XLU Options History — June 2024

In June 2024, XLU traded between $34.02 and $35.98. ATM implied volatility averaged 16.5%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.4% (HV 20d: 14.1%). Max pain ranged from $34.00 to $35.50. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.70.

Notable Days

  • 2024-06-06: Highest Volume — 126,558 contracts
  • 2024-06-10: Largest IV drop — 32.6% change
  • 2024-06-07: Highest IV Rank — 85.4%
  • 2024-06-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.98$34.02$35.98$35.92$34.02
Max Pain$35.08$34.00$35.50$34.00$35.00
ATM IV16.5%14.7%23.4%17.0%15.0%
Expected Move4.4%4.1%4.8%4.7%4.1%
HV 20d14.1%12.3%15.1%14.9%12.3%
HV 60d14.3%13.9%14.7%14.1%14.3%
IV Rank34.0%20.0%85.4%37.2%22.6%
IV Percentile46.6%18.3%98.0%70.2%21.4%
Term Structure-1.2%-12.1%1.0%-0.8%0.1%
VWIV15.8%14.3%19.1%17.3%14.3%
Skew 25d2.0%-2.4%11.6%3.7%1.8%
Skew 10d5.8%2.0%10.5%5.4%4.4%
Call IV 25d15.3%14.4%20.0%14.6%14.4%
Put IV 25d17.4%15.5%27.6%18.4%16.2%
Bid-Ask Spread %49.6735.9561.2151.4738.89
Gamma HHI0.080.050.360.070.07
Net GEX-17.0M-107.3M17.2M9.6M-13.3M
Net DEX-531.5M-1.02B-74.7M-991.8M-74.7M
Net VEX-6.8M-7.0M-6.5M-6.5M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.363.111.121.33
Total Volume60,602.52623,956126,55856,90838,996
Total OI1,880,139.1581,427,9062,082,4421,951,5461,530,684

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$35.92$34.0017.0%4.7%14.9%37.2%17.3%3.7%-0.8%9.6M-991.8M-6.5M1.1251.4726,81430,094686,5561,264,990
2024-06-04$35.98$34.0016.9%4.7%14.9%36.6%19.1%1.5%-0.0%17.2M-1.02B-6.7M1.8452.3419,59836,130706,0801,280,472
2024-06-05$35.67$34.0016.6%4.8%15.1%34.2%17.0%11.6%-0.5%-752.5K-847.2M-6.9M1.5647.2821,36833,378706,8621,279,110
2024-06-06$35.33$35.5021.9%4.6%15.0%73.9%16.5%3.0%-12.1%-20.9M-702.0M-6.8M0.3642.8693,00633,552720,8141,305,080
2024-06-07$35.05$35.5023.4%4.6%14.3%85.4%16.1%-2.4%-3.9%-107.3M-553.1M-6.8M3.1153.9125,52479,480732,1741,320,250
2024-06-10$35.36$35.5015.8%4.6%14.7%28.4%16.1%1.6%0.0%351.7K-757.5M-6.8M1.3453.7122,72830,468722,4841,269,836
2024-06-11$35.22$35.5018.1%4.6%14.7%45.7%15.9%1.1%-0.9%-9.7M-669.4M-7.0M1.8057.1212,96623,358737,1721,295,192
2024-06-12$34.92$35.5015.0%4.3%14.9%22.4%15.2%1.5%0.1%-33.1M-469.3M-6.8M2.3854.1011,03026,218738,5781,298,164
2024-06-13$35.16$35.5016.4%4.3%14.1%32.6%16.2%0.1%-1.7%-27.4M-638.8M-6.8M2.4851.8221,11852,288740,3681,299,746
2024-06-14$34.97$35.5015.1%4.3%14.1%23.0%15.3%3.6%-0.1%-27.7M-512.0M-6.9M2.3254.5715,81636,740751,4341,297,410
2024-06-17$34.65$35.5016.9%4.4%14.3%36.9%15.6%1.4%-1.3%-32.5M-372.2M-6.8M1.8260.1012,80423,366726,0941,283,152
2024-06-18$34.59$35.5015.3%4.4%14.3%24.7%15.4%1.5%-0.1%-28.5M-405.4M-6.5M1.1756.9743,62250,948731,0461,279,028
2024-06-20$34.92$35.0015.3%4.4%14.4%25.1%15.6%0.3%0.2%-7.7M-630.4M-6.6M2.5761.2119,08649,048750,6281,296,332
2024-06-21$34.72$35.0014.7%4.4%14.3%20.0%15.3%1.0%-3.6%-20.1M-517.9M-6.6M2.1656.3726,25456,688754,8641,327,578
2024-06-24$34.86$35.0015.5%4.3%13.1%26.3%14.8%1.8%-0.2%-1.1M-289.0M-6.8M0.9741.1022,66421,982536,476891,430
2024-06-25$34.48$35.0015.0%4.3%13.0%22.3%15.5%2.3%1.0%-6.4M-206.6M-6.8M1.2737.8432,98441,910551,322896,870
2024-06-26$34.34$35.0015.3%4.3%13.0%24.7%14.8%1.9%0.5%-8.6M-193.5M-6.9M1.4935.9514,21821,248578,534917,436
2024-06-27$34.47$35.0015.1%4.2%12.4%23.2%14.9%1.6%0.7%-5.3M-249.4M-6.9M1.0936.1511,44012,516585,462932,936
2024-06-28$34.02$35.0015.0%4.1%12.3%22.6%14.3%1.8%0.1%-13.3M-74.7M-6.9M1.3338.8916,70622,290591,924938,760