XLU Options History — January 2024

In January 2024, XLU traded between $29.97 and $32.47. ATM implied volatility averaged 16.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.1% (HV 20d: 17.5%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2024-01-18: Highest Volume — 160,488 contracts
  • 2024-01-23: Largest IV drop — 4.6% change
  • 2024-01-18: Highest IV Rank — 31.7%
  • 2024-01-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.22$29.97$32.47$32.01$30.75
Max Pain$31.51$31.00$32.00$31.00$31.00
ATM IV16.4%15.6%17.0%16.6%16.4%
Expected Move4.8%4.5%4.9%4.5%4.8%
HV 20d17.5%15.2%21.8%19.7%15.3%
HV 60d18.8%17.5%19.6%19.6%17.5%
IV Rank26.5%20.2%31.7%28.5%26.1%
IV Percentile37.8%26.2%52.0%38.5%38.9%
Term Structure0.0%-0.3%0.4%0.2%0.0%
VWIV16.8%15.8%18.4%16.1%16.6%
Skew 25d2.0%1.5%2.4%2.1%2.1%
Skew 10d4.5%3.7%5.6%4.4%5.0%
Call IV 25d15.7%15.0%16.6%15.9%15.5%
Put IV 25d17.7%16.7%18.8%18.0%17.6%
Bid-Ask Spread %19.684.1554.877.4214.66
Gamma HHI0.100.060.480.090.06
Net GEX-13.0M-177.6M40.9M30.9M-11.9M
Net DEX-35.2M-683.8M503.7M-499.2M140.8M
Net VEX-6.3M-6.8M-5.8M-6.1M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.304.351.550.30
Total Volume68,30821,440160,48844,83450,646
Total OI1,519,628.7621,262,5821,767,2521,533,4581,396,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$32.01$31.0016.6%4.5%19.7%28.5%16.1%2.1%0.2%30.9M-499.2M-6.1M1.557.4217,59227,242687,196846,262
2024-01-03$32.15$31.2516.6%4.6%19.7%27.8%16.1%2.0%0.1%30.8M-545.9M-6.0M1.3135.2713,52817,668688,612863,140
2024-01-04$32.22$31.5016.8%4.9%19.5%29.7%17.8%2.1%0.0%34.7M-581.7M-6.1M2.804.1511,08431,058692,292871,102
2024-01-05$32.17$31.5016.4%4.8%19.2%26.5%16.7%2.1%0.0%30.6M-508.0M-6.2M1.264.8226,34033,318693,772894,440
2024-01-08$32.47$32.0016.2%4.6%19.4%25.0%16.9%2.0%0.1%40.9M-683.8M-5.8M0.856.4120,07617,064701,288898,042
2024-01-09$32.23$32.0016.1%4.7%19.6%24.0%16.3%1.9%0.4%30.9M-516.5M-6.0M2.267.496,56814,872694,702911,196
2024-01-10$32.25$32.0015.6%4.5%19.6%20.2%15.8%1.7%0.0%30.1M-543.8M-5.8M2.954.3520,70061,094697,392918,996
2024-01-11$31.43$32.0016.3%4.7%21.8%25.8%16.4%1.9%0.0%-16.2M-28.2M-6.2M1.6224.4628,54046,354704,326962,270
2024-01-12$31.61$32.0015.9%4.6%17.1%22.4%15.8%1.5%0.0%-1.3M-133.4M-6.2M1.1824.4022,66226,838710,202953,054
2024-01-16$31.29$32.0016.6%4.8%17.0%28.2%16.8%2.2%0.1%-23.8M38.9M-6.0M0.7624.8834,25226,034709,824948,876
2024-01-17$30.80$32.0017.0%4.9%15.7%31.5%18.4%2.2%0.2%-48.5M296.9M-6.1M2.8827.7138,268110,098712,496955,760
2024-01-18$30.52$32.0017.0%4.9%15.9%31.7%17.3%2.0%0.0%-61.9M466.9M-6.2M4.3554.8729,976130,512725,0141,001,496
2024-01-19$30.50$32.0016.9%4.9%15.8%30.9%17.2%2.0%-0.3%-177.6M478.6M-6.5M1.899.2540,76076,928721,2601,045,992
2024-01-22$30.32$31.5016.9%4.9%15.3%30.2%16.7%2.4%-0.0%-35.8M400.1M-6.5M0.3210.6542,41813,508435,074827,508
2024-01-23$30.34$31.0016.1%4.7%15.2%23.9%16.5%2.3%-0.2%-31.7M363.5M-6.5M0.474.6737,83617,606462,774833,586
2024-01-24$29.97$31.0016.2%4.8%15.6%25.2%15.9%2.3%0.1%-35.0M503.7M-6.5M3.0226.2029,08887,842486,654847,790
2024-01-25$30.48$31.0016.2%4.8%16.5%25.0%16.9%2.1%-0.0%-21.7M244.8M-6.6M1.2338.0432,42439,832499,996844,530
2024-01-26$30.61$31.0016.0%4.7%16.6%22.9%16.7%1.8%0.1%-13.4M167.2M-6.7M0.727.6524,23217,344513,546858,474
2024-01-29$30.83$31.0016.5%4.9%16.2%27.2%18.4%1.9%0.0%-7.8M72.4M-6.7M1.3545.0620,56027,726488,412847,740
2024-01-30$30.77$31.0016.1%4.8%16.2%23.7%16.9%2.1%0.1%-15.3M127.1M-6.7M0.6030.9540,05623,924487,590873,134
2024-01-31$30.75$31.0016.4%4.8%15.3%26.1%16.6%2.1%0.0%-11.9M140.8M-6.8M0.3014.6638,81011,836510,700885,694