XLP Options History — June 2019

In June 2019, XLP traded between $56.23 and $59.34. ATM implied volatility averaged 12.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.1% (HV 20d: 12.6%). Max pain ranged from $56.00 to $59.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.88.

Notable Days

  • 2019-06-07: Highest Volume — 59,443 contracts
  • 2019-06-04: Largest IV drop — 9.2% change
  • 2019-06-03: Highest IV Rank — 42.0%
  • 2019-06-03: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.41$56.23$59.34$56.23$57.98
Max Pain$57.85$56.00$59.00$56.00$59.00
ATM IV12.5%11.2%15.2%15.2%12.7%
Expected Move3.6%3.2%4.7%4.7%3.6%
HV 20d12.6%11.0%13.5%12.3%11.0%
HV 60d10.3%10.0%10.7%10.0%10.5%
IV Rank22.9%13.9%42.0%42.0%24.2%
IV Percentile55.3%32.5%84.5%84.5%58.7%
Term Structure0.1%-0.4%0.6%-0.4%0.4%
VWIV13.3%11.5%17.0%17.0%11.5%
Skew 25d2.9%2.5%4.0%4.0%2.6%
Skew 10d5.7%4.8%7.0%6.9%4.9%
Call IV 25d11.4%10.4%13.0%13.0%11.4%
Put IV 25d14.3%13.2%17.0%17.0%14.1%
Bid-Ask Spread %3.422.614.373.922.93
Gamma HHI0.240.140.510.230.51
Net GEX-41.2M-151.7M-5.3M-22.8M-151.7M
Net DEX-62.0M-211.3M179.4M102.4M179.4M
Net VEX-2.0M-2.2M-1.8M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.880.4715.111.151.29
Total Volume26,410.457,73759,4437,73713,582
Total OI316,341.9255,218370,763287,208310,465

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$56.23$56.0015.2%4.7%12.3%42.0%17.0%4.0%-0.4%-22.8M102.4M-2.2M1.153.923,6034,13492,918194,290
2019-06-04$56.69$56.0013.8%4.2%12.7%32.3%14.8%3.3%-0.1%-16.3M19.2M-2.1M0.602.839,9726,00994,425193,921
2019-06-05$57.51$56.0012.8%4.0%12.9%25.4%14.8%3.3%-0.3%-7.7M-111.0M-2.0M1.113.2111,80013,07497,738196,738
2019-06-06$58.08$57.0012.4%3.5%13.2%22.7%12.7%2.9%-0.3%-5.3M-189.1M-1.9M6.853.156,16342,19999,025201,759
2019-06-07$58.69$58.0012.5%3.5%13.5%23.1%13.1%3.0%0.3%-30.6M-203.1M-1.9M7.583.566,92852,51599,250240,143
2019-06-10$58.65$58.0012.8%3.6%13.2%25.5%12.3%3.1%-0.3%-71.8M-111.0M-2.0M0.974.136,4806,29994,216249,542
2019-06-11$58.78$58.0012.4%3.6%12.8%22.6%13.0%2.6%0.4%-58.0M-152.5M-1.9M2.563.864,42611,32897,919242,685
2019-06-12$58.88$58.0012.1%3.5%12.7%20.6%13.1%2.9%0.3%-55.3M-159.9M-2.0M6.793.131,88512,79799,427252,407
2019-06-13$58.84$58.0012.0%3.4%12.5%19.8%13.3%2.7%0.0%-64.3M-160.2M-2.0M3.663.274,21515,41499,843261,449
2019-06-14$59.16$58.0011.8%3.4%12.5%18.4%12.8%2.7%-0.0%-15.4M-211.3M-1.9M3.553.723,17811,29098,849271,914
2019-06-17$58.91$58.0012.0%3.4%12.6%19.7%12.7%3.4%0.2%-24.9M-148.3M-1.9M3.342.612,0936,98896,596222,165
2019-06-18$58.59$58.0011.9%3.4%12.8%19.1%13.4%3.0%0.6%-32.7M-94.6M-1.9M4.142.864,90120,27096,677229,058
2019-06-19$58.92$58.0012.1%3.5%12.8%20.2%14.2%2.6%-0.0%-32.8M-142.9M-1.9M4.214.377,38031,04898,207234,072
2019-06-20$59.34$58.0011.2%3.2%12.9%13.9%12.0%2.7%-0.1%-18.8M-202.8M-1.8M0.474.0833,04215,681101,099236,000
2019-06-21$58.90$58.0011.5%3.3%13.1%16.0%12.4%2.5%0.1%-33.4M-34.3M-1.9M0.753.4123,66117,71175,378241,305
2019-06-24$58.91$58.0012.0%3.5%13.1%19.6%12.5%2.5%0.3%-25.2M15.2M-1.9M15.113.921,35720,50861,214194,004
2019-06-25$58.86$59.0012.2%3.5%11.2%21.2%14.1%2.7%0.1%-33.2M43.9M-2.0M6.033.263,34320,14961,983208,739
2019-06-26$58.09$59.0013.1%3.8%12.0%27.5%13.2%3.0%0.1%-55.1M156.7M-2.0M2.233.0916,42236,68562,690209,462
2019-06-27$58.10$59.0012.7%3.6%12.0%24.6%13.9%2.9%0.2%-67.9M164.2M-2.2M5.253.093,14716,53275,426233,840
2019-06-28$57.98$59.0012.7%3.6%11.0%24.2%11.5%2.6%0.4%-151.7M179.4M-2.1M1.292.935,9277,65575,544234,921