XLP Options History — January 2019

In January 2019, XLP traded between $50.32 and $53.35. ATM implied volatility averaged 14.8%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 4.9% (HV 20d: 19.7%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.83.

Notable Days

2019-01-11: Highest Volume — 41,801 contracts
2019-01-22: Largest IV spike — 17.7% change
2019-01-03: Highest IV Rank — 71.7%
2019-01-03: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.70	$50.32	$53.35	$50.32	$53.35
Max Pain	$50.76	$50.00	$54.00	$53.00	$54.00
ATM IV	14.8%	12.4%	19.5%	18.7%	12.5%
Expected Move	4.3%	3.5%	5.7%	5.5%	3.9%
HV 20d	19.7%	13.5%	23.2%	21.5%	14.4%
HV 60d	17.5%	16.5%	18.3%	18.3%	17.1%
IV Rank	36.0%	16.7%	71.7%	66.0%	17.9%
IV Percentile	67.4%	39.7%	96.4%	95.2%	39.7%
Term Structure	0.0%	-0.8%	0.6%	0.0%	0.2%
VWIV	15.4%	11.6%	20.7%	20.7%	14.8%
Skew 25d	3.1%	2.1%	3.8%	3.8%	3.2%
Skew 10d	7.0%	4.5%	10.9%	7.3%	10.9%
Call IV 25d	13.6%	10.9%	17.9%	17.2%	10.9%
Put IV 25d	16.7%	13.7%	21.8%	21.0%	14.2%
Bid-Ask Spread %	6.62	2.54	12.03	3.25	3.79
Gamma HHI	0.19	0.08	0.58	0.11	0.58
Net GEX	7.7M	-10.0M	50.3M	-9.6M	45.3M
Net DEX	72.2M	-179.0M	285.0M	285.0M	-179.0M
Net VEX	-1.6M	-1.8M	-1.5M	-1.6M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.83	0.15	27.02	0.94	0.68
Total Volume	14,556.619	3,144	41,801	13,799	28,384
Total OI	315,748.667	253,642	400,942	304,898	281,780

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
2019-01-02	$50.32	$53.00	18.7%	5.5%	21.5%	66.0%	20.7%	3.8%	0.0%	-9.6M	285.0M	-1.6M	0.94	3.25	7,112	6,687	140,158	164,740
2019-01-03	$50.34	$50.00	19.5%	5.7%	21.4%	71.7%	19.4%	3.8%	-0.1%	-10.0M	280.6M	-1.7M	0.82	3.12	9,259	7,631	142,227	168,167
2019-01-04	$51.09	$50.00	18.2%	5.2%	22.5%	62.6%	19.9%	3.6%	-0.1%	-3.1M	207.5M	-1.7M	0.74	4.42	14,207	10,578	144,637	170,213
2019-01-07	$51.31	$50.00	17.3%	5.1%	22.7%	56.7%	17.4%	3.6%	0.6%	-4.6M	153.1M	-1.7M	0.22	2.54	2,570	574	147,778	168,128
2019-01-08	$51.76	$50.00	16.2%	4.7%	23.1%	48.3%	17.4%	3.5%	-0.1%	-1.9M	107.5M	-1.7M	3.33	6.83	3,084	10,279	148,458	169,289
2019-01-09	$51.18	$50.00	16.4%	4.7%	23.2%	50.2%	16.6%	3.5%	0.1%	-5.4M	169.5M	-1.6M	4.52	9.79	1,652	7,466	150,877	177,360
2019-01-10	$51.50	$51.00	15.7%	4.6%	23.0%	43.2%	16.3%	3.5%	0.5%	-3.7M	138.8M	-1.6M	7.49	12.03	1,674	12,530	150,566	177,430
2019-01-11	$51.60	$51.00	14.0%	4.0%	23.1%	30.9%	12.5%	3.1%	-0.2%	-2.6M	122.6M	-1.6M	0.24	9.33	33,841	7,960	153,630	183,631
2019-01-14	$51.39	$51.00	14.5%	4.2%	22.9%	34.7%	15.6%	3.0%	-0.8%	-1.4M	130.7M	-1.5M	1.02	7.53	7,424	7,570	179,237	184,746
2019-01-15	$51.89	$50.00	13.3%	3.8%	22.7%	23.4%	12.8%	3.0%	-0.0%	6.8M	54.9M	-1.6M	0.29	7.61	20,419	5,859	184,870	190,853
2019-01-16	$51.65	$50.00	12.7%	3.6%	20.8%	19.3%	13.6%	3.0%	0.5%	5.4M	74.5M	-1.5M	1.35	8.48	1,779	2,399	203,113	189,883
2019-01-17	$51.78	$50.00	12.4%	3.5%	20.8%	16.7%	13.7%	2.8%	0.0%	5.2M	61.4M	-1.6M	1.71	6.34	4,679	8,006	203,341	190,773
2019-01-18	$52.41	$50.00	12.5%	3.6%	21.0%	17.6%	11.6%	2.1%	-0.6%	50.3M	-57.2M	-1.6M	0.15	5.88	18,348	2,675	205,111	195,831
2019-01-22	$51.72	$50.00	14.7%	4.5%	20.0%	34.2%	15.8%	3.1%	-0.0%	11.1M	15.9M	-1.6M	1.18	11.26	5,089	5,999	140,630	113,012
2019-01-23	$52.50	$51.00	13.7%	4.0%	20.1%	26.8%	14.6%	2.7%	-0.0%	28.3M	-95.0M	-1.6M	0.77	7.11	5,778	4,434	145,296	117,800
2019-01-24	$51.84	$51.00	14.0%	4.1%	15.7%	28.5%	14.7%	3.0%	0.1%	15.0M	9.7M	-1.6M	6.43	5.73	879	5,649	146,314	121,213
2019-01-25	$51.75	$51.00	13.7%	4.1%	13.7%	26.7%	13.2%	2.8%	0.1%	5.8M	29.7M	-1.5M	2.48	8.05	2,550	6,312	145,985	123,437
2019-01-28	$51.91	$51.00	14.1%	4.1%	13.5%	29.3%	14.5%	3.3%	-0.0%	7.4M	20.9M	-1.6M	27.02	6.46	252	6,809	141,663	120,718
2019-01-29	$52.02	$51.00	13.9%	4.1%	13.5%	28.1%	14.5%	3.1%	0.1%	6.6M	14.4M	-1.6M	16.45	6.66	340	5,594	141,875	129,075
2019-01-30	$52.35	$51.00	13.3%	4.0%	13.6%	23.6%	14.5%	2.4%	0.2%	16.5M	-29.1M	-1.7M	2.57	2.91	3,185	8,173	141,901	134,976
2019-01-31	$53.35	$54.00	12.5%	3.9%	14.4%	17.9%	14.8%	3.2%	0.2%	45.3M	-179.0M	-1.8M	0.68	3.79	16,878	11,506	144,450	137,330