XLP Options History — August 2018

In August 2018, XLP traded between $53.10 and $55.06. ATM implied volatility averaged 11.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.8% (HV 20d: 10.3%). Max pain ranged from $51.00 to $53.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.37.

Notable Days

2018-08-22: Highest Volume — 96,013 contracts
2018-08-10: Largest IV spike — 11.1% change
2018-08-22: Highest IV Rank — 32.2%
2018-08-13: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.99	$53.10	$55.06	$53.10	$53.78
Max Pain	$52.63	$51.00	$53.50	$53.50	$53.00
ATM IV	11.1%	10.2%	12.1%	11.7%	10.8%
Expected Move	3.4%	3.0%	3.8%	3.4%	3.4%
HV 20d	10.3%	8.7%	11.0%	10.0%	8.7%
HV 60d	10.4%	9.9%	11.0%	9.9%	10.0%
IV Rank	25.2%	18.7%	32.2%	29.5%	23.2%
IV Percentile	51.3%	34.5%	68.3%	65.5%	42.9%
Term Structure	0.1%	-0.9%	1.8%	-0.4%	-0.3%
VWIV	12.3%	10.9%	13.8%	11.1%	11.4%
Skew 25d	2.5%	1.9%	2.9%	2.5%	2.5%
Skew 10d	5.5%	4.1%	7.7%	6.3%	5.3%
Call IV 25d	10.1%	9.4%	11.5%	10.6%	10.5%
Put IV 25d	12.6%	11.4%	14.4%	13.1%	13.0%
Bid-Ask Spread %	3.77	2.23	13.19	13.19	5.26
Gamma HHI	0.17	0.11	0.21	0.20	0.18
Net GEX	-6.1M	-36.2M	19.9M	395.8K	-31.4M
Net DEX	-247.4M	-502.1M	-19.9M	-194.7M	-19.9M
Net VEX	-2.6M	-2.9M	-2.3M	-2.9M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.17	8.11	4.66	1.58
Total Volume	30,420.391	13,215	96,013	29,910	15,169
Total OI	359,401.565	338,843	408,540	351,974	345,140

Daily Data (23 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
2018-08-01	$53.10	$53.50	11.7%	3.4%	10.0%	29.5%	11.1%	2.5%	-0.4%	395.8K	-194.7M	-2.9M	4.66	13.19	5,280	24,630	160,751	191,223
2018-08-02	$53.69	$53.00	11.0%	3.1%	9.7%	24.3%	10.9%	2.4%	-0.1%	17.5M	-344.4M	-2.8M	1.60	3.34	8,431	13,473	162,222	177,809
2018-08-03	$54.35	$53.00	10.6%	3.0%	10.4%	21.6%	10.9%	2.3%	-0.1%	19.5M	-442.7M	-2.7M	1.70	8.18	8,130	13,806	165,251	183,099
2018-08-06	$54.32	$51.00	10.2%	3.4%	10.2%	18.8%	13.5%	2.3%	0.1%	19.9M	-432.9M	-2.6M	2.04	2.63	7,071	14,404	164,692	183,784
2018-08-07	$53.97	$52.00	10.7%	3.4%	10.1%	22.3%	12.8%	2.4%	0.2%	17.6M	-377.1M	-2.7M	7.08	2.40	4,518	31,969	164,586	186,286
2018-08-08	$53.65	$52.00	10.7%	3.3%	10.4%	22.7%	12.1%	2.3%	0.1%	-535.9K	-284.9M	-2.8M	2.84	2.30	3,649	10,374	165,041	203,609
2018-08-09	$53.47	$52.00	10.2%	3.4%	10.5%	18.7%	12.1%	1.9%	0.3%	-1.5M	-245.8M	-2.8M	1.48	2.70	7,806	11,547	165,450	203,855
2018-08-10	$53.24	$52.00	11.3%	3.6%	10.4%	26.5%	13.0%	2.6%	0.1%	890.2K	-188.7M	-2.8M	3.15	2.75	3,974	12,502	169,877	205,191
2018-08-13	$53.26	$52.00	11.3%	3.8%	10.2%	26.4%	13.8%	2.7%	1.8%	-5.8M	-185.4M	-2.8M	2.20	2.65	4,133	9,082	165,421	205,216
2018-08-14	$53.60	$52.00	11.3%	3.6%	9.9%	26.8%	13.8%	2.7%	0.6%	-8.0M	-272.4M	-2.7M	2.61	2.85	4,409	11,510	166,212	206,537
2018-08-15	$53.83	$52.00	11.3%	3.6%	9.5%	26.6%	13.7%	2.8%	1.1%	-4.4M	-325.2M	-2.7M	8.11	4.01	5,350	43,381	166,961	208,231
2018-08-16	$54.62	$53.00	10.8%	3.3%	10.6%	23.4%	12.0%	2.4%	0.4%	7.6M	-449.6M	-2.6M	2.34	2.29	10,676	25,008	167,303	222,392
2018-08-17	$55.02	$53.00	10.8%	3.3%	10.7%	23.0%	12.8%	2.3%	1.1%	5.5M	-502.1M	-2.6M	3.26	2.72	7,377	24,051	170,703	237,837
2018-08-20	$55.06	$53.00	10.9%	3.2%	10.2%	23.7%	11.6%	2.5%	-0.2%	-1.8M	-382.2M	-2.6M	3.55	3.75	6,218	22,080	149,310	209,014
2018-08-21	$54.61	$53.00	11.7%	3.4%	10.9%	29.1%	11.9%	2.7%	-0.4%	-8.7M	-313.5M	-2.7M	2.10	3.21	5,711	12,011	150,527	211,936
2018-08-22	$54.30	$53.00	12.1%	3.5%	11.0%	32.2%	12.6%	2.9%	-0.9%	-12.3M	-235.1M	-2.9M	0.17	5.76	82,285	13,728	151,695	213,828
2018-08-23	$54.08	$53.00	12.0%	3.5%	10.9%	31.2%	12.7%	2.6%	-0.4%	-20.1M	-83.0M	-2.5M	0.43	2.58	28,547	12,365	128,673	219,082
2018-08-24	$54.09	$53.00	11.6%	3.4%	10.9%	28.6%	12.5%	2.2%	-0.3%	-12.1M	-91.7M	-2.4M	0.36	3.18	29,015	10,392	129,125	218,542
2018-08-27	$54.08	$53.00	11.4%	3.4%	10.9%	27.1%	11.2%	2.8%	0.0%	-24.5M	-105.1M	-2.3M	0.34	2.96	31,377	10,682	127,023	211,820
2018-08-28	$53.89	$53.00	11.0%	3.3%	10.9%	24.7%	11.9%	2.6%	-0.2%	-28.0M	-72.2M	-2.3M	0.31	2.27	30,912	9,577	130,081	212,394
2018-08-29	$53.97	$53.00	10.8%	3.3%	10.4%	23.1%	12.1%	2.8%	-0.0%	-32.9M	-89.4M	-2.3M	0.34	2.23	28,783	9,812	131,109	213,015
2018-08-30	$53.79	$53.00	11.1%	3.4%	9.8%	25.1%	12.0%	2.6%	-0.3%	-36.2M	-51.2M	-2.3M	2.36	3.51	4,309	10,155	131,819	212,564
2018-08-31	$53.78	$53.00	10.8%	3.4%	8.7%	23.2%	11.4%	2.5%	-0.3%	-31.4M	-19.9M	-2.3M	1.58	5.26	5,880	9,289	132,056	213,084