XLP Options History — January 2018

In January 2018, XLP traded between $56.54 and $58.65. ATM implied volatility averaged 10.4%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.1% (HV 20d: 6.3%). Max pain ranged from $56.00 to $58.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.14.

Notable Days

  • 2018-01-29: Highest Volume — 40,155 contracts
  • 2018-01-18: Largest IV spike — 10.8% change
  • 2018-01-30: Highest IV Rank — 91.4%
  • 2018-01-30: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.49$56.54$58.65$56.56$57.87
Max Pain$57.19$56.00$58.50$57.00$58.50
ATM IV10.4%9.2%12.0%10.0%11.6%
Expected Move3.0%2.6%3.6%2.8%3.3%
HV 20d6.3%4.5%8.1%6.9%7.8%
HV 60d8.7%8.3%9.1%9.1%8.5%
IV Rank58.7%34.4%91.4%51.3%81.6%
IV Percentile77.8%34.5%99.6%74.6%97.2%
Term Structure-0.0%-0.7%0.3%0.2%-0.2%
VWIV11.6%9.0%14.5%9.8%13.6%
Skew 25d2.1%1.6%2.6%2.3%2.4%
Skew 10d4.7%3.6%7.1%5.6%4.8%
Call IV 25d9.6%8.4%11.1%9.3%10.7%
Put IV 25d11.7%10.3%13.5%11.6%13.1%
Bid-Ask Spread %8.974.9921.5711.3421.57
Gamma HHI0.180.130.690.130.15
Net GEX-4.5M-40.1M88.8M-3.7M-40.1M
Net DEX-76.4M-309.0M48.3M-38.0M43.8M
Net VEX-1.4M-1.6M-1.2M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.140.8413.815.043.83
Total Volume24,759.66711,01540,15532,67926,325
Total OI270,683.714197,985348,119267,282250,854

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$56.56$57.0010.0%2.8%6.9%51.3%9.8%2.3%0.2%-3.7M-38.0M-1.4M5.0411.345,40627,27376,086191,196
2018-01-03$56.54$57.009.9%2.7%5.6%48.5%10.2%2.3%0.3%-18.0M18.5M-1.5M2.637.924,31411,33775,977208,901
2018-01-04$56.69$57.009.8%2.8%5.6%46.6%10.1%2.0%0.2%-18.1M7.0M-1.5M1.128.2710,62011,89276,576210,970
2018-01-05$56.94$57.009.2%2.7%5.5%34.4%9.8%2.0%0.2%3.0M-57.9M-1.5M2.6310.664,45711,72283,929211,150
2018-01-08$57.09$57.009.3%2.7%4.5%37.9%10.5%1.9%0.1%602.6K-85.4M-1.4M2.789.956,07116,85384,719202,628
2018-01-09$56.98$57.009.3%2.6%4.5%35.9%9.0%1.8%-0.0%-5.5M-59.9M-1.5M3.358.723,51011,75884,002210,554
2018-01-10$56.72$57.0010.1%2.8%4.9%52.4%12.0%2.5%-0.3%-10.9M2.4M-1.5M9.474.993,26330,91283,521212,401
2018-01-11$56.60$57.009.9%2.8%4.9%48.9%13.4%2.1%-0.3%-22.0M48.3M-1.5M9.006.253,06327,58083,927229,603
2018-01-12$56.59$57.009.7%2.7%4.6%44.2%13.3%2.0%-0.1%-17.6M39.8M-1.6M10.157.082,77228,12484,453234,310
2018-01-16$56.92$57.0010.7%3.1%4.9%63.5%11.7%2.3%-0.2%-9.0M-39.7M-1.4M1.555.576,84910,58684,280236,272
2018-01-17$57.51$56.0010.3%2.9%6.0%56.2%11.2%2.2%0.2%4.8M-161.1M-1.4M1.4311.2714,03120,06488,121237,280
2018-01-18$57.40$56.0011.4%3.3%6.1%78.1%11.5%1.8%-0.7%-6.4M-156.4M-1.4M0.956.849,5949,14293,827248,327
2018-01-19$58.03$56.0010.4%3.0%7.1%59.0%10.3%1.7%0.0%88.8M-309.0M-1.3M0.849.6615,41812,98897,596250,523
2018-01-22$58.47$57.0010.5%3.0%7.4%59.8%11.4%2.1%0.1%-2.7M-151.8M-1.2M1.038.308,9989,25761,568136,417
2018-01-23$58.29$57.0010.3%3.0%7.5%55.9%11.2%2.1%0.1%-3.3M-141.9M-1.2M0.925.495,7505,26562,387138,080
2018-01-24$58.36$58.0010.5%3.0%7.5%60.9%10.9%1.6%0.2%-2.6M-143.5M-1.3M1.597.364,9637,88461,743138,046
2018-01-25$58.40$58.0010.9%3.2%7.5%68.3%11.7%1.9%0.0%-2.2M-140.7M-1.2M1.145.806,8627,84861,355140,219
2018-01-26$58.65$58.0011.1%3.2%7.5%71.5%14.5%2.4%-0.1%1.1M-158.8M-1.2M4.308.047,20230,93860,837140,518
2018-01-29$58.55$58.0011.8%3.5%7.5%86.2%13.8%2.6%-0.0%-5.6M-116.9M-1.3M13.8116.862,71237,44361,526150,273
2018-01-30$58.15$58.5012.0%3.6%8.1%91.4%13.5%2.4%0.3%-25.8M-2.4M-1.5M9.386.493,74935,15861,830177,576
2018-01-31$57.87$58.5011.6%3.3%7.8%81.6%13.6%2.4%-0.2%-40.1M43.8M-1.6M3.8321.575,44720,87861,674189,180