XLP Options History — February 2019

In February 2019, XLP traded between $53.18 and $54.72. ATM implied volatility averaged 11.8%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.1% (HV 20d: 12.0%). Max pain ranged from $54.00 to $54.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.05.

Notable Days

2019-02-28: Highest Volume — 33,987 contracts
2019-02-07: Largest IV spike — 6.5% change
2019-02-01: Highest IV Rank — 20.4%
2019-02-01: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.04	$53.18	$54.72	$53.18	$54.31
Max Pain	$54.00	$54.00	$54.00	$54.00	$54.00
ATM IV	11.8%	10.6%	12.9%	12.9%	10.6%
Expected Move	3.5%	3.2%	3.9%	3.9%	3.2%
HV 20d	12.0%	9.3%	14.6%	14.6%	9.6%
HV 60d	16.6%	16.3%	16.9%	16.8%	16.3%
IV Rank	12.8%	3.2%	20.4%	20.4%	3.2%
IV Percentile	30.8%	5.2%	46.4%	44.8%	5.2%
Term Structure	-0.2%	-1.0%	0.7%	0.2%	-0.1%
VWIV	13.1%	11.7%	14.6%	14.5%	11.7%
Skew 25d	2.9%	2.5%	3.4%	2.6%	2.5%
Skew 10d	6.9%	5.1%	10.4%	5.9%	5.1%
Call IV 25d	10.6%	9.6%	11.6%	11.4%	9.6%
Put IV 25d	13.5%	12.1%	14.6%	14.1%	12.1%
Bid-Ask Spread %	3.45	2.68	4.83	3.43	3.27
Gamma HHI	0.37	0.10	0.67	0.57	0.10
Net GEX	20.4M	-12.3M	56.6M	35.8M	1.4M
Net DEX	-113.1M	-238.9M	-27.2M	-136.7M	-57.2M
Net VEX	-1.7M	-1.8M	-1.5M	-1.8M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.08	8.71	1.81	4.17
Total Volume	15,262.263	4,574	33,987	21,868	33,987
Total OI	245,697.895	217,768	276,678	276,678	231,975

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
2019-02-01	$53.18	$54.00	12.9%	3.9%	14.6%	20.4%	14.5%	2.6%	0.2%	35.8M	-136.7M	-1.8M	1.81	3.43	7,788	14,080	136,450	140,228
2019-02-04	$53.49	$54.00	12.3%	3.8%	13.9%	16.0%	13.6%	3.0%	0.7%	47.2M	-149.8M	-1.8M	0.74	3.63	3,767	2,805	134,731	124,952
2019-02-05	$53.59	$54.00	11.9%	3.4%	13.9%	13.3%	13.5%	2.8%	-0.5%	52.5M	-162.8M	-1.8M	3.41	2.68	1,037	3,537	135,515	126,180
2019-02-06	$53.57	$54.00	11.7%	3.4%	13.7%	12.0%	13.9%	2.9%	-0.6%	56.6M	-152.9M	-1.8M	0.26	2.81	13,411	3,459	136,050	128,509
2019-02-07	$53.50	$54.00	12.5%	3.8%	12.9%	17.6%	14.4%	3.3%	0.5%	44.3M	-117.3M	-1.8M	0.75	3.70	11,498	8,590	127,690	129,832
2019-02-08	$53.64	$54.00	12.2%	3.5%	12.8%	15.7%	13.3%	3.4%	-0.7%	36.6M	-118.7M	-1.8M	1.48	3.39	5,354	7,924	121,517	136,755
2019-02-11	$53.88	$54.00	12.5%	3.6%	12.8%	17.7%	12.9%	3.0%	-0.2%	46.0M	-158.0M	-1.8M	0.30	4.53	8,280	2,477	121,278	135,786
2019-02-12	$54.28	$54.00	12.7%	3.7%	12.7%	18.9%	12.3%	3.1%	-1.0%	48.3M	-238.9M	-1.5M	0.08	3.53	26,514	2,004	122,191	137,893
2019-02-13	$54.49	$54.00	12.8%	3.7%	12.5%	20.3%	12.8%	2.8%	-0.8%	24.1M	-201.7M	-1.7M	7.78	4.83	2,991	23,267	110,543	138,395
2019-02-14	$54.00	$54.00	12.1%	3.5%	12.9%	14.4%	14.6%	3.2%	0.2%	20.7M	-55.6M	-1.8M	8.71	2.86	2,917	25,418	110,892	159,499
2019-02-15	$54.34	$54.00	11.9%	3.5%	13.0%	13.0%	13.8%	2.8%	-0.7%	-2.9M	-182.3M	-1.7M	0.59	3.28	8,525	5,009	111,275	147,620
2019-02-19	$54.72	$54.00	11.3%	3.4%	12.6%	9.1%	12.3%	2.6%	0.2%	-1.7M	-95.7M	-1.6M	0.86	2.76	3,362	2,895	89,614	128,154
2019-02-20	$54.56	$54.00	11.2%	3.2%	11.4%	7.6%	12.5%	2.9%	0.0%	-3.7M	-81.9M	-1.6M	1.00	2.79	3,333	3,342	90,329	129,353
2019-02-21	$54.59	$54.00	11.3%	3.3%	10.4%	8.7%	13.0%	3.0%	-0.1%	-12.3M	-78.0M	-1.7M	1.40	4.02	4,087	5,725	91,867	131,666
2019-02-22	$54.35	$54.00	11.0%	3.2%	9.3%	6.4%	12.0%	3.2%	-0.5%	-6.2M	-48.0M	-1.5M	1.14	3.96	11,600	13,268	91,479	131,831
2019-02-25	$54.10	$54.00	11.7%	3.5%	9.5%	11.6%	12.6%	2.5%	-0.3%	1.4M	-38.3M	-1.7M	1.25	3.59	2,679	3,340	93,003	130,698
2019-02-26	$54.20	$54.00	11.5%	3.4%	9.5%	10.2%	12.1%	3.0%	0.0%	321.6K	-48.3M	-1.7M	1.45	3.17	2,111	3,057	94,226	132,054
2019-02-27	$54.02	$54.00	11.1%	3.3%	9.7%	7.1%	12.0%	2.5%	-0.1%	-519.8K	-27.2M	-1.7M	1.72	3.33	2,409	4,136	94,894	133,336
2019-02-28	$54.31	$54.00	10.6%	3.2%	9.6%	3.2%	11.7%	2.5%	-0.1%	1.4M	-57.2M	-1.7M	4.17	3.27	6,575	27,412	96,306	135,669