XLU Options History — February 2024

In February 2024, XLU traded between $29.88 and $31.18. ATM implied volatility averaged 17.0%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.1% (HV 20d: 17.0%). Max pain ranged from $30.50 to $31.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2024-02-13: Highest Volume — 153,364 contracts
  • 2024-02-20: Largest IV spike — 28.5% change
  • 2024-02-20: Highest IV Rank — 65.8%
  • 2024-02-13: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.56$29.88$31.18$31.18$31.15
Max Pain$30.57$30.50$31.00$30.50$30.50
ATM IV17.0%15.7%21.2%15.7%16.3%
Expected Move4.7%4.4%5.1%4.7%4.4%
HV 20d17.0%15.4%18.2%16.2%18.2%
HV 60d17.5%16.3%18.3%17.7%17.6%
IV Rank31.8%20.5%65.8%20.5%25.3%
IV Percentile52.2%26.6%88.9%26.6%37.3%
Term Structure0.3%-3.6%7.1%-0.1%-0.2%
VWIV16.7%13.1%19.3%16.8%16.4%
Skew 25d2.1%0.8%6.3%2.1%2.2%
Skew 10d3.8%-0.6%4.8%4.3%4.0%
Call IV 25d16.0%14.8%17.3%14.8%15.2%
Put IV 25d18.2%16.9%22.9%16.9%17.4%
Bid-Ask Spread %12.534.3959.0431.5159.04
Gamma HHI0.080.060.100.060.09
Net GEX-28.5M-55.1M-1.5M-1.5M-6.9M
Net DEX240.2M-36.2M596.9M-36.2M-396.4K
Net VEX-6.9M-7.1M-6.6M-6.7M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.355.390.351.03
Total Volume78,73541,090153,36471,46852,626
Total OI1,514,087.41,386,1621,613,6741,400,1301,577,386

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$31.18$30.5015.7%4.7%16.2%20.5%16.8%2.1%-0.1%-1.5M-36.2M-6.7M0.3531.5152,87218,596509,844890,286
2024-02-02$30.89$30.5015.7%4.5%16.4%20.9%18.7%2.1%0.4%-11.8M97.2M-6.7M1.716.7253,80891,872510,462899,860
2024-02-05$30.23$30.5017.2%4.9%17.7%32.9%19.3%2.3%0.2%-42.8M395.9M-6.6M3.4736.4425,21487,584495,740890,422
2024-02-06$30.30$30.5016.8%4.8%17.3%29.4%17.1%2.2%-0.2%-41.5M366.0M-6.8M1.325.6431,92642,168512,620932,016
2024-02-07$30.21$30.5016.5%4.8%17.2%27.0%13.1%1.9%0.4%-47.7M447.4M-6.9M5.397.3112,55867,676513,120959,400
2024-02-08$29.93$30.5016.5%4.8%17.2%27.7%16.0%2.0%0.3%-55.1M536.7M-6.7M1.756.2847,81483,774517,970971,508
2024-02-09$30.10$30.5016.5%4.8%15.4%27.5%16.4%1.8%0.1%-46.8M450.0M-7.1M2.218.3922,75250,326538,0161,020,406
2024-02-12$30.45$30.5016.9%4.8%15.9%30.3%17.4%1.5%1.8%-36.6M292.6M-7.1M0.547.9462,67433,636527,0601,030,560
2024-02-13$29.88$30.5018.0%5.1%16.8%39.5%19.3%2.1%1.3%-49.8M596.9M-7.1M1.637.1558,21095,154558,8841,053,938
2024-02-14$30.18$30.5017.2%4.9%16.6%33.2%16.7%1.9%7.1%-35.9M405.0M-7.1M2.276.9824,23054,946564,1621,029,416
2024-02-15$30.55$30.5017.3%4.9%16.9%34.1%16.7%1.7%1.0%-21.1M182.9M-7.1M0.567.5240,19022,702566,5141,039,544
2024-02-16$30.61$30.5016.5%4.8%16.9%27.4%17.0%1.5%-3.6%-23.5M132.1M-7.0M1.147.8641,49047,486571,7761,041,898
2024-02-20$30.57$30.5021.2%4.9%16.8%65.8%16.9%2.7%-0.5%-26.0M214.0M-7.0M0.969.2921,14420,200490,104981,814
2024-02-21$30.91$30.5018.4%4.8%17.2%42.9%16.1%2.1%-0.7%-12.9M67.1M-7.0M0.9110.1123,88021,790494,890986,650
2024-02-22$30.75$30.5017.7%4.7%16.7%37.2%16.6%6.3%-0.7%-18.9M148.0M-7.0M1.477.4716,64424,446508,972990,710
2024-02-23$31.05$30.5016.5%4.4%16.0%27.4%15.7%2.4%-0.2%-10.2M11.7M-6.8M2.085.0019,73841,020512,8001,004,096
2024-02-26$30.44$31.0016.4%4.6%17.5%27.0%16.1%0.8%-0.2%-41.2M326.8M-6.9M4.7810.9211,76656,226502,5841,010,636
2024-02-27$30.88$31.0016.9%4.5%18.1%30.8%15.6%2.3%-0.7%-23.1M110.9M-6.9M0.494.3933,50216,498506,1361,019,098
2024-02-28$30.98$31.0016.7%4.5%18.1%29.1%16.2%1.2%-0.2%-16.4M58.9M-6.9M0.784.5725,58819,974522,1221,028,328
2024-02-29$31.15$30.5016.3%4.4%18.2%25.3%16.4%2.2%-0.2%-6.9M-396.4K-7.1M1.0359.0425,92226,704541,1681,036,218