XLU Options History — April 2024 In April 2024, XLU traded between $31.42 and $33.53. ATM implied volatility averaged 16.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.5% (HV 20d: 14.3%). Max pain ranged from $31.50 to $32.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2024-04-19 : Highest Volume — 82,678 contracts2024-04-10 : Largest IV drop — 16.1% change2024-04-09 : Highest IV Rank — 53.3%2024-04-19 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $32.68 $31.42 $33.53 $32.67 $33.47 Max Pain $32.34 $31.50 $32.50 $31.50 $32.50 ATM IV 16.8% 15.4% 19.1% 15.4% 16.2% Expected Move 4.7% 4.3% 5.2% 4.3% 4.9% HV 20d 14.3% 12.3% 16.8% 14.1% 15.2% HV 60d 15.7% 15.1% 16.2% 16.2% 15.5% IV Rank 36.2% 25.5% 53.3% 25.6% 31.2% IV Percentile 58.4% 27.4% 88.9% 27.4% 42.1% Term Structure -0.4% -3.6% 2.1% 2.1% -1.2% VWIV 16.8% 15.5% 18.6% 15.5% 17.6% Skew 25d 1.5% -2.9% 9.5% 1.3% -2.9% Skew 10d 3.4% 0.8% 4.6% 3.7% 2.7% Call IV 25d 16.3% 14.8% 19.7% 15.0% 19.7% Put IV 25d 17.9% 16.1% 24.3% 16.2% 16.8% Bid-Ask Spread % 37.42 19.46 48.35 36.16 39.11 Gamma HHI 0.10 0.06 0.18 0.09 0.07 Net GEX 26.5M -18.6M 54.6M 33.8M 5.0M Net DEX -349.2M -542.2M 182.8M -412.9M -496.4M Net VEX -7.1M -7.4M -6.8M -6.9M -6.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.41 3.26 2.19 1.00 Total Volume 46,728.636 24,118 82,678 65,078 28,334 Total OI 1,501,622.273 1,326,702 1,616,516 1,406,980 1,531,282
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2024-04-01 $32.67 $31.50 15.4% 4.3% 14.1% 25.6% 15.5% 1.3% 2.1% 33.8M -412.9M -6.9M 2.19 36.16 20,380 44,698 506,648 900,332 2024-04-02 $32.67 $32.00 16.3% 4.4% 13.0% 32.2% 16.4% 1.0% -0.4% 29.1M -411.4M -7.1M 0.68 48.35 17,734 12,050 516,200 943,934 2024-04-03 $32.63 $32.00 15.7% 4.5% 12.8% 27.6% 16.1% 1.3% -0.1% 31.6M -395.2M -7.0M 0.47 44.55 23,198 10,946 523,278 948,890 2024-04-04 $32.42 $32.50 17.8% 4.9% 12.5% 43.2% 16.9% 0.5% -2.4% 26.8M -303.3M -7.3M 0.80 30.71 35,138 28,002 537,272 952,162 2024-04-05 $32.56 $32.50 16.9% 4.6% 12.3% 36.5% 16.1% -1.8% 0.7% 54.6M -400.2M -7.4M 0.47 30.43 32,074 15,030 563,898 970,400 2024-04-08 $32.76 $32.50 17.3% 4.5% 12.4% 39.9% 16.0% 1.7% -3.6% 48.1M -473.2M -7.1M 1.78 45.21 9,236 16,464 562,246 965,250 2024-04-09 $32.91 $32.50 19.1% 4.5% 12.4% 53.3% 15.8% 0.5% -0.5% 51.2M -514.4M -7.2M 1.58 19.46 9,512 15,024 564,872 971,714 2024-04-10 $32.39 $32.50 16.1% 4.5% 13.5% 30.3% 17.0% 2.2% 0.2% 33.0M -293.3M -7.3M 1.51 24.80 14,550 21,962 568,784 978,392 2024-04-11 $32.45 $32.50 15.8% 4.5% 13.3% 28.1% 16.3% 1.5% 0.1% 35.7M -326.8M -7.1M 1.00 25.33 17,872 17,910 573,258 989,040 2024-04-12 $32.13 $32.50 17.5% 5.0% 13.0% 41.0% 16.9% 1.9% -0.1% 15.2M -131.7M -7.4M 0.41 27.71 41,172 16,702 575,130 998,074 2024-04-15 $31.77 $32.50 18.0% 5.2% 13.7% 45.0% 18.1% 1.8% 0.1% -2.4M 24.5M -7.3M 0.70 23.02 14,184 9,934 569,564 995,838 2024-04-16 $31.42 $32.50 18.1% 5.1% 14.2% 46.0% 18.1% 1.8% -0.8% -18.6M 182.8M -7.3M 0.58 36.45 47,116 27,210 570,352 997,792 2024-04-17 $32.06 $32.00 17.6% 5.0% 15.7% 41.8% 18.3% 2.0% -0.6% 21.8M -155.0M -7.2M 0.90 33.18 20,298 18,250 593,906 1,004,420 2024-04-18 $32.24 $32.00 17.9% 5.2% 15.9% 44.1% 18.0% 1.7% -1.5% 36.3M -233.9M -7.3M 0.56 46.94 22,050 12,316 599,542 1,013,490 2024-04-19 $32.70 $32.00 18.0% 5.2% 16.6% 44.6% 18.6% 1.6% -0.8% 47.8M -514.2M -7.1M 2.56 46.56 23,228 59,450 596,754 1,019,762 2024-04-22 $33.00 $32.50 17.1% 4.9% 16.8% 37.8% 17.4% 1.6% -0.9% 22.2M -371.6M -6.9M 1.27 39.94 31,778 40,480 455,702 871,000 2024-04-23 $33.15 $32.50 16.6% 4.5% 16.8% 34.4% 16.2% 2.3% 1.0% 26.4M -451.1M -7.0M 1.94 39.58 13,232 25,614 482,158 897,196 2024-04-24 $33.45 $32.50 15.9% 4.3% 16.5% 29.1% 15.5% 1.4% -1.2% 26.1M -542.2M -6.8M 1.16 47.61 23,094 26,794 484,718 917,834 2024-04-25 $33.45 $32.50 15.4% 4.5% 14.7% 25.5% 16.2% 1.8% -1.0% 25.9M -538.0M -7.0M 0.63 46.95 18,726 11,766 497,624 935,032 2024-04-26 $33.16 $32.50 16.4% 4.6% 14.8% 32.6% 16.3% 1.0% 1.8% 22.4M -425.9M -7.0M 2.28 44.67 20,668 47,210 498,982 939,708 2024-04-29 $33.53 $32.50 15.5% 4.8% 15.1% 26.3% 16.6% 9.5% -0.6% 11.5M -499.0M -6.9M 3.26 46.48 15,640 51,004 492,690 960,570 2024-04-30 $33.47 $32.50 16.2% 4.9% 15.2% 31.2% 17.6% -2.9% -1.2% 5.0M -496.4M -6.9M 1.00 39.11 14,184 14,150 516,276 1,015,006
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