XLU Options History — November 2024

In November 2024, XLU traded between $38.53 and $41.56. ATM implied volatility averaged 16.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.9% (HV 20d: 18.4%). Max pain ranged from $39.50 to $40.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.22.

Notable Days

2024-11-26: Highest Volume — 141,556 contracts
2024-11-06: Largest IV drop — 12.9% change
2024-11-04: Highest IV Rank — 74.6%
2024-11-01: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.91	$38.53	$41.56	$39.06	$41.56
Max Pain	$39.59	$39.50	$40.00	$40.00	$39.75
ATM IV	16.6%	14.8%	21.1%	20.9%	15.4%
Expected Move	4.8%	4.4%	7.0%	7.0%	4.4%
HV 20d	18.4%	16.6%	19.8%	19.5%	16.6%
HV 60d	15.6%	14.6%	16.1%	14.6%	16.0%
IV Rank	37.2%	23.2%	74.6%	72.4%	27.6%
IV Percentile	44.9%	14.7%	98.4%	98.4%	23.4%
Term Structure	0.3%	-1.5%	2.3%	-0.5%	2.3%
VWIV	17.2%	15.5%	25.5%	25.5%	15.6%
Skew 25d	2.2%	0.8%	4.5%	4.0%	1.0%
Skew 10d	6.9%	-2.0%	16.2%	7.2%	0.4%
Call IV 25d	15.6%	14.5%	19.3%	19.1%	14.9%
Put IV 25d	17.8%	15.8%	23.1%	23.1%	15.8%
Bid-Ask Spread %	67.27	32.59	76.44	32.59	70.30
Gamma HHI	0.11	0.07	0.39	0.13	0.13
Net GEX	-29.7M	-93.8M	35.5M	-77.0M	35.5M
Net DEX	-361.7M	-999.1M	301.6M	145.6M	-999.1M
Net VEX	-5.6M	-6.4M	-4.9M	-6.4M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.22	0.09	6.28	2.31	5.30
Total Volume	56,981	11,900	141,556	58,472	28,552
Total OI	1,609,293.5	1,504,468	1,714,592	1,611,856	1,629,102

Daily Data (20 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
2024-11-01	$39.06	$40.00	20.9%	7.0%	19.5%	72.4%	25.5%	4.0%	-0.5%	-77.0M	145.6M	-6.4M	2.31	32.59	17,670	40,802	431,392	1,180,464
2024-11-04	$38.53	$39.50	21.1%	5.8%	18.2%	74.6%	19.5%	3.4%	-0.5%	-60.9M	301.6M	-6.3M	3.02	70.46	25,016	75,538	423,934	1,164,876
2024-11-05	$39.13	$39.50	20.1%	5.7%	19.2%	65.7%	21.8%	4.5%	-0.3%	-59.7M	87.9M	-6.3M	4.78	72.24	9,840	47,036	428,730	1,171,294
2024-11-06	$38.84	$39.50	17.5%	4.7%	19.0%	44.6%	17.1%	2.9%	-1.5%	-82.3M	221.0M	-6.3M	0.97	69.44	22,976	22,252	433,066	1,200,548
2024-11-07	$38.98	$39.50	15.7%	4.6%	19.1%	30.3%	16.4%	2.8%	0.4%	-73.9M	68.5M	-5.9M	0.74	74.61	39,498	29,378	443,524	1,183,638
2024-11-08	$39.56	$39.50	14.8%	4.6%	19.8%	23.2%	16.2%	2.1%	0.3%	-49.5M	-278.6M	-5.6M	1.12	70.90	53,160	59,608	453,766	1,184,214
2024-11-11	$39.70	$39.50	15.8%	4.7%	19.1%	31.3%	17.2%	2.2%	0.5%	-58.9M	-304.5M	-5.5M	1.38	67.57	25,566	35,358	447,326	1,183,672
2024-11-12	$39.30	$39.50	16.2%	4.6%	19.3%	34.4%	16.7%	2.1%	-0.1%	-70.8M	-70.0M	-5.7M	1.50	67.83	19,580	29,408	462,220	1,206,948
2024-11-13	$39.25	$39.50	15.7%	4.7%	17.7%	30.4%	15.5%	1.7%	0.6%	-78.9M	-17.3M	-5.8M	0.09	71.02	83,408	7,132	451,298	1,209,772
2024-11-14	$39.13	$39.50	15.6%	4.6%	17.5%	29.5%	15.6%	2.1%	0.7%	-64.3M	-31.3M	-5.8M	5.54	76.44	7,630	42,298	507,396	1,207,196
2024-11-15	$39.58	$39.50	16.1%	4.7%	18.1%	33.1%	16.7%	1.6%	0.5%	-93.8M	-347.3M	-5.8M	2.20	72.83	16,234	35,636	508,464	1,199,122
2024-11-18	$39.91	$39.50	16.1%	4.6%	18.4%	33.4%	16.5%	1.9%	1.0%	6.3M	-519.6M	-5.7M	0.67	63.79	10,778	7,232	456,052	1,048,416
2024-11-19	$40.17	$39.50	15.8%	4.5%	18.6%	31.1%	16.5%	1.8%	0.4%	14.6M	-616.4M	-5.4M	5.00	63.39	8,094	40,488	459,080	1,050,734
2024-11-20	$40.27	$39.50	16.7%	4.8%	18.4%	38.5%	16.5%	2.2%	0.1%	13.8M	-627.1M	-5.6M	0.43	66.19	8,316	3,584	460,528	1,088,938
2024-11-21	$40.87	$39.50	15.8%	4.5%	19.1%	30.8%	16.1%	2.1%	0.4%	27.7M	-848.0M	-5.3M	0.62	65.60	22,268	13,740	461,666	1,090,300
2024-11-22	$40.74	$39.50	15.5%	4.4%	18.5%	28.7%	16.7%	1.8%	0.9%	18.5M	-786.5M	-5.2M	6.28	67.93	10,236	64,238	457,390	1,097,332
2024-11-25	$40.74	$40.00	15.7%	4.4%	18.2%	29.9%	15.7%	1.8%	0.0%	10.0M	-732.5M	-5.2M	1.08	66.78	6,432	6,956	449,600	1,140,468
2024-11-26	$41.39	$40.00	15.0%	4.4%	17.0%	24.2%	16.8%	0.8%	1.2%	21.3M	-930.5M	-4.9M	0.43	68.29	99,312	42,244	451,974	1,144,922
2024-11-27	$41.45	$39.50	15.6%	4.4%	16.9%	29.8%	15.9%	1.0%	-0.3%	28.2M	-949.1M	-5.0M	1.04	67.30	10,872	11,254	471,608	1,144,900
2024-11-29	$41.56	$39.75	15.4%	4.4%	16.6%	27.6%	15.6%	1.0%	2.3%	35.5M	-999.1M	-4.9M	5.30	70.30	4,532	24,020	475,482	1,153,620