XLP Options History — July 2018

In July 2018, XLP traded between $51.11 and $53.52. ATM implied volatility averaged 11.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.9% (HV 20d: 10.3%). Max pain ranged from $51.00 to $53.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2018-07-05: Highest Volume — 58,822 contracts
  • 2018-07-16: Largest IV spike — 9.2% change
  • 2018-07-02: Highest IV Rank — 39.4%
  • 2018-07-02: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.56$51.11$53.52$51.11$53.52
Max Pain$51.40$51.00$53.50$51.50$53.50
ATM IV11.2%10.4%13.2%13.2%11.3%
Expected Move3.2%2.9%3.7%3.7%3.3%
HV 20d10.3%9.3%10.9%10.4%9.3%
HV 60d12.1%9.9%13.6%13.1%9.9%
IV Rank25.8%20.0%39.4%39.4%26.8%
IV Percentile55.5%42.1%79.0%79.0%56.0%
Term Structure0.1%-0.6%0.8%0.1%-0.1%
VWIV11.6%10.0%14.6%12.0%11.1%
Skew 25d2.7%2.3%3.3%3.2%2.5%
Skew 10d6.0%4.7%7.7%7.5%6.0%
Call IV 25d10.2%9.5%11.8%11.8%10.4%
Put IV 25d12.9%11.9%15.0%15.0%12.8%
Bid-Ask Spread %3.162.067.712.513.85
Gamma HHI0.170.120.290.120.22
Net GEX17.7M659.2K53.9M10.6M659.2K
Net DEX-272.8M-411.2M-58.6M-58.6M-278.4M
Net VEX-3.0M-3.4M-2.8M-3.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.843.952.141.50
Total Volume23,235.95210,89658,82223,22813,472
Total OI371,568.667304,495418,606379,450347,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$51.11$51.5013.2%3.7%10.4%39.4%12.0%3.2%0.1%10.6M-58.6M-3.4M2.142.517,39515,833185,980193,470
2018-07-03$51.35$51.5012.7%3.5%10.2%35.9%13.7%3.2%-0.1%12.7M-100.6M-3.4M3.417.714,21014,351184,741188,924
2018-07-05$52.01$51.0012.3%3.6%10.9%33.2%12.8%3.3%0.2%22.5M-234.6M-3.3M2.993.2214,73244,090185,084189,433
2018-07-06$52.21$51.0011.7%3.5%10.8%29.3%12.1%2.6%0.2%7.2M-247.0M-3.3M1.474.109,45813,921182,595221,199
2018-07-09$52.02$51.0011.4%3.3%10.3%27.0%11.1%2.7%0.0%672.3K-199.2M-3.2M1.272.1514,90918,896179,200220,138
2018-07-10$52.58$51.0010.8%3.0%10.3%23.1%11.4%2.7%-0.5%18.9M-344.0M-3.1M1.952.0610,12319,716184,422225,688
2018-07-11$52.45$51.0010.9%3.3%10.4%23.5%11.8%2.7%0.7%18.5M-321.0M-3.1M2.762.466,48117,898186,308224,325
2018-07-12$52.35$51.0010.6%3.2%10.4%21.7%11.2%2.4%0.6%13.8M-278.5M-3.1M2.962.617,84223,184181,336227,945
2018-07-13$52.72$51.0010.6%3.0%10.6%21.6%11.3%2.5%-0.2%3.4M-361.0M-3.0M3.482.404,91617,126181,183237,423
2018-07-16$52.47$51.0011.6%3.4%10.9%28.3%12.3%2.8%-0.6%21.5M-307.4M-3.0M3.952.113,45013,634180,020211,641
2018-07-17$52.96$51.0010.8%3.1%9.6%23.1%14.6%2.6%0.1%36.7M-411.2M-2.8M2.752.246,38917,577180,344212,420
2018-07-18$52.54$51.0010.6%3.0%10.2%21.6%10.7%2.7%0.6%24.2M-317.6M-2.8M1.412.096,6419,384179,901213,607
2018-07-19$52.58$51.0010.7%3.0%10.2%22.1%10.9%2.5%0.8%29.7M-328.4M-2.9M2.732.365,91116,148180,204215,319
2018-07-20$52.88$51.0010.4%2.9%10.3%20.0%10.9%2.3%0.2%53.9M-390.3M-2.8M1.393.056,7649,373179,738220,461
2018-07-23$52.54$51.0010.9%3.1%10.1%23.9%10.4%2.7%0.1%17.3M-205.9M-2.9M1.453.254,9127,142149,353155,142
2018-07-24$52.58$51.0010.8%3.0%10.0%23.4%10.0%2.6%0.2%18.5M-226.1M-2.8M0.842.658,2996,965150,108155,685
2018-07-25$52.92$51.0010.4%2.9%10.1%20.5%12.0%2.5%0.2%21.4M-273.1M-2.8M2.334.113,2767,620153,114156,252
2018-07-26$53.32$51.5011.1%3.2%10.3%25.0%11.0%2.4%-0.1%22.1M-317.2M-2.8M2.263.7610,35623,444153,141157,580
2018-07-27$53.38$53.0011.1%3.2%10.3%25.4%11.1%2.7%0.1%12.3M-287.6M-2.9M2.064.138,09716,681157,144174,591
2018-07-30$53.26$53.5011.5%3.3%10.4%27.6%11.5%3.0%-0.2%4.0M-240.9M-2.9M1.983.605,81111,528157,131183,112
2018-07-31$53.52$53.5011.3%3.3%9.3%26.8%11.1%2.5%-0.1%659.2K-278.4M-2.8M1.503.855,3808,092158,454189,086