XLU Options History — March 2024

In March 2024, XLU traded between $30.80 and $32.81. ATM implied volatility averaged 15.5%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.3% (HV 20d: 15.8%). Max pain ranged from $30.75 to $31.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2024-03-15: Highest Volume — 105,992 contracts
  • 2024-03-04: Largest IV spike — 20.5% change
  • 2024-03-04: Highest IV Rank — 58.2%
  • 2024-03-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.80$30.80$32.81$30.80$32.81
Max Pain$31.18$30.75$31.50$30.75$31.50
ATM IV15.5%12.0%20.3%16.8%14.0%
Expected Move4.4%3.8%5.2%4.7%3.9%
HV 20d15.8%12.4%18.7%17.9%14.7%
HV 60d16.7%15.6%18.2%17.7%16.1%
IV Rank20.9%0.0%58.2%30.0%15.4%
IV Percentile32.0%0.0%85.3%53.6%8.7%
Term Structure0.1%-9.0%11.0%-0.4%0.2%
VWIV15.7%13.8%18.2%16.4%14.0%
Skew 25d1.2%-0.4%2.1%1.1%0.9%
Skew 10d2.8%0.6%6.8%6.8%2.7%
Call IV 25d15.2%13.1%17.2%16.1%13.7%
Put IV 25d16.4%14.6%18.6%17.1%14.7%
Bid-Ask Spread %39.118.5464.0264.0247.23
Gamma HHI0.090.080.180.090.09
Net GEX15.8M-24.2M57.8M-24.2M43.3M
Net DEX-224.6M-512.7M148.6M148.6M-512.7M
Net VEX-7.0M-7.2M-6.8M-7.1M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.363.480.631.25
Total Volume47,753.823,786105,99296,11259,352
Total OI1,524,542.41,322,3561,707,4761,589,9181,420,678

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$30.80$30.7516.8%4.7%17.9%30.0%16.4%1.1%-0.4%-24.2M148.6M-7.1M0.6364.0259,04837,064546,8621,043,056
2024-03-04$31.34$31.0020.3%4.7%18.7%58.2%16.9%2.1%-9.0%6.9M-126.6M-7.1M1.1410.7619,29822,038557,6321,028,900
2024-03-05$31.17$31.0017.8%5.2%16.9%38.1%18.0%1.5%0.6%-8.2M-25.8M-7.2M1.1447.2442,18448,038559,4181,045,238
2024-03-06$31.58$31.0017.2%4.9%17.4%32.7%18.2%1.3%-0.4%11.8M-223.5M-7.2M1.1823.3412,58614,800579,2581,066,032
2024-03-07$31.84$31.0017.0%4.8%17.5%31.8%17.0%1.3%-0.8%20.0M-335.5M-7.2M0.368.5426,2989,396581,8581,074,732
2024-03-08$31.89$31.0016.5%4.7%16.9%27.6%16.9%1.4%-0.2%19.6M-364.3M-7.1M1.0018.2320,47820,532575,9621,079,382
2024-03-11$31.98$31.0016.6%4.8%16.9%28.3%16.8%0.8%0.1%21.3M-355.2M-7.0M0.4938.8619,0409,238561,7861,079,114
2024-03-12$31.73$31.0015.9%4.7%17.0%22.2%16.4%1.4%0.2%19.7M-281.6M-6.9M1.8944.3915,64629,504570,8721,086,392
2024-03-13$31.97$31.0015.7%4.5%15.2%20.7%15.9%0.8%0.2%31.1M-379.6M-7.0M0.6749.3817,44211,726576,5841,099,264
2024-03-14$31.58$31.0015.5%4.5%15.9%18.8%15.9%1.4%0.5%28.0M-181.5M-7.0M0.8657.7923,04419,718583,4561,099,918
2024-03-15$31.66$31.0016.3%4.5%15.4%25.9%15.7%-0.4%3.9%57.8M-275.2M-7.0M1.4652.6043,12862,864594,2421,113,234
2024-03-18$31.61$31.5015.4%4.4%15.5%18.2%15.3%1.3%-0.4%9.1M-81.8M-7.1M0.8937.7218,92216,828463,496858,860
2024-03-19$31.88$31.5014.7%4.2%15.6%12.3%15.1%2.0%-0.4%16.6M-170.9M-7.2M1.6534.2410,32617,066476,938868,886
2024-03-20$31.91$31.5014.6%4.2%15.2%12.1%15.0%0.7%-3.1%19.3M-210.4M-6.9M3.4850.2111,98041,708483,738880,196
2024-03-21$32.00$31.5014.0%4.0%15.0%7.3%14.3%0.8%0.2%16.9M-225.2M-7.0M3.0739.4414,51844,594481,516880,360
2024-03-22$31.95$31.5014.1%4.0%14.8%7.6%14.1%0.9%0.5%-14.3M-162.7M-7.1M1.0237.1011,76212,024488,440913,456
2024-03-25$32.06$31.2514.2%4.0%12.5%8.7%14.4%1.6%-1.1%8.4M-224.5M-7.0M0.6239.3316,23610,064487,446890,066
2024-03-26$31.77$31.2512.0%4.1%12.4%0.0%14.8%0.9%11.0%-2.8M-96.8M-7.0M1.7938.3211,86421,226497,568895,904
2024-03-27$32.49$31.2512.3%3.8%14.5%2.4%13.8%1.5%-0.2%35.6M-407.4M-6.8M0.9943.4526,85826,638501,790898,318
2024-03-28$32.81$31.5014.0%3.9%14.7%15.4%14.0%0.9%0.2%43.3M-512.7M-6.8M1.2547.2326,37032,982509,510911,168