XLP Options History — September 2018

In September 2018, XLP traded between $53.62 and $55.28. ATM implied volatility averaged 10.8%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.5% (HV 20d: 9.4%). Max pain ranged from $53.00 to $54.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.20.

Notable Days

2018-09-20: Highest Volume — 48,237 contracts
2018-09-24: Largest IV spike — 11.7% change
2018-09-04: Highest IV Rank — 28.7%
2018-09-04: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.46	$53.62	$55.28	$53.62	$53.89
Max Pain	$53.39	$53.00	$54.50	$53.00	$54.50
ATM IV	10.8%	10.1%	11.6%	11.6%	11.1%
Expected Move	3.2%	2.9%	3.7%	3.7%	3.1%
HV 20d	9.4%	7.9%	10.6%	8.7%	10.5%
HV 60d	9.9%	9.6%	10.5%	9.8%	9.9%
IV Rank	20.8%	11.9%	28.7%	28.7%	19.2%
IV Percentile	40.8%	23.8%	61.5%	61.5%	47.2%
Term Structure	0.2%	-0.4%	0.7%	-0.0%	0.1%
VWIV	11.6%	10.6%	12.9%	12.1%	12.1%
Skew 25d	2.8%	2.3%	3.3%	2.7%	2.9%
Skew 10d	6.0%	4.6%	9.8%	5.0%	5.7%
Call IV 25d	9.9%	9.3%	10.3%	10.3%	10.1%
Put IV 25d	12.8%	11.7%	13.3%	13.0%	13.0%
Bid-Ask Spread %	3.21	1.93	8.73	3.60	2.16
Gamma HHI	0.19	0.15	0.38	0.18	0.38
Net GEX	-1.1M	-25.4M	19.0M	-14.1M	-25.4M
Net DEX	-162.4M	-279.5M	16.1M	-61.1M	3.8M
Net VEX	-2.0M	-2.2M	-1.8M	-2.2M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.20	0.32	3.24	1.65	2.21
Total Volume	19,094.105	11,299	48,237	11,299	17,313
Total OI	313,213.632	233,893	348,416	335,842	253,716

Daily Data (19 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
2018-09-04	$53.62	$53.00	11.6%	3.7%	8.7%	28.7%	12.1%	2.7%	-0.0%	-14.1M	-61.1M	-2.2M	1.65	3.60	4,270	7,029	131,506	204,336
2018-09-05	$54.27	$53.00	10.9%	3.5%	9.5%	24.0%	12.8%	3.2%	0.4%	-9.1M	-166.5M	-2.1M	2.18	3.23	6,608	14,398	131,831	205,061
2018-09-06	$54.47	$53.00	11.2%	3.4%	9.3%	25.9%	11.6%	3.3%	0.2%	678.4K	-202.6M	-2.2M	2.33	3.08	4,732	11,021	134,983	211,476
2018-09-07	$54.32	$53.00	11.1%	3.3%	9.3%	25.3%	11.9%	3.0%	0.1%	1.2M	-185.4M	-2.1M	2.94	7.03	4,314	12,687	136,380	212,036
2018-09-10	$54.60	$53.00	11.2%	3.1%	9.2%	25.8%	11.7%	2.9%	-0.4%	-4.1M	-226.4M	-2.0M	2.72	2.35	3,819	10,393	132,517	206,726
2018-09-11	$54.38	$53.00	10.9%	3.3%	9.4%	23.9%	11.7%	2.8%	0.7%	-9.4M	-176.2M	-2.1M	1.96	2.13	4,680	9,182	132,000	207,652
2018-09-12	$55.02	$53.00	10.8%	3.1%	10.0%	23.2%	11.8%	3.2%	0.2%	4.0M	-279.5M	-2.0M	1.68	2.00	4,816	8,102	131,251	207,760
2018-09-13	$54.85	$53.00	10.5%	3.1%	10.0%	21.1%	11.5%	3.0%	0.3%	5.9M	-261.3M	-1.9M	2.78	4.19	3,055	8,508	131,350	208,372
2018-09-14	$54.74	$53.00	10.4%	2.9%	8.6%	20.0%	11.4%	3.0%	-0.2%	-861.8K	-240.4M	-2.0M	3.21	2.69	3,479	11,156	131,485	208,939
2018-09-17	$54.91	$53.00	10.5%	3.0%	8.3%	19.8%	10.8%	2.9%	0.3%	19.0M	-268.3M	-1.8M	2.16	1.93	3,750	8,108	129,242	203,671
2018-09-18	$54.77	$53.00	10.4%	3.0%	8.3%	19.0%	11.3%	2.6%	0.2%	17.8M	-248.8M	-1.8M	2.89	2.00	4,240	12,248	129,564	204,723
2018-09-19	$54.62	$53.00	10.1%	2.9%	7.9%	15.1%	11.0%	2.4%	0.7%	13.9M	-221.5M	-1.9M	1.76	2.36	7,130	12,547	129,582	209,717
2018-09-20	$55.28	$53.00	10.3%	3.0%	8.6%	14.2%	12.9%	2.8%	-0.1%	10.5M	-274.9M	-1.9M	0.32	2.30	36,471	11,766	131,518	210,875
2018-09-21	$55.02	$54.00	10.1%	2.9%	8.7%	11.9%	10.6%	2.3%	0.2%	-3.6M	-153.3M	-1.8M	1.25	2.57	13,053	16,372	102,206	212,935
2018-09-24	$54.20	$54.00	11.3%	3.3%	10.4%	20.7%	10.6%	2.5%	0.0%	-1.9M	-70.5M	-2.0M	2.25	2.95	7,326	16,492	92,764	141,129
2018-09-25	$53.95	$54.00	11.0%	3.2%	10.5%	18.5%	11.0%	2.8%	0.1%	-5.4M	-40.6M	-1.9M	2.21	2.54	6,240	13,768	92,914	143,686
2018-09-26	$54.05	$54.50	11.3%	3.3%	10.4%	20.4%	11.3%	2.6%	0.1%	-6.1M	-28.4M	-2.0M	3.24	8.73	6,303	20,447	96,253	147,667
2018-09-27	$53.78	$54.50	11.0%	3.1%	10.6%	18.5%	11.3%	2.6%	0.2%	-14.3M	16.1M	-2.0M	2.06	3.19	5,549	11,416	96,778	156,458
2018-09-28	$53.89	$54.50	11.1%	3.1%	10.5%	19.2%	12.1%	2.9%	0.1%	-25.4M	3.8M	-2.0M	2.21	2.16	5,399	11,914	97,161	156,555