XLU Options History — September 2024

In September 2024, XLU traded between $37.98 and $40.31. ATM implied volatility averaged 15.8%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.5% (HV 20d: 10.3%). Max pain ranged from $34.50 to $39.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.32.

Notable Days

  • 2024-09-20: Highest Volume — 183,050 contracts
  • 2024-09-30: Largest IV spike — 15.9% change
  • 2024-09-30: Highest IV Rank — 43.6%
  • 2024-09-04: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.17$37.98$40.31$38.05$40.31
Max Pain$37.90$34.50$39.50$34.50$39.50
ATM IV15.8%14.2%17.8%17.1%17.8%
Expected Move4.5%4.1%5.2%5.0%4.6%
HV 20d10.3%7.4%14.0%8.2%13.7%
HV 60d13.8%13.4%14.3%13.8%14.3%
IV Rank28.8%16.7%43.6%38.0%43.6%
IV Percentile37.3%6.7%81.0%70.2%81.0%
Term Structure-0.1%-1.9%1.7%0.1%-1.9%
VWIV16.4%14.7%18.8%17.3%16.3%
Skew 25d2.9%1.3%5.0%2.2%4.5%
Skew 10d6.6%-2.8%11.8%6.5%6.6%
Call IV 25d14.4%13.1%16.8%15.0%14.1%
Put IV 25d17.3%15.8%21.1%17.2%18.6%
Bid-Ask Spread %34.937.6379.8148.6810.06
Gamma HHI0.150.070.530.110.09
Net GEX15.3M-21.8M87.4M10.9M-20.5M
Net DEX-889.5M-1.51B-467.8M-839.0M-588.9M
Net VEX-5.2M-5.6M-4.5M-5.2M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.487.691.162.38
Total Volume74,742.335,108183,05041,89245,942
Total OI1,711,7091,404,0421,990,1561,654,6741,552,126

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$38.05$34.5017.1%5.0%8.2%38.0%17.3%2.2%0.1%10.9M-839.0M-5.2M1.1648.6819,36822,524517,4081,137,266
2024-09-04$38.36$34.5017.3%5.2%7.4%40.0%18.2%2.8%-0.9%18.9M-913.5M-5.4M0.8253.9943,45835,740529,3281,163,370
2024-09-05$38.30$37.0016.7%4.6%7.5%35.4%16.6%3.3%-0.0%11.6M-894.4M-5.2M2.9276.229,91628,988517,9161,184,918
2024-09-06$37.98$37.0017.4%4.9%8.4%40.1%18.8%5.0%-0.7%6.6M-735.2M-5.6M3.1739.5619,44861,740532,8081,252,018
2024-09-09$38.22$37.5017.3%4.8%8.5%39.5%18.0%1.3%-0.2%25.5M-838.2M-5.5M3.1824.8310,84234,444523,9641,188,598
2024-09-10$38.52$37.5016.3%4.6%8.7%32.4%16.5%3.1%0.1%34.7M-906.4M-5.4M2.8615.5812,46235,606529,6721,216,312
2024-09-11$38.58$38.0015.9%4.5%8.5%29.0%16.1%2.5%-0.3%28.3M-938.1M-5.4M1.7617.8612,72422,384534,5861,253,852
2024-09-12$38.77$38.0015.1%4.2%8.5%23.3%15.5%3.0%-0.5%36.2M-1.03B-5.3M0.4820.6766,26831,854537,2541,260,544
2024-09-13$39.17$38.0014.4%4.2%8.9%18.3%15.1%2.2%0.3%56.2M-1.31B-4.9M1.1844.1832,72438,678578,7761,272,714
2024-09-16$39.51$38.0014.8%4.2%9.2%20.6%15.3%2.4%-0.3%40.9M-1.31B-4.8M0.7241.4576,93655,230547,1401,259,072
2024-09-17$39.48$38.0016.1%4.6%9.2%30.5%17.3%2.7%-0.1%19.7M-1.23B-5.0M2.0735.1539,52881,690545,5521,303,346
2024-09-18$39.13$38.5015.7%4.5%9.9%27.4%16.1%4.0%0.6%11.5M-1.02B-5.3M5.2979.8116,38886,622568,4761,369,402
2024-09-19$38.98$38.5014.8%4.3%9.9%21.1%15.6%2.4%-0.1%5.8M-918.9M-5.4M2.2667.5421,24848,104574,0241,404,030
2024-09-20$40.02$38.5014.2%4.1%13.1%16.7%14.7%2.2%-0.2%87.4M-1.51B-4.5M0.677.63109,87273,178577,3121,412,844
2024-09-23$40.14$39.0015.0%4.4%13.1%22.4%15.8%2.1%-0.3%-9.4M-605.9M-4.7M1.0620.2238,25840,740316,1341,087,908
2024-09-24$39.87$39.0015.2%4.3%13.4%24.0%15.5%2.4%-0.1%-12.8M-551.0M-5.0M1.2157.4715,89019,304336,3601,121,110
2024-09-25$40.03$39.0014.8%4.3%12.9%21.1%15.7%2.5%0.1%-7.4M-581.9M-5.1M3.2614.8012,05439,266343,9561,129,462
2024-09-26$39.73$39.0015.6%4.5%13.4%27.3%17.7%3.4%1.3%-21.8M-467.8M-5.2M7.6912.579,55073,426344,8741,148,546
2024-09-27$40.27$39.0015.4%4.5%14.0%25.3%16.4%3.3%1.7%-15.8M-604.7M-5.1M2.2310.4216,22636,226348,2881,212,914
2024-09-30$40.31$39.5017.8%4.6%13.7%43.6%16.3%4.5%-1.9%-20.5M-588.9M-5.2M2.3810.0613,59232,350347,4581,204,668