XLU Options History — October 2024

In October 2024, XLU traded between $39.35 and $41.13. ATM implied volatility averaged 18.9%, placing in the 55.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.0% (HV 20d: 15.9%). Max pain ranged from $39.50 to $40.50. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.17.

Notable Days

2024-10-07: Highest Volume — 124,154 contracts
2024-10-07: Largest IV spike — 24.9% change
2024-10-31: Highest IV Rank — 70.2%
2024-10-31: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.32	$39.35	$41.13	$40.75	$40.02
Max Pain	$40.11	$39.50	$40.50	$39.50	$40.00
ATM IV	18.9%	16.2%	20.6%	17.0%	20.6%
Expected Move	5.7%	4.6%	6.8%	4.7%	6.8%
HV 20d	15.9%	13.1%	17.9%	13.8%	17.7%
HV 60d	13.9%	13.3%	14.8%	14.3%	13.6%
IV Rank	55.7%	32.7%	70.2%	37.7%	70.2%
IV Percentile	84.0%	41.7%	98.4%	69.0%	98.4%
Term Structure	-0.0%	-3.4%	4.6%	2.6%	-0.5%
VWIV	20.9%	17.3%	24.7%	17.4%	24.7%
Skew 25d	4.1%	2.5%	5.1%	2.9%	3.6%
Skew 10d	9.5%	-3.3%	16.8%	6.6%	8.2%
Call IV 25d	17.0%	14.3%	19.1%	14.7%	19.1%
Put IV 25d	21.2%	17.1%	23.7%	17.6%	22.8%
Bid-Ask Spread %	30.73	6.52	62.78	62.78	25.56
Gamma HHI	0.12	0.07	0.44	0.09	0.08
Net GEX	-33.3M	-121.4M	87.0M	-12.6M	-41.8M
Net DEX	-446.4M	-877.5M	-44.1M	-722.6M	-247.8M
Net VEX	-5.8M	-6.6M	-5.0M	-5.0M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.52	4.97	2.87	1.21
Total Volume	63,558.957	23,798	124,154	58,490	45,880
Total OI	1,649,963.565	1,468,814	1,836,564	1,584,732	1,599,446

