XLP Options History — July 2019

In July 2019, XLP traded between $58.31 and $60.58. ATM implied volatility averaged 11.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.4% (HV 20d: 10.7%). Max pain ranged from $59.00 to $61.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 5.37.

Notable Days

  • 2019-07-31: Highest Volume — 89,009 contracts
  • 2019-07-31: Largest IV spike — 18.1% change
  • 2019-07-31: Highest IV Rank — 29.5%
  • 2019-07-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.71$58.31$60.58$58.31$59.62
Max Pain$59.91$59.00$61.00$59.00$61.00
ATM IV11.1%10.1%13.4%11.1%13.4%
Expected Move3.1%2.8%3.7%3.1%3.7%
HV 20d10.7%9.7%12.0%10.6%12.0%
HV 60d11.2%10.5%11.7%10.5%11.7%
IV Rank13.1%6.1%29.5%13.6%29.5%
IV Percentile28.9%7.1%69.4%31.3%69.4%
Term Structure0.0%-0.5%0.5%0.3%0.1%
VWIV11.4%9.9%13.2%11.6%13.1%
Skew 25d2.4%1.9%2.8%2.8%2.8%
Skew 10d5.2%4.4%7.6%5.6%6.2%
Call IV 25d10.1%9.1%12.0%10.3%12.0%
Put IV 25d12.5%11.6%14.9%13.1%14.9%
Bid-Ask Spread %2.782.184.433.793.33
Gamma HHI0.270.110.430.120.23
Net GEX-67.0M-163.4M-14.4M-39.1M-118.6M
Net DEX52.4M-91.3M325.8M91.1M325.8M
Net VEX-2.0M-2.3M-1.8M-1.9M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.371.3917.771.663.54
Total Volume31,324.8188,34789,00912,49189,009
Total OI349,475.773298,213425,203298,213368,491

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$58.31$59.0011.1%3.1%10.6%13.6%11.6%2.8%0.3%-39.1M91.1M-1.9M1.663.794,6997,79273,867224,346
2019-07-02$58.80$59.0010.5%2.8%10.6%9.4%9.9%2.6%0.1%-25.2M6.6M-1.9M3.372.606,63022,31473,301226,786
2019-07-03$59.61$59.0011.4%3.0%10.5%15.7%11.3%1.9%-0.0%-14.4M-91.3M-1.8M2.392.5020,05847,89577,074244,143
2019-07-05$59.36$60.0011.2%3.4%10.3%13.9%12.0%2.1%0.2%-29.4M-19.7M-1.9M4.284.435,75124,59781,233262,588
2019-07-08$59.57$60.0011.8%3.2%9.7%18.1%12.2%2.3%-0.5%-32.3M-18.9M-2.0M8.112.542,88323,38678,154251,374
2019-07-09$59.00$60.0011.7%3.4%10.4%17.4%13.2%2.4%0.1%-60.1M106.8M-2.1M8.432.812,75023,18779,935261,570
2019-07-10$59.56$60.0010.9%3.0%10.9%12.1%11.9%2.1%-0.4%-41.4M-16.2M-2.0M1.572.225,4188,50580,201264,063
2019-07-11$59.52$60.0010.7%3.0%10.9%10.6%11.7%2.5%-0.4%-43.6M-1.4M-2.0M3.552.836,99324,81683,061267,878
2019-07-12$59.82$60.0010.1%2.9%11.0%6.1%11.3%2.1%0.2%-37.1M-56.2M-2.0M1.482.373,3604,98785,875284,477
2019-07-15$59.92$60.0010.3%3.0%10.8%8.0%10.4%2.4%0.2%-36.3M-67.1M-1.9M5.952.184,36625,99283,645262,192
2019-07-16$59.98$60.0010.3%3.0%10.7%7.7%10.4%2.3%0.2%-49.4M-35.7M-2.0M1.393.116,1908,57786,642285,997
2019-07-17$59.94$60.0010.4%3.0%10.4%8.9%10.9%2.3%0.2%-67.6M4.5M-2.0M17.772.442,24539,88785,504297,089
2019-07-18$60.34$60.0010.7%3.1%10.5%10.7%11.1%2.4%-0.4%-71.8M-39.7M-2.1M2.292.625,26612,05986,231328,446
2019-07-19$60.05$60.0011.0%3.1%10.5%12.4%11.9%2.7%0.2%-59.3M26.1M-2.2M9.903.811,82418,05088,806336,397
2019-07-22$59.56$60.0011.6%3.3%10.5%16.5%11.1%2.4%0.2%-122.7M261.2M-2.2M3.642.224,97218,10767,524254,407
2019-07-23$60.05$60.0011.2%3.1%10.9%13.9%11.5%2.5%-0.2%-103.1M114.4M-2.1M9.242.722,03518,81070,984255,842
2019-07-24$59.60$60.0011.3%3.1%11.3%14.5%11.3%2.3%0.2%-148.0M259.3M-2.2M8.422.492,09117,60171,553271,577
2019-07-25$59.58$60.0011.3%3.2%10.1%14.6%11.6%2.4%0.4%-163.4M264.8M-2.1M9.722.661,41613,76771,928273,390
2019-07-26$60.31$60.0010.2%2.9%10.8%7.3%10.0%2.6%0.5%-71.3M21.0M-2.0M1.822.1915,16527,59172,037279,986
2019-07-29$60.50$60.0010.8%3.1%10.7%11.5%11.3%2.6%-0.0%-64.2M5.6M-2.0M5.662.493,82821,66980,821255,049
2019-07-30$60.58$60.0011.4%3.2%10.6%15.1%10.9%2.4%-0.2%-76.4M12.1M-2.0M4.032.8416,41766,19183,277270,726
2019-07-31$59.62$61.0013.4%3.7%12.0%29.5%13.1%2.8%0.1%-118.6M325.8M-2.3M3.543.3319,62169,38888,590279,901