XLP Options History — February 2018

In February 2018, XLP traded between $53.53 and $57.54. ATM implied volatility averaged 16.3%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.5% (HV 20d: 16.8%). Max pain ranged from $56.50 to $57.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 3.27.

Notable Days

  • 2018-02-15: Highest Volume — 58,889 contracts
  • 2018-02-05: Largest IV spike — 45.0% change
  • 2018-02-02: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.69$53.53$57.54$57.54$53.53
Max Pain$56.95$56.50$57.00$57.00$56.50
ATM IV16.3%11.5%22.0%11.5%14.8%
Expected Move4.7%3.3%6.0%3.3%4.6%
HV 20d16.8%8.2%19.7%8.2%19.7%
HV 60d11.8%8.6%13.2%8.6%13.1%
IV Rank70.5%36.6%100.0%80.9%50.4%
IV Percentile97.5%94.0%100.0%96.8%95.2%
Term Structure-0.4%-1.7%0.8%0.2%-0.5%
VWIV16.1%11.6%21.3%13.7%15.7%
Skew 25d4.6%2.5%8.2%2.5%4.2%
Skew 10d8.7%4.9%17.1%4.9%7.6%
Call IV 25d14.4%10.5%18.7%10.5%13.1%
Put IV 25d19.0%13.0%26.9%13.0%17.3%
Bid-Ask Spread %16.977.6340.5710.0413.06
Gamma HHI0.160.130.210.170.18
Net GEX-39.1M-64.7M-13.8M-47.9M-36.4M
Net DEX437.7M93.8M690.8M93.8M397.1M
Net VEX-1.7M-1.9M-1.5M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.669.023.612.41
Total Volume30,205.42115,58058,88932,42326,332
Total OI292,260.316252,850350,076252,850304,138

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$57.54$57.0011.5%3.3%8.2%80.9%13.7%2.5%0.2%-47.9M93.8M-1.5M3.6110.047,03325,39062,470190,380
2018-02-02$56.47$57.0013.2%4.0%10.7%100.0%14.1%2.7%0.1%-64.7M291.6M-1.7M3.199.856,08319,38165,682205,831
2018-02-05$54.72$57.0019.1%5.3%15.3%100.0%17.3%4.8%-1.2%-47.4M523.3M-1.7M9.0236.314,19637,84460,961207,383
2018-02-06$54.98$57.0019.1%5.0%15.4%100.0%18.8%5.8%-1.7%-53.2M543.4M-1.8M2.4740.578,67521,41562,436224,689
2018-02-07$54.93$57.0017.4%5.0%15.4%85.5%21.3%4.7%-0.2%-54.8M531.1M-1.9M5.0923.673,74619,05566,926229,965
2018-02-08$53.81$57.0020.0%5.7%16.7%100.0%11.8%6.8%-0.5%-42.6M670.3M-1.7M3.1419.395,24516,47865,367230,905
2018-02-09$53.75$57.0022.0%6.0%16.7%100.0%11.6%8.2%-1.4%-38.0M690.8M-1.7M5.2630.914,55623,95566,727232,670
2018-02-12$54.24$57.0019.6%5.6%17.2%83.4%18.2%5.8%-0.3%-45.8M647.7M-1.8M1.7023.225,7649,81665,850238,703
2018-02-13$54.53$57.0017.3%5.0%17.2%67.9%18.6%5.6%0.5%-47.3M620.9M-1.7M5.7010.834,26224,31367,214239,079
2018-02-14$54.49$57.0017.3%5.0%16.6%67.6%15.3%4.2%-1.4%-40.2M611.2M-1.7M0.6610.9324,37816,07368,470239,063
2018-02-15$55.30$57.0015.8%4.6%17.7%57.5%16.3%4.0%-0.9%-39.2M461.4M-1.7M2.118.2618,95039,93988,920229,427
2018-02-16$55.71$57.0014.4%4.1%17.4%48.0%15.5%3.3%0.8%-13.8M397.8M-1.8M0.827.6312,39510,223103,132246,944
2018-02-20$54.42$57.0016.3%4.9%18.6%61.1%20.5%4.9%-0.6%-23.2M261.2M-1.7M1.3413.7312,42716,64691,949173,945
2018-02-21$53.74$57.0016.4%4.9%18.8%61.6%18.3%4.3%-0.2%-30.2M349.0M-1.6M4.4412.935,21723,15598,259180,697
2018-02-22$53.84$57.0014.9%4.5%18.9%51.1%16.4%4.3%0.1%-32.5M347.4M-1.6M3.0612.046,44719,69998,956183,846
2018-02-23$54.33$57.0013.0%3.8%19.4%38.3%15.3%3.7%-0.0%-28.4M308.0M-1.5M4.4313.584,68420,748100,668185,130
2018-02-26$54.62$57.0012.8%3.9%19.4%36.6%12.1%3.6%-0.2%-29.4M261.9M-1.5M1.0216.2924,04724,60995,445182,051
2018-02-27$54.07$56.5014.6%4.5%19.6%49.1%15.5%3.8%-0.3%-27.3M308.4M-1.6M2.729.205,56715,160112,173186,495
2018-02-28$53.53$56.5014.8%4.6%19.7%50.4%15.7%4.2%-0.5%-36.4M397.1M-1.5M2.4113.067,72518,607113,122191,016