XLP Options History — December 2018

In December 2018, XLP traded between $48.71 and $56.22. ATM implied volatility averaged 17.4%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.7% (HV 20d: 14.7%). Max pain ranged from $53.00 to $56.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.56.

Notable Days

  • 2018-12-07: Highest Volume — 126,575 contracts
  • 2018-12-24: Largest IV spike — 15.4% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.10$48.71$56.22$56.22$50.69
Max Pain$55.48$53.00$56.00$54.50$53.00
ATM IV17.4%13.0%23.5%13.0%20.3%
Expected Move5.2%4.1%7.1%4.3%6.2%
HV 20d14.7%10.3%21.6%11.3%21.5%
HV 60d15.5%14.0%18.3%14.0%18.2%
IV Rank62.8%32.9%100.0%32.9%77.8%
IV Percentile87.7%61.1%100.0%61.1%97.6%
Term Structure0.0%-1.2%1.1%0.3%-0.4%
VWIV18.7%14.8%25.5%15.2%21.6%
Skew 25d3.8%3.2%4.5%3.5%3.6%
Skew 10d7.6%5.3%9.6%6.8%7.6%
Call IV 25d15.9%11.0%21.9%11.0%18.7%
Put IV 25d19.7%14.5%26.0%14.5%22.3%
Bid-Ask Spread %6.633.2354.013.233.60
Gamma HHI0.130.100.180.160.10
Net GEX-19.1M-34.6M-7.3M-19.8M-7.3M
Net DEX313.2M-195.9M804.3M-195.9M241.8M
Net VEX-2.3M-2.9M-1.7M-2.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.3023.450.370.30
Total Volume32,014.17,461126,5758,5247,461
Total OI437,743.45308,491508,023480,703308,491

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$56.22$54.5013.0%4.3%11.3%32.9%15.2%3.5%0.3%-19.8M-195.9M-2.5M0.373.236,2332,291174,311306,392
2018-12-04$55.51$55.0014.4%4.9%11.4%43.4%17.1%4.0%0.2%-24.6M3.8M-2.6M3.403.814,39214,938177,842307,498
2018-12-05$55.41$55.0014.4%5.1%11.3%43.7%17.9%3.7%-0.3%-24.9M5.5M-2.6M3.4154.014,46315,221177,842307,498
2018-12-06$55.37$56.0015.0%4.4%10.8%47.9%16.6%4.5%-0.0%-34.6M85.8M-2.6M23.453.723,70086,776176,269319,527
2018-12-07$55.01$56.0015.4%4.4%10.9%50.9%16.2%4.3%0.1%-30.1M114.8M-2.5M2.103.6140,81085,765177,409295,363
2018-12-10$54.80$56.0015.7%4.5%10.3%53.0%16.6%4.0%0.1%-21.5M206.5M-2.7M1.823.924,3357,900173,083289,418
2018-12-11$55.33$56.0014.8%4.4%11.0%46.3%15.6%4.1%0.8%-22.3M78.6M-2.7M0.543.7818,3029,838174,137294,681
2018-12-12$55.27$56.0014.4%4.4%10.8%43.5%15.6%3.6%0.9%-18.2M77.8M-2.8M0.943.6518,88017,782184,646301,280
2018-12-13$55.45$56.0013.6%4.1%10.8%37.1%14.8%3.3%1.0%-13.0M-7.3M-2.9M0.863.3716,49714,131198,579304,281
2018-12-14$54.39$56.0015.3%4.6%12.6%50.2%16.1%3.2%1.1%-29.9M307.9M-2.8M5.054.698,42142,553199,202308,821
2018-12-17$52.97$56.0017.5%5.0%15.2%65.3%19.3%3.7%-0.6%-22.3M548.5M-2.5M1.133.8929,19533,013193,931288,619
2018-12-18$52.60$56.0017.8%5.1%15.3%67.5%18.0%3.6%0.1%-22.1M619.7M-2.2M1.194.353,9954,737169,329264,970
2018-12-19$52.15$56.0017.8%5.1%14.9%67.9%20.7%4.0%-0.3%-18.7M683.8M-2.1M1.775.844,6358,193170,935266,085
2018-12-20$51.01$56.0019.2%5.5%16.2%78.7%19.0%3.4%-0.4%-17.6M791.0M-1.9M0.395.8319,9467,695171,557269,734
2018-12-21$50.45$56.0020.4%6.0%16.2%87.8%19.8%3.7%-1.2%-13.5M804.3M-1.9M0.775.2011,1478,616167,195270,431
2018-12-24$48.71$56.0023.5%7.1%19.4%100.0%25.5%4.1%-0.2%-13.1M664.3M-1.7M1.164.549,25910,718140,977212,764
2018-12-26$49.89$56.0022.1%6.7%21.5%90.2%23.9%4.2%-0.4%-12.4M593.7M-1.8M1.604.193,0884,929143,924215,075
2018-12-27$50.28$55.0021.9%6.6%21.6%88.3%23.4%3.9%-0.7%-8.1M373.1M-1.9M0.303.8227,5898,340153,279183,383
2018-12-28$50.43$53.0021.1%6.4%21.5%82.9%21.2%4.0%-0.2%-7.9M266.4M-1.8M0.703.628,5465,952148,444167,667
2018-12-31$50.69$53.0020.3%6.2%21.5%77.8%21.6%3.6%-0.4%-7.3M241.8M-1.8M0.303.605,7271,734143,286165,205