XLP Options History — May 2019

In May 2019, XLP traded between $55.64 and $57.84. ATM implied volatility averaged 12.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.4% (HV 20d: 10.3%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 4.13.

Notable Days

  • 2019-05-23: Highest Volume — 97,155 contracts
  • 2019-05-07: Largest IV spike — 29.2% change
  • 2019-05-31: Highest IV Rank — 41.9%
  • 2019-05-31: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.09$55.64$57.84$57.10$55.64
Max Pain$55.64$55.00$57.00$57.00$56.00
ATM IV12.7%9.8%15.2%10.5%15.2%
Expected Move3.8%2.8%4.6%3.2%4.6%
HV 20d10.3%7.9%12.3%8.2%12.0%
HV 60d8.7%8.0%9.9%8.0%9.9%
IV Rank24.5%4.6%41.9%9.0%41.9%
IV Percentile57.1%4.4%84.5%13.1%84.5%
Term Structure0.0%-0.6%1.0%0.0%-0.4%
VWIV13.9%10.2%16.9%11.0%15.8%
Skew 25d3.0%1.9%4.1%2.1%3.8%
Skew 10d6.3%4.5%9.6%4.6%6.4%
Call IV 25d11.2%9.2%13.3%9.5%13.3%
Put IV 25d14.3%11.2%17.2%11.7%17.2%
Bid-Ask Spread %3.962.787.473.603.30
Gamma HHI0.250.140.440.320.22
Net GEX-37.1M-70.4M-895.5K-54.0M-16.1M
Net DEX-82.6M-444.2M278.7M-83.8M278.7M
Net VEX-2.1M-2.4M-1.6M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.130.3314.535.112.41
Total Volume28,4673,58597,15535,20727,241
Total OI335,770.273241,948402,839370,364315,597

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$57.10$57.0010.5%3.2%8.2%9.0%11.0%2.1%0.0%-54.0M-83.8M-2.4M5.113.605,76329,444127,040243,324
2019-05-02$56.95$57.0010.5%3.0%7.9%9.1%11.4%2.3%0.2%-62.1M-25.9M-2.4M9.333.133,62133,768129,244248,383
2019-05-03$57.41$57.009.8%2.8%8.1%4.6%10.2%1.9%0.3%-63.1M-201.1M-2.2M4.433.123,82716,944129,016256,283
2019-05-06$57.34$56.0010.7%3.6%8.2%10.3%13.5%2.6%0.4%-66.6M-156.7M-2.2M8.133.281,51612,319129,555256,117
2019-05-07$56.62$56.0013.8%4.1%9.6%32.0%16.0%4.1%-0.0%-68.2M122.5M-2.4M3.827.479,78637,428129,521257,901
2019-05-08$56.91$55.0013.2%4.1%9.7%27.6%14.5%3.4%0.2%-70.4M5.9M-2.3M2.413.8612,53330,184129,698257,963
2019-05-09$56.67$56.0013.8%3.9%9.8%32.0%14.6%3.4%0.1%-64.2M92.6M-2.3M1.733.8917,50630,350135,400258,903
2019-05-10$57.19$55.0013.0%4.0%10.2%26.3%14.6%3.1%-0.0%-29.3M-142.9M-2.1M7.466.283,94229,408139,936262,903
2019-05-13$56.75$55.0014.5%4.2%10.7%37.2%16.9%3.8%0.3%-32.0M-28.0M-2.1M6.856.391,0997,529131,268214,328
2019-05-14$57.09$55.0013.4%4.1%10.6%29.2%14.8%2.9%1.0%-43.5M-144.3M-2.0M3.133.703,64211,402129,605222,219
2019-05-15$57.52$55.0012.0%3.6%10.8%19.6%13.7%2.7%0.1%-36.8M-332.1M-1.7M0.543.3410,3405,578130,406222,581
2019-05-16$57.84$55.0011.4%3.5%10.8%15.8%13.0%2.8%0.8%-18.0M-444.2M-1.7M1.013.2329,00529,255136,144222,869
2019-05-17$57.82$55.0011.7%3.5%10.8%17.3%13.3%2.6%1.0%-7.1M-359.6M-1.8M0.693.239,7346,756125,267214,651
2019-05-20$57.65$55.0013.0%3.8%10.9%26.8%14.8%2.9%-0.5%-11.1M-170.0M-1.8M6.584.421,68311,07393,364153,743
2019-05-21$57.50$55.0012.5%3.6%10.9%23.1%13.0%2.6%-0.4%-4.2M-171.2M-1.7M0.453.806,7873,05694,563147,385
2019-05-22$57.84$55.0011.9%3.4%11.0%18.8%12.6%2.6%-0.6%-895.5K-229.3M-1.6M1.653.371,3512,23496,985147,009
2019-05-23$57.58$55.0013.4%3.9%10.8%29.2%14.2%3.4%-0.3%-12.0M-161.8M-1.8M14.534.246,25490,90197,183152,547
2019-05-24$57.55$56.0012.9%3.7%10.5%25.8%13.7%3.0%-0.5%-69.8M-94.1M-2.1M5.083.232,00510,182101,658226,676
2019-05-28$56.57$56.0014.0%4.2%12.3%33.3%14.9%3.4%-0.4%-28.1M101.7M-2.2M3.504.174,60316,10099,158203,101
2019-05-29$56.17$56.0014.6%4.4%11.6%37.5%14.9%3.6%-0.3%-31.3M180.4M-2.2M1.763.2610,15817,84599,753206,549
2019-05-30$56.33$56.0013.7%4.1%11.3%31.7%14.4%3.6%-0.4%-27.5M146.0M-2.2M0.332.7816,6395,483103,814207,336
2019-05-31$55.64$56.0015.2%4.6%12.0%41.9%15.8%3.8%-0.4%-16.1M278.7M-2.2M2.413.307,99019,251106,522209,075