XLU Options History — July 2024 In July 2024, XLU traded between $33.88 and $36.35. ATM implied volatility averaged 16.1%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.9% (HV 20d: 14.2%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.37.
Notable Days 2024-07-11 : Highest Volume — 140,352 contracts2024-07-02 : Largest IV drop — 24.6% change2024-07-01 : Highest IV Rank — 62.4%2024-07-29 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $35.03 $33.88 $36.35 $33.88 $36.35 Max Pain $34.07 $33.00 $35.00 $35.00 $35.00 ATM IV 16.1% 13.6% 20.3% 20.3% 15.0% Expected Move 4.6% 4.0% 5.1% 4.2% 4.6% HV 20d 14.2% 10.3% 16.8% 10.8% 15.8% HV 60d 14.3% 13.7% 14.8% 14.3% 14.5% IV Rank 30.3% 12.0% 62.4% 62.4% 22.3% IV Percentile 40.7% 2.0% 90.1% 90.1% 15.5% Term Structure 0.2% -1.8% 4.7% -0.3% 0.2% VWIV 15.9% 12.3% 17.9% 14.8% 15.4% Skew 25d 2.7% 0.9% 10.0% 0.9% 10.0% Skew 10d 4.0% 2.4% 12.7% 3.4% 12.7% Call IV 25d 15.1% 13.4% 16.1% 15.5% 13.4% Put IV 25d 17.8% 15.2% 23.4% 16.4% 23.4% Bid-Ask Spread % 44.15 9.15 65.66 41.25 55.97 Gamma HHI 0.08 0.06 0.33 0.06 0.09 Net GEX 13.6M -14.4M 87.3M -14.4M 31.6M Net DEX -470.9M -889.3M -59.5M -59.5M -889.3M Net VEX -6.3M -6.8M -5.6M -6.8M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.32 2.75 1.03 1.07 Total Volume 47,278.455 14,302 140,352 33,932 31,042 Total OI 1,620,736.455 1,518,554 1,748,064 1,518,554 1,648,902
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 2024-07-01 $33.88 $35.00 20.3% 4.2% 10.8% 62.4% 14.8% 0.9% -0.3% -14.4M -59.5M -6.8M 1.03 41.25 16,680 17,252 587,368 931,186 2024-07-02 $34.06 $35.00 15.3% 4.0% 11.1% 25.1% 14.0% 1.8% 1.0% -10.5M -130.9M -6.7M 1.09 20.92 17,548 19,090 591,898 937,026 2024-07-03 $34.20 $35.00 14.6% 4.0% 11.3% 19.9% 12.3% 1.0% 0.2% -7.0M -192.6M -6.6M 2.22 47.18 9,686 21,512 593,518 937,568 2024-07-05 $34.26 $33.00 15.3% 4.2% 11.1% 24.5% 16.2% 2.1% -0.5% -10.2M -182.9M -6.7M 1.86 35.82 17,078 31,780 595,414 939,628 2024-07-08 $34.28 $33.00 15.0% 4.3% 10.8% 22.6% 14.9% 1.2% 0.7% -8.5M -200.6M -6.7M 0.79 13.18 20,464 16,178 594,800 957,632 2024-07-09 $34.42 $33.00 18.2% 4.5% 10.7% 46.3% 15.7% 6.6% 0.3% 2.4M -276.8M -6.4M 2.48 9.15 10,998 27,220 605,672 964,456 2024-07-10 $34.63 $33.00 15.3% 4.6% 10.3% 24.5% 15.8% 5.2% 0.6% 2.7M -357.7M -6.5M 1.57 59.79 26,666 41,740 610,442 978,754 2024-07-11 $35.34 $33.00 15.4% 4.4% 12.8% 25.6% 16.1% 1.3% -0.4% 22.7M -698.7M -6.0M 1.11 57.19 66,574 73,778 624,420 1,006,358 2024-07-12 $35.73 $34.00 13.6% 4.4% 12.9% 12.0% 15.5% 6.4% 4.7% 33.3M -869.9M -6.3M 0.68 56.47 28,868 19,542 656,056 1,070,518 2024-07-15 $34.73 $34.00 16.3% 4.7% 16.5% 31.9% 16.6% 1.6% -0.1% -4.8M -310.7M -6.7M 0.32 50.72 40,174 12,968 637,646 1,060,352 2024-07-16 $35.06 $34.00 16.2% 4.7% 16.8% 31.7% 15.8% 1.8% -0.2% 11.7M -496.7M -6.3M 0.53 65.66 18,984 9,992 641,576 1,062,782 2024-07-17 $35.02 $34.00 16.7% 4.8% 16.4% 35.5% 16.9% 2.4% -0.5% 19.1M -476.2M -6.6M 1.26 38.38 12,598 15,850 657,934 1,066,682 2024-07-18 $35.02 $34.00 16.8% 4.8% 16.4% 36.0% 16.8% 1.9% -1.8% 30.2M -474.1M -6.5M 2.01 48.76 19,604 39,484 661,276 1,059,496 2024-07-19 $35.05 $34.00 16.3% 4.8% 16.1% 32.1% 16.4% 1.5% -0.4% 87.3M -504.8M -6.5M 1.13 46.12 22,344 25,206 669,158 1,078,906 2024-07-22 $35.36 $34.00 15.4% 4.7% 16.2% 25.5% 16.5% 1.0% 2.1% 13.8M -552.1M -6.2M 2.75 42.16 14,328 39,342 554,422 1,004,784 2024-07-23 $35.20 $34.00 16.1% 4.7% 16.3% 30.4% 16.3% 2.6% 0.3% 8.4M -513.5M -6.1M 1.07 47.69 6,920 7,382 558,934 1,014,542 2024-07-24 $35.56 $34.00 15.8% 4.6% 16.0% 28.5% 16.1% 3.0% -0.7% 22.5M -654.4M -5.9M 2.22 59.24 19,472 43,260 563,120 1,020,386 2024-07-25 $35.27 $34.50 16.5% 4.9% 16.3% 33.7% 17.0% 1.8% 0.3% 2.0M -479.2M -6.3M 0.70 49.01 28,384 19,916 567,358 1,054,292 2024-07-26 $35.58 $34.50 16.0% 4.6% 16.5% 29.9% 16.2% 1.7% -0.3% 21.7M -630.0M -6.0M 1.49 41.53 20,544 30,518 576,080 1,066,610 2024-07-29 $35.84 $34.50 16.6% 5.1% 15.6% 34.2% 17.9% 1.3% -0.6% 22.2M -698.4M -5.9M 1.55 37.38 19,752 30,612 554,780 1,051,156 2024-07-30 $35.88 $35.00 16.4% 5.0% 15.4% 32.9% 17.5% 2.5% -0.8% 23.4M -711.8M -5.9M 1.32 47.71 12,416 16,380 564,578 1,077,736 2024-07-31 $36.35 $35.00 15.0% 4.6% 15.8% 22.3% 15.4% 10.0% 0.2% 31.6M -889.3M -5.6M 1.07 55.97 15,024 16,018 564,804 1,084,098
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