22.0%16.2%1.8%0.1%70.8M-658.9M-6.6M0.6214.4526,13016,292894,3861,010,082
2023-12-08$31.73$30.5015.9%4.7%16.8%22.2%16.9%1.9%0.5%76.0M-613.5M-6.5M1.413.8321,52030,298898,6681,018,622
2023-12-11$31.82$30.5015.5%4.3%16.8%19.3%16.2%1.7%-0.4%81.6M-664.5M-6.3M0.823.4322,59818,508895,7941,013,212
2023-12-12$31.80$30.5014.5%4.1%16.1%11.4%15.0%1.5%-0.2%84.1M-645.9M-6.2M0.663.7722,46214,786894,3941,023,526
2023-12-13$32.97$30.5015.1%4.2%15.2%15.6%15.1%0.8%-0.2%108.7M-1.39B-5.8M0.2738.36122,70433,720892,3301,031,138
2023-12-14$32.55$30.5015.5%4.4%16.1%19.0%15.7%0.5%0.2%111.3M-1.15B-6.0M0.4613.4496,52644,632907,8941,050,672
2023-12-15$31.77$30.5016.3%4.6%18.6%25.7%16.8%1.6%0.3%30.3M-541.9M-6.1M0.3218.42133,59442,700918,7441,065,578
2023-12-18$31.63$31.0016.6%4.7%18.7%28.1%17.2%1.8%0.3%13.4M-214.4M-6.0M0.687.1624,20616,538639,738786,548
2023-12-19$31.73$31.0016.3%4.7%18.7%25.9%16.5%1.6%0.1%16.6M-281.4M-6.1M0.546.6621,76411,718647,046793,500
2023-12-20$31.29$31.0017.0%4.9%19.5%31.0%17.1%1.8%0.2%2.2M-90.1M-6.2M1.257.4036,03244,962660,912796,572
2023-12-21$31.16$31.0016.9%4.8%19.5%30.4%16.9%1.8%0.2%-6.4M-44.0M-6.4M2.4321.7318,67245,302688,078830,408
2023-12-22$31.30$31.0016.7%4.8%19.5%28.9%16.7%1.4%0.4%-102.2K-102.3M-6.6M1.877.3316,56030,926698,890865,698
2023-12-26$31.57$31.0016.8%4.7%19.8%29.6%16.3%2.2%0.3%13.6M-227.9M-6.4M0.625.3311,1906,930684,770861,950
2023-12-27$31.38$31.0016.4%4.6%19.8%26.4%15.5%1.9%0.3%3.1M-136.2M-6.3M1.535.4015,31223,490683,546863,424
2023-12-28$31.73$31.0016.1%4.4%19.6%23.8%15.6%1.8%0.5%18.1M-303.3M-6.3M0.6610.0416,00810,618686,616872,206
2023-12-29$31.60$31.0016.2%4.4%19.5%24.7%15.5%1.6%0.4%12.9M-232.9M-6.2M0.9225.4131,64029,026689,256875,938