XLP Options History — June 2018

In June 2018, XLP traded between $49.64 and $51.85. ATM implied volatility averaged 11.8%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.8% (HV 20d: 11.0%). Max pain ranged from $50.00 to $51.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.47.

Notable Days

2018-06-12: Highest Volume — 109,349 contracts
2018-06-18: Largest IV spike — 14.5% change
2018-06-27: Highest IV Rank — 42.7%
2018-06-27: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.99	$49.64	$51.85	$49.64	$51.67
Max Pain	$50.55	$50.00	$51.50	$50.00	$51.50
ATM IV	11.8%	10.5%	13.7%	12.1%	12.2%
Expected Move	3.4%	3.1%	3.9%	3.9%	3.3%
HV 20d	11.0%	9.7%	12.2%	11.3%	9.7%
HV 60d	14.8%	13.2%	15.5%	15.2%	13.2%
IV Rank	29.6%	20.8%	42.7%	31.7%	32.5%
IV Percentile	67.2%	52.0%	84.1%	71.8%	70.2%
Term Structure	0.3%	-0.3%	1.0%	-0.3%	0.4%
VWIV	12.2%	10.2%	13.8%	13.8%	11.4%
Skew 25d	2.5%	1.9%	3.3%	2.8%	2.6%
Skew 10d	5.3%	3.8%	8.6%	4.7%	5.6%
Call IV 25d	10.8%	9.5%	12.1%	10.9%	10.6%
Put IV 25d	13.3%	11.5%	15.2%	13.7%	13.2%
Bid-Ask Spread %	4.37	2.46	14.72	5.23	3.25
Gamma HHI	0.20	0.13	0.45	0.16	0.13
Net GEX	33.3M	-14.4M	119.9M	-14.4M	18.3M
Net DEX	-111.3M	-304.8M	205.4M	205.4M	-177.3M
Net VEX	-2.9M	-3.4M	-2.1M	-2.3M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.22	5.79	1.28	1.79
Total Volume	37,238.429	13,877	109,349	22,176	23,757
Total OI	404,290.714	325,780	544,474	444,087	379,279

Daily Data (21 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
2018-06-01	$49.64	$50.00	12.1%	3.9%	11.3%	31.7%	13.8%	2.8%	-0.3%	-14.4M	205.4M	-2.3M	1.28	5.23	9,727	12,449	217,011	227,076
2018-06-04	$50.08	$50.00	11.4%	3.3%	10.2%	27.4%	12.4%	2.7%	0.2%	15.9M	94.0M	-2.2M	1.27	5.95	9,628	12,249	195,903	222,026
2018-06-05	$49.85	$50.00	11.2%	3.3%	10.0%	25.6%	12.9%	2.4%	0.2%	7.6M	153.7M	-2.1M	2.50	3.13	7,095	17,758	195,377	222,634
2018-06-06	$49.80	$50.00	10.7%	3.1%	9.9%	22.4%	12.0%	2.3%	0.0%	7.4M	167.9M	-2.1M	1.74	3.30	7,499	13,028	195,852	221,162
2018-06-07	$50.15	$50.00	11.3%	3.3%	10.1%	26.4%	11.6%	2.2%	-0.1%	23.1M	67.2M	-2.1M	0.74	3.39	28,180	20,768	197,095	223,718
2018-06-08	$50.77	$50.00	11.3%	3.4%	10.7%	26.7%	12.1%	2.4%	0.5%	43.8M	-77.0M	-2.1M	0.39	3.23	48,130	18,797	194,660	229,670
2018-06-11	$51.28	$50.00	11.4%	3.5%	11.1%	27.2%	12.1%	2.0%	1.0%	61.2M	-243.2M	-2.3M	0.43	3.92	44,477	19,284	222,790	230,592
2018-06-12	$51.28	$50.00	11.4%	3.5%	11.1%	27.0%	12.2%	2.1%	1.0%	48.3M	-261.8M	-2.3M	0.61	3.02	68,096	41,253	232,177	235,071
2018-06-13	$51.21	$50.00	11.1%	3.2%	10.8%	25.1%	11.6%	1.9%	0.1%	65.7M	-283.1M	-3.3M	2.84	14.72	14,576	41,405	282,264	260,229
2018-06-14	$51.31	$50.00	10.5%	3.1%	10.5%	20.8%	11.5%	2.1%	0.6%	63.3M	-304.8M	-3.3M	0.22	3.19	67,089	14,471	280,554	263,920
2018-06-15	$51.44	$51.00	10.5%	3.1%	10.5%	20.8%	10.2%	2.0%	0.7%	119.9M	-137.3M	-3.2M	1.15	6.77	21,869	25,210	222,818	262,890
2018-06-18	$50.72	$51.00	12.0%	3.5%	11.7%	31.2%	11.8%	2.3%	0.1%	19.0M	-72.9M	-3.2M	1.32	3.25	8,930	11,759	171,314	154,466
2018-06-19	$51.01	$51.00	11.8%	3.4%	11.8%	30.1%	12.0%	2.5%	0.3%	22.6M	-113.5M	-3.3M	1.32	2.56	6,394	8,452	174,323	157,609
2018-06-20	$51.08	$51.00	11.5%	3.3%	11.8%	27.9%	12.6%	2.4%	0.3%	24.7M	-130.3M	-3.3M	1.90	2.48	4,955	9,412	176,334	158,413
2018-06-21	$51.10	$51.00	12.2%	3.5%	11.8%	32.6%	11.8%	2.6%	0.2%	24.6M	-123.2M	-3.3M	1.46	7.60	8,487	12,371	177,199	160,492
2018-06-22	$51.67	$51.00	11.7%	3.3%	12.2%	29.0%	10.8%	2.8%	0.0%	32.3M	-232.5M	-3.3M	0.36	3.05	22,813	8,180	180,827	164,335
2018-06-25	$51.85	$51.00	13.1%	3.7%	12.2%	38.7%	13.4%	3.3%	0.2%	29.2M	-246.9M	-3.4M	0.96	5.49	11,587	11,156	184,221	160,330
2018-06-26	$51.72	$51.00	12.8%	3.5%	12.2%	36.9%	12.0%	3.0%	0.2%	31.1M	-224.4M	-3.4M	1.29	2.75	8,355	10,799	185,629	163,705
2018-06-27	$51.65	$51.00	13.7%	3.9%	11.4%	42.7%	13.2%	3.1%	0.1%	27.5M	-205.3M	-3.4M	1.62	3.09	5,293	8,584	185,188	167,431
2018-06-28	$51.60	$51.00	13.2%	3.6%	9.8%	39.5%	13.7%	3.0%	0.1%	28.4M	-192.4M	-3.4M	5.79	2.46	5,553	32,132	185,373	168,148
2018-06-29	$51.67	$51.50	12.2%	3.3%	9.7%	32.5%	11.4%	2.6%	0.4%	18.3M	-177.3M	-3.4M	1.79	3.25	8,529	15,228	186,680	192,599