XLP Options History — May 2018

In May 2018, XLP traded between $48.94 and $50.43. ATM implied volatility averaged 12.9%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.9% (HV 20d: 14.9%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2018-05-03: Highest Volume — 73,509 contracts
  • 2018-05-30: Largest IV drop — 14.3% change
  • 2018-05-03: Highest IV Rank — 48.0%
  • 2018-05-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.58$48.94$50.43$49.93$49.68
Max Pain$50.59$50.00$53.00$53.00$50.00
ATM IV12.9%11.2%14.4%13.2%12.7%
Expected Move4.0%3.6%4.6%3.9%4.1%
HV 20d14.9%11.3%17.7%16.9%11.3%
HV 60d15.8%14.8%17.3%17.3%15.2%
IV Rank37.5%26.0%48.0%39.2%36.1%
IV Percentile78.3%64.7%87.7%83.3%74.6%
Term Structure0.2%-0.5%2.1%-0.1%-0.5%
VWIV13.9%12.1%15.8%13.0%15.3%
Skew 25d2.1%1.2%3.0%2.9%2.8%
Skew 10d3.9%1.7%7.1%7.1%5.8%
Call IV 25d12.0%10.5%13.8%12.1%11.5%
Put IV 25d14.1%12.9%16.6%15.0%14.2%
Bid-Ask Spread %4.912.7511.453.655.63
Gamma HHI0.230.160.510.210.17
Net GEX-7.5M-123.5M59.5M-46.6M12.4M
Net DEX226.5M-58.5M524.9M402.2M164.0M
Net VEX-2.2M-2.5M-1.6M-1.6M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.463.142.542.62
Total Volume37,903.63619,10073,50935,08255,049
Total OI391,509.955286,610474,978286,610412,530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$49.93$53.0013.2%3.9%16.9%39.2%13.0%2.9%-0.1%-46.6M402.2M-1.6M2.543.659,92025,162102,351184,259
2018-05-02$49.01$53.0014.1%4.4%16.4%45.7%15.8%3.0%-0.1%-44.1M524.9M-1.6M3.1411.4510,40532,657105,339188,656
2018-05-03$48.94$52.0014.4%4.6%16.2%48.0%15.2%2.8%0.2%-44.3M524.1M-1.7M0.486.6949,56623,943110,663204,477
2018-05-04$49.73$51.0013.5%4.2%17.4%41.2%14.6%2.5%0.1%-50.6M298.2M-2.1M2.914.8211,67834,014154,250215,986
2018-05-07$49.36$51.0013.6%4.5%17.3%42.3%15.1%2.7%2.1%-17.2M304.7M-2.1M0.534.9128,25014,885138,717195,574
2018-05-08$49.18$51.0013.6%4.3%17.2%42.2%15.3%2.4%1.3%-16.4M316.4M-2.2M0.945.8722,35920,958158,915199,930
2018-05-09$49.17$51.0012.9%4.1%17.3%37.5%14.5%1.7%1.5%-12.0M329.6M-2.2M1.596.2518,28929,141175,480210,855
2018-05-10$49.54$51.0012.7%4.0%17.7%36.2%13.8%1.6%1.2%-3.7M213.1M-2.4M0.464.2533,70215,375185,095217,294
2018-05-11$49.54$50.0012.8%3.9%17.6%36.8%13.7%1.7%0.9%1.5M199.7M-2.5M1.164.0911,54713,367201,489219,365
2018-05-14$49.51$50.0013.5%4.0%16.6%41.3%14.3%1.2%-0.1%-5.0M217.3M-2.4M1.303.7511,26814,683199,828221,422
2018-05-15$49.24$50.0013.9%4.0%16.5%44.7%14.3%1.5%-0.5%-15.9M313.4M-2.3M1.785.2111,10319,759202,317222,838
2018-05-16$49.69$50.0013.4%3.9%17.1%41.1%13.2%1.4%0.1%2.6M173.1M-2.4M0.573.3531,97518,183204,470228,573
2018-05-17$49.75$50.0013.3%3.8%14.1%40.0%13.6%1.5%0.2%22.3M136.4M-2.4M0.813.6026,69321,498221,919233,013
2018-05-18$49.53$50.0012.7%3.7%12.8%35.9%13.1%1.2%-0.0%-123.5M192.8M-2.4M1.882.8511,87722,372238,221236,757
2018-05-21$49.67$50.0012.5%3.8%12.8%34.8%13.2%2.1%-0.3%12.3M130.0M-2.4M1.162.7510,61012,332194,918192,525
2018-05-22$49.65$50.0012.2%3.7%12.3%32.5%12.6%2.1%-0.3%12.9M136.7M-2.3M0.843.2917,26814,552197,807194,327
2018-05-23$49.84$50.0011.7%3.6%12.2%29.0%12.6%2.1%-0.2%23.1M103.4M-2.4M2.105.218,56017,965203,180198,885
2018-05-24$49.76$50.0011.5%3.6%11.7%27.9%12.1%2.4%-0.3%19.7M125.7M-2.4M1.102.879,09310,007205,518202,066
2018-05-25$49.83$50.0011.5%3.6%11.7%28.2%12.6%2.4%-0.2%25.7M103.3M-2.4M1.364.759,46612,846208,674204,562
2018-05-29$49.73$50.0013.1%4.2%11.6%39.0%14.4%2.7%-0.4%22.9M132.8M-2.3M1.166.9413,44815,652207,115197,335
2018-05-30$50.43$50.0011.2%3.7%12.0%26.0%13.0%2.4%-0.0%59.5M-58.5M-2.4M1.205.7414,70217,701213,433202,291
2018-05-31$49.68$50.0012.7%4.1%11.3%36.1%15.3%2.8%-0.5%12.4M164.0M-2.3M2.625.6315,19439,855212,755199,775