XLU Options History — August 2024

In August 2024, XLU traded between $36.15 and $38.14. ATM implied volatility averaged 16.3%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 15.4%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.14.

Notable Days

2024-08-05: Highest Volume — 157,078 contracts
2024-08-05: Largest IV spike — 35.4% change
2024-08-05: Highest IV Rank — 91.6%
2024-08-05: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.24	$36.15	$38.14	$37.06	$38.14
Max Pain	$33.98	$32.50	$35.00	$35.00	$34.50
ATM IV	16.3%	13.7%	24.3%	16.6%	14.8%
Expected Move	4.7%	3.9%	6.9%	5.2%	4.1%
HV 20d	15.4%	11.7%	19.9%	16.9%	12.2%
HV 60d	14.8%	14.0%	15.5%	15.0%	14.0%
IV Rank	32.5%	12.6%	91.6%	34.4%	21.1%
IV Percentile	40.0%	2.4%	98.4%	57.5%	16.7%
Term Structure	0.1%	-1.0%	5.9%	-0.3%	0.0%
VWIV	16.9%	13.7%	28.2%	18.1%	15.9%
Skew 25d	2.6%	-1.9%	7.8%	2.1%	3.0%
Skew 10d	4.4%	-2.6%	10.1%	-1.7%	-2.6%
Call IV 25d	15.5%	12.4%	25.4%	15.6%	13.2%
Put IV 25d	18.1%	13.9%	26.4%	17.7%	16.2%
Bid-Ask Spread %	46.15	27.44	58.37	45.06	35.85
Gamma HHI	0.08	0.06	0.12	0.08	0.12
Net GEX	21.8M	-9.3M	48.3M	33.2M	26.9M
Net DEX	-871.7M	-1.19B	-617.3M	-1.08B	-891.8M
Net VEX	-5.7M	-6.7M	-5.2M	-5.5M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.34	6.78	1.97	2.70
Total Volume	53,124.273	23,238	157,078	87,788	45,694
Total OI	1,711,543.455	1,502,042	1,845,898	1,647,868	1,733,260

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
2024-08-01	$37.06	$35.00	16.6%	5.2%	16.9%	34.4%	18.1%	2.1%	-0.3%	33.2M	-1.08B	-5.5M	1.97	45.06	29,580	58,208	563,028	1,084,840
2024-08-02	$37.00	$35.00	17.9%	5.8%	17.0%	44.3%	20.2%	2.3%	-0.2%	23.4M	-1.02B	-5.8M	1.00	46.18	40,170	40,060	571,018	1,120,240
2024-08-05	$36.15	$32.50	24.3%	6.9%	19.5%	91.6%	28.2%	5.3%	-0.7%	11.9M	-617.3M	-6.7M	1.06	58.37	76,284	80,794	577,308	1,109,694
2024-08-06	$36.65	$33.50	20.4%	5.7%	19.9%	62.9%	20.0%	-1.9%	5.9%	25.4M	-856.7M	-6.4M	0.80	49.42	24,662	19,796	600,960	1,154,730
2024-08-07	$36.66	$33.50	20.0%	5.7%	19.9%	59.9%	19.7%	-1.6%	-0.6%	23.0M	-844.5M	-6.4M	1.47	48.52	21,616	31,812	598,152	1,164,148
2024-08-08	$36.73	$33.50	19.3%	5.4%	18.8%	54.2%	18.9%	3.8%	-0.3%	33.0M	-900.6M	-6.1M	0.57	51.22	20,962	11,976	616,000	1,181,430
2024-08-09	$36.78	$33.50	17.4%	4.9%	18.4%	40.2%	19.3%	3.9%	0.0%	38.6M	-938.2M	-6.0M	0.95	47.88	15,370	14,592	608,948	1,184,868
2024-08-12	$36.77	$33.50	17.4%	4.9%	14.7%	40.1%	17.7%	7.8%	-0.5%	31.8M	-900.6M	-6.1M	3.96	52.07	8,802	34,882	603,170	1,174,216
2024-08-13	$37.05	$33.50	16.2%	4.4%	14.6%	31.7%	15.7%	3.1%	-0.7%	37.8M	-1.04B	-5.7M	1.33	53.29	16,242	21,588	606,116	1,188,176
2024-08-14	$37.12	$33.50	15.2%	4.3%	14.5%	24.0%	15.7%	2.9%	-0.1%	45.8M	-1.11B	-5.5M	0.99	53.92	11,704	11,534	614,632	1,196,992
2024-08-15	$37.08	$33.50	14.6%	4.3%	14.5%	19.2%	15.1%	1.7%	-0.1%	48.3M	-1.12B	-5.5M	3.25	42.58	14,134	45,912	617,120	1,200,784
2024-08-16	$37.25	$33.50	13.9%	4.0%	14.5%	14.5%	13.7%	2.0%	-0.4%	31.9M	-1.19B	-5.2M	2.77	51.55	16,180	44,892	618,396	1,227,502
2024-08-19	$37.48	$34.00	13.7%	3.9%	14.4%	12.6%	14.0%	1.5%	1.4%	19.6M	-704.2M	-5.3M	1.40	43.78	13,016	18,162	459,378	1,042,664
2024-08-20	$37.37	$34.00	14.0%	4.0%	14.3%	15.2%	13.9%	2.1%	0.6%	16.5M	-683.8M	-5.3M	6.78	27.44	11,370	77,052	467,730	1,059,284
2024-08-21	$37.66	$34.00	14.1%	4.0%	14.2%	15.8%	14.7%	2.5%	0.3%	10.5M	-755.6M	-5.3M	2.31	37.97	14,110	32,612	481,974	1,130,900
2024-08-22	$37.58	$34.50	14.9%	4.3%	13.7%	21.9%	15.0%	2.7%	0.4%	4.9M	-708.9M	-5.4M	4.80	42.13	6,876	32,976	486,422	1,155,622
2024-08-23	$37.67	$34.50	14.8%	4.2%	13.5%	21.3%	13.7%	2.1%	0.8%	-2.9M	-732.0M	-5.4M	0.34	42.41	51,208	17,194	488,564	1,181,114
2024-08-26	$37.97	$34.50	13.8%	4.2%	13.6%	13.9%	15.3%	2.5%	-0.4%	16.9M	-860.6M	-5.3M	0.96	48.62	12,058	11,584	511,102	1,147,698
2024-08-27	$37.70	$34.50	15.6%	4.4%	14.0%	27.1%	15.6%	3.1%	-0.7%	6.3M	-762.1M	-5.5M	3.93	46.72	11,650	45,836	517,386	1,154,624
2024-08-28	$37.67	$34.50	15.4%	4.3%	13.5%	25.5%	15.7%	3.0%	-0.3%	-9.3M	-709.0M	-5.6M	2.92	46.25	6,562	19,156	525,724	1,194,544
2024-08-29	$37.72	$34.50	15.2%	4.3%	11.7%	24.0%	15.3%	2.5%	-1.0%	7.0M	-754.6M	-5.6M	0.80	43.98	16,600	13,266	528,338	1,205,160
2024-08-30	$38.14	$34.50	14.8%	4.1%	12.2%	21.1%	15.9%	3.0%	0.0%	26.9M	-891.8M	-5.2M	2.70	35.85	12,334	33,360	521,796	1,211,464