XLU Options History — May 2024

In May 2024, XLU traded between $33.87 and $36.35. ATM implied volatility averaged 15.3%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.9% (HV 20d: 13.4%). Max pain ranged from $32.50 to $34.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.36.

Notable Days

2024-05-10: Highest Volume — 201,592 contracts
2024-05-16: Largest IV spike — 34.8% change
2024-05-16: Highest IV Rank — 58.6%
2024-05-01: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.43	$33.87	$36.35	$33.89	$36.16
Max Pain	$33.57	$32.50	$34.00	$32.50	$34.00
ATM IV	15.3%	13.7%	19.8%	15.9%	16.1%
Expected Move	4.3%	3.9%	4.9%	4.9%	4.4%
HV 20d	13.4%	10.5%	15.7%	15.6%	14.7%
HV 60d	14.4%	13.6%	15.0%	15.0%	14.0%
IV Rank	24.5%	13.0%	58.6%	29.0%	30.9%
IV Percentile	28.9%	5.6%	90.1%	35.7%	46.8%
Term Structure	0.3%	-4.9%	7.2%	-4.9%	-0.5%
VWIV	15.5%	14.3%	17.5%	17.3%	16.5%
Skew 25d	1.3%	-6.6%	7.8%	2.6%	2.3%
Skew 10d	2.7%	-9.8%	15.1%	5.1%	1.1%
Call IV 25d	15.3%	13.2%	24.0%	14.7%	15.2%
Put IV 25d	16.6%	14.1%	23.0%	17.3%	17.5%
Bid-Ask Spread %	51.39	39.97	60.79	60.39	48.59
Gamma HHI	0.08	0.06	0.14	0.07	0.07
Net GEX	3.9M	-36.4M	29.1M	9.6M	15.8M
Net DEX	-961.7M	-1.34B	-599.0M	-657.4M	-1.07B
Net VEX	-6.5M	-7.1M	-5.5M	-6.9M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.36	0.45	5.41	1.92	0.45
Total Volume	92,256.727	29,174	201,592	97,732	57,450
Total OI	1,818,291.273	1,540,998	2,074,404	1,540,998	1,967,544

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
2024-05-01	$33.89	$32.50	15.9%	4.9%	15.6%	29.0%	17.3%	2.6%	-4.9%	9.6M	-657.4M	-6.9M	1.92	60.39	33,476	64,256	520,560	1,020,438
2024-05-02	$33.87	$32.50	16.5%	4.9%	15.4%	33.7%	17.5%	2.1%	1.8%	18.2M	-665.2M	-6.8M	5.03	48.58	10,708	53,814	531,814	1,016,886
2024-05-03	$34.16	$33.00	16.3%	4.5%	15.5%	32.2%	16.2%	1.5%	-0.2%	14.9M	-799.2M	-6.7M	1.32	53.37	21,872	28,792	536,666	1,048,620
2024-05-06	$34.34	$33.00	15.8%	4.2%	15.5%	28.2%	15.0%	1.3%	-0.0%	18.8M	-773.1M	-6.5M	1.78	55.59	10,478	18,696	508,934	1,035,588
2024-05-07	$34.66	$33.00	14.5%	4.2%	15.7%	18.6%	15.2%	0.5%	0.6%	21.2M	-867.5M	-6.3M	2.70	56.95	14,636	39,566	513,690	1,046,682
2024-05-08	$35.09	$33.00	14.4%	4.1%	14.4%	18.0%	14.7%	1.5%	0.8%	24.1M	-1.02B	-5.9M	0.82	39.97	35,840	29,432	516,908	1,056,342
2024-05-09	$35.61	$33.00	14.5%	4.1%	14.9%	18.5%	15.4%	1.3%	0.4%	29.1M	-1.18B	-5.5M	2.19	51.15	42,474	92,922	535,350	1,075,144
2024-05-10	$35.70	$33.00	14.7%	4.3%	13.9%	20.6%	15.5%	1.5%	0.4%	28.3M	-1.20B	-5.7M	2.60	49.88	56,048	145,544	556,960	1,145,490
2024-05-13	$35.61	$33.50	15.8%	4.2%	12.8%	28.3%	16.3%	6.6%	-1.7%	16.9M	-1.13B	-6.5M	4.23	52.99	20,486	86,574	600,142	1,200,218
2024-05-14	$35.72	$34.00	15.6%	4.3%	11.3%	26.8%	15.9%	-4.0%	-0.1%	11.2M	-1.15B	-6.3M	2.86	51.52	45,734	130,770	605,412	1,247,150
2024-05-15	$36.24	$34.00	14.7%	4.1%	10.5%	20.4%	15.8%	1.7%	-0.3%	12.5M	-1.34B	-6.4M	3.25	53.15	22,606	73,444	635,760	1,346,240
2024-05-16	$36.09	$34.00	19.8%	4.1%	11.1%	58.6%	14.6%	7.8%	-1.3%	-2.0M	-1.23B	-6.7M	1.84	60.79	41,672	76,704	640,332	1,369,312
2024-05-17	$36.09	$34.00	14.3%	4.0%	10.8%	17.1%	14.7%	0.8%	-0.8%	-30.8M	-1.27B	-6.4M	0.47	58.05	100,258	46,994	666,938	1,407,466
2024-05-20	$36.05	$34.00	14.0%	4.0%	10.9%	14.9%	14.4%	0.6%	1.2%	2.6M	-963.2M	-7.0M	2.52	42.98	32,752	82,628	656,448	1,246,198
2024-05-21	$36.35	$34.00	13.7%	3.9%	11.0%	13.0%	14.4%	0.9%	1.4%	8.7M	-1.11B	-6.6M	1.17	46.46	24,526	28,576	654,774	1,258,340
2024-05-22	$36.02	$34.00	14.1%	4.0%	11.9%	15.4%	15.1%	1.1%	0.7%	-8.6M	-953.8M	-6.5M	4.42	45.08	17,854	78,910	663,632	1,271,940
2024-05-23	$35.39	$34.00	14.7%	4.1%	14.0%	20.0%	15.0%	1.2%	1.3%	-36.4M	-626.0M	-7.1M	2.63	57.48	29,036	76,354	689,702	1,316,432
2024-05-24	$35.74	$34.00	14.7%	4.1%	13.5%	20.5%	14.3%	1.2%	0.7%	-12.5M	-861.5M	-6.7M	1.76	50.03	15,018	26,380	690,686	1,325,316
2024-05-28	$35.73	$34.00	15.6%	4.5%	13.3%	26.8%	15.4%	2.6%	0.7%	-13.6M	-847.3M	-6.8M	0.79	54.18	21,260	16,876	669,070	1,284,382
2024-05-29	$35.28	$34.00	16.4%	4.5%	14.3%	32.6%	16.5%	1.4%	-1.5%	-34.3M	-599.0M	-7.0M	5.41	41.19	20,776	112,294	673,760	1,297,186
2024-05-30	$35.67	$34.00	14.1%	4.5%	14.2%	16.0%	16.1%	-6.6%	7.2%	-8.5M	-828.7M	-6.8M	1.81	52.21	16,072	29,090	671,678	1,280,278
2024-05-31	$36.16	$34.00	16.1%	4.4%	14.7%	30.9%	16.5%	2.3%	-0.5%	15.8M	-1.07B	-6.5M	0.45	48.59	39,520	17,930	678,306	1,289,238