XLU Options History — December 2024

In December 2024, XLU traded between $37.69 and $40.60. ATM implied volatility averaged 15.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.6% (HV 20d: 15.3%). Max pain ranged from $37.50 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2024-12-20: Highest Volume — 190,376 contracts
  • 2024-12-05: Largest IV spike — 28.6% change
  • 2024-12-18: Highest IV Rank — 58.5%
  • 2024-12-18: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.81$37.69$40.60$40.60$37.73
Max Pain$38.14$37.50$40.00$40.00$38.50
ATM IV15.9%11.9%19.1%11.9%14.6%
Expected Move4.7%4.3%5.5%4.6%4.5%
HV 20d15.3%11.6%16.5%16.5%11.6%
HV 60d16.7%16.3%17.2%16.7%16.3%
IV Rank32.3%0.0%58.5%0.0%21.7%
IV Percentile40.8%0.0%89.3%0.0%10.3%
Term Structure0.7%-0.8%4.4%2.6%4.4%
VWIV16.6%14.8%19.0%16.1%15.7%
Skew 25d1.5%-7.0%6.7%-7.0%1.7%
Skew 10d5.7%-1.7%12.3%-1.7%6.9%
Call IV 25d15.6%9.1%19.5%18.3%15.2%
Put IV 25d17.1%11.4%22.6%11.4%16.9%
Bid-Ask Spread %32.174.2271.0067.0634.43
Gamma HHI0.100.070.120.100.10
Net GEX-33.5M-64.3M3.1M3.1M-15.6M
Net DEX-42.5M-668.6M474.0M-668.6M177.2M
Net VEX-5.7M-6.1M-5.0M-5.0M-5.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.057.081.111.09
Total Volume44,066.38112,050190,37637,85817,002
Total OI1,595,883.2381,398,4461,735,3061,598,0861,452,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$40.60$40.0011.9%4.6%16.5%0.0%16.1%-7.0%2.6%3.1M-668.6M-5.0M1.1167.0617,91219,946462,2641,135,822
2024-12-03$40.44$40.0014.6%4.5%15.6%21.9%16.1%0.5%1.7%-6.8M-585.7M-5.2M1.064.2219,04420,138465,8601,143,542
2024-12-04$40.11$40.0014.6%4.5%15.3%21.7%15.8%-1.5%0.5%-17.3M-480.8M-5.4M0.8471.0014,95612,594480,6301,141,860
2024-12-05$40.47$37.5018.8%4.5%15.2%55.4%15.8%3.2%-0.6%-6.0M-581.8M-5.9M0.7223.957,3405,300484,9381,148,542
2024-12-06$39.84$37.5015.3%4.5%16.4%27.3%16.3%1.6%0.5%-27.8M-361.0M-5.4M1.2528.1822,20627,706486,4361,149,732
2024-12-09$39.40$37.5015.9%4.6%16.1%32.4%16.6%1.7%0.1%-42.6M-191.6M-5.4M1.1622.3716,30418,840489,5501,161,506
2024-12-10$39.06$37.5015.8%4.8%16.3%31.5%17.3%1.8%1.6%-52.2M-62.1M-5.5M2.1822.1218,95041,264496,0281,161,980
2024-12-11$38.78$37.5016.0%4.7%16.1%33.0%16.7%1.6%0.4%-54.4M38.8M-5.5M0.8716.1918,82416,398502,8321,155,682
2024-12-12$38.85$37.5016.2%4.7%16.1%34.5%16.8%1.6%0.3%-51.5M10.5M-5.5M1.3946.8211,65816,156512,0961,159,820
2024-12-13$38.85$37.5015.4%4.5%16.1%28.2%16.2%1.8%0.6%-57.8M14.9M-5.5M1.9223.7411,64022,318518,7221,165,364
2024-12-16$38.58$37.5016.1%4.7%15.6%34.1%16.2%1.9%0.4%-59.4M131.0M-5.5M0.526.8018,9629,812514,7341,169,558
2024-12-17$38.30$37.5016.2%4.6%15.3%34.4%16.7%1.7%-0.2%-61.2M261.0M-5.7M1.8626.1020,77838,626525,1321,176,644
2024-12-18$37.69$37.5019.1%5.5%15.7%58.5%19.0%1.9%-0.4%-64.3M474.0M-6.0M1.8947.4318,06834,122534,7601,195,476
2024-12-19$37.87$37.5018.9%5.4%15.8%56.7%19.0%2.0%-0.2%-62.6M393.0M-6.1M1.0234.2315,44215,802539,9501,195,356
2024-12-20$38.27$37.5016.8%4.8%15.3%39.7%17.1%1.9%0.3%-44.2M52.0M-6.0M0.0533.58181,1649,212548,4461,144,922
2024-12-23$37.99$38.5016.4%4.8%15.3%36.7%16.7%2.4%-0.8%-16.8M107.5M-5.9M1.0533.9111,90812,450405,270993,176
2024-12-24$38.17$38.5015.0%4.3%15.6%24.7%14.8%2.8%0.3%-9.9M34.0M-5.8M0.6424.447,3424,708411,728992,622
2024-12-26$38.04$38.5016.5%4.6%13.8%37.4%16.7%0.6%1.0%-11.9M59.7M-5.6M7.0835.049,86469,882415,436992,142
2024-12-27$37.95$38.5015.7%4.5%13.7%30.7%16.3%2.0%0.7%-19.5M134.4M-5.9M3.0937.928,00624,710422,1001,032,540
2024-12-30$37.94$38.5014.2%4.6%13.5%18.5%16.2%6.7%0.9%-24.5M151.2M-6.0M0.3735.9927,74210,298404,5341,023,736
2024-12-31$37.73$38.5014.6%4.5%11.6%21.7%15.7%1.7%4.4%-15.6M177.2M-5.9M1.0934.438,1468,856425,3761,026,704