Daily Data (23 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
2024-10-01	$40.75	$39.50	17.0%	4.7%	13.8%	37.7%	17.4%	2.9%	2.6%	-12.6M	-722.6M	-5.0M	2.87	62.78	15,128	43,362	356,410	1,228,322
2024-10-02	$40.72	$39.50	16.4%	4.6%	13.7%	32.7%	17.3%	2.8%	2.7%	-16.5M	-700.5M	-5.1M	4.03	9.49	19,738	79,486	359,794	1,232,600
2024-10-03	$40.70	$40.50	16.3%	5.6%	13.7%	33.0%	20.6%	2.5%	4.6%	-27.1M	-663.1M	-5.2M	4.97	24.96	12,550	62,340	368,994	1,300,730
2024-10-04	$40.69	$40.50	16.2%	5.4%	13.1%	33.3%	18.7%	2.9%	3.0%	-25.0M	-639.3M	-5.4M	2.15	36.25	16,728	36,000	373,874	1,339,626
2024-10-07	$39.72	$40.50	20.2%	5.9%	16.3%	65.2%	21.6%	5.1%	-0.2%	-59.5M	-206.4M	-6.1M	2.69	28.98	33,678	90,476	372,140	1,267,366
2024-10-08	$39.81	$40.50	19.7%	5.5%	16.1%	62.4%	22.3%	4.5%	-0.7%	-59.8M	-247.1M	-6.2M	1.17	32.86	30,430	35,696	387,032	1,293,244
2024-10-09	$39.44	$40.50	19.4%	5.4%	16.6%	60.3%	20.7%	4.7%	-0.4%	-81.8M	-77.0M	-6.2M	2.19	29.65	29,802	65,320	409,768	1,317,798
2024-10-10	$39.35	$40.50	19.5%	5.4%	16.6%	60.9%	19.1%	4.6%	-0.8%	-101.9M	-44.1M	-6.2M	1.83	34.86	35,528	64,896	410,758	1,328,548
2024-10-11	$39.56	$40.00	19.2%	5.4%	16.3%	58.3%	18.8%	4.7%	-0.3%	-121.4M	-142.6M	-6.4M	1.73	38.94	17,910	31,064	434,650	1,339,126
2024-10-14	$40.11	$40.00	19.2%	5.5%	16.7%	58.8%	19.6%	4.4%	-0.4%	-42.9M	-488.7M	-5.7M	1.08	34.33	17,056	18,344	405,796	1,309,578
2024-10-15	$40.34	$40.00	18.8%	5.3%	16.8%	55.0%	19.3%	4.0%	-0.3%	-17.6M	-631.1M	-5.4M	2.41	39.63	17,254	41,664	411,120	1,319,892
2024-10-16	$41.13	$40.00	19.1%	5.5%	17.5%	57.5%	21.3%	4.3%	-1.6%	18.4M	-877.5M	-5.4M	1.65	34.29	25,370	41,814	412,820	1,337,146
2024-10-17	$40.78	$40.00	18.7%	5.4%	17.9%	54.9%	19.5%	4.1%	-0.0%	10.8M	-772.2M	-5.4M	1.72	36.56	36,232	62,452	414,040	1,341,056
2024-10-18	$40.92	$40.00	18.8%	5.4%	15.5%	55.2%	20.6%	4.4%	-0.6%	87.0M	-753.4M	-5.5M	0.84	34.29	30,194	25,222	426,032	1,410,532
2024-10-21	$40.80	$40.50	19.3%	5.7%	15.5%	59.1%	21.6%	4.4%	-3.4%	-21.1M	-546.9M	-5.7M	1.66	30.17	28,946	47,932	374,786	1,094,028
2024-10-22	$40.70	$40.00	18.5%	5.7%	15.3%	52.7%	24.2%	4.6%	-0.8%	-24.6M	-512.1M	-6.0M	3.79	29.78	10,576	40,044	395,218	1,127,058
2024-10-23	$40.98	$40.00	19.2%	5.9%	15.4%	58.7%	20.7%	4.5%	-1.0%	-20.5M	-591.7M	-5.8M	2.91	27.61	6,094	17,704	401,486	1,160,268
2024-10-24	$40.73	$40.00	19.3%	5.8%	15.3%	59.2%	21.8%	4.6%	-0.9%	-32.0M	-501.5M	-6.0M	1.27	32.63	18,160	22,990	402,640	1,167,998
2024-10-25	$40.20	$40.00	19.6%	6.0%	15.3%	62.1%	21.3%	4.6%	-0.8%	-40.4M	-281.8M	-6.3M	3.67	32.03	9,020	33,074	402,746	1,183,694
2024-10-28	$40.62	$40.00	19.6%	6.2%	15.8%	62.0%	23.3%	4.5%	-0.3%	-30.9M	-432.0M	-6.2M	0.52	31.57	28,286	14,596	396,838	1,155,114
2024-10-29	$39.72	$40.00	20.2%	6.5%	17.2%	66.5%	23.6%	4.1%	-0.3%	-52.2M	-113.4M	-6.5M	1.88	13.09	24,178	45,360	422,204	1,166,346
2024-10-30	$39.61	$40.00	20.1%	6.6%	17.2%	65.9%	23.5%	4.2%	-0.4%	-53.6M	-75.3M	-6.6M	1.72	6.52	12,244	21,038	424,658	1,165,842
2024-10-31	$40.02	$40.00	20.6%	6.8%	17.7%	70.2%	24.7%	3.6%	-0.5%	-41.8M	-247.8M	-6.3M	1.21	25.56	20,734	25,146	430,846	1,168,600