XLP Options History — August 2019

In August 2019, XLP traded between $57.98 and $60.90. ATM implied volatility averaged 15.2%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.6% (HV 20d: 15.8%). 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 9 of 22 days. Put/call ratio averaged 5.73.

Notable Days

  • 2019-08-14: Highest Volume — 111,943 contracts
  • 2019-08-05: Largest IV spike — 23.4% change
  • 2019-08-05: Highest IV Rank — 57.8%
  • 2019-08-14: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.76$57.98$60.90$59.53$60.65
Max Pain$59.64$59.00$61.00$61.00$60.00
ATM IV15.2%13.5%17.5%13.8%14.9%
Expected Move4.5%3.9%5.1%4.0%4.5%
HV 20d15.8%11.0%18.1%11.0%17.2%
HV 60d13.0%11.4%13.8%11.4%13.0%
IV Rank41.9%29.8%57.8%32.2%39.7%
IV Percentile80.7%67.5%94.4%72.2%77.8%
Term Structure-0.0%-0.8%1.1%-0.3%-0.5%
VWIV16.4%13.4%19.8%13.4%16.4%
Skew 25d3.9%3.3%4.6%3.4%4.2%
Skew 10d7.8%4.5%10.4%4.5%7.6%
Call IV 25d13.3%11.8%15.8%12.4%12.7%
Put IV 25d17.3%15.0%19.6%15.9%16.9%
Bid-Ask Spread %3.122.335.373.082.70
Gamma HHI0.190.130.460.210.14
Net GEX-64.1M-207.1M-25.8M-118.1M-30.1M
Net DEX136.8M-115.5M484.0M357.5M-51.2M
Net VEX-2.4M-2.9M-2.2M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.730.5741.694.442.17
Total Volume31,055.1365,772111,94340,8907,697
Total OI395,507.682309,264459,182383,232459,182

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$59.53$61.0013.8%4.0%11.0%32.2%13.4%3.4%-0.3%-118.1M357.5M-2.3M4.443.087,51033,38097,629285,603
2019-08-02$59.39$61.0014.2%4.1%11.0%34.7%14.1%3.3%-0.3%-207.1M484.0M-2.4M2.242.9513,94831,186100,842297,677
2019-08-05$57.98$60.0017.5%5.0%13.8%57.8%19.0%3.9%-0.3%-44.9M386.1M-2.3M4.293.7113,97059,93579,617229,647
2019-08-06$58.25$60.0016.4%4.8%13.6%50.1%16.9%4.2%0.0%-48.4M343.4M-2.4M2.354.063,2507,63589,094245,212
2019-08-07$59.00$59.0015.7%4.5%14.0%45.6%14.9%3.9%-0.3%-42.4M199.7M-2.3M0.702.789,7866,88691,287238,201
2019-08-08$59.67$59.0013.5%3.9%14.6%29.8%14.2%3.3%-0.1%-36.4M61.2M-2.2M1.192.585,6026,64697,191238,449
2019-08-09$59.50$59.0013.6%4.3%14.5%30.7%15.4%3.6%0.2%-53.8M115.3M-2.3M2.502.387,50318,75395,106248,120
2019-08-12$58.91$59.0015.1%4.6%14.9%41.2%17.1%4.4%1.0%-57.8M258.4M-2.4M3.502.923,31411,59995,417256,467
2019-08-13$59.53$59.0014.0%4.3%15.4%33.8%15.4%4.2%0.9%-52.4M110.2M-2.2M3.522.872,1057,40496,803254,152
2019-08-14$58.78$59.0016.8%5.1%16.0%52.7%19.8%4.6%0.9%-58.9M273.9M-2.4M7.703.3312,86899,07596,884257,575
2019-08-15$59.69$59.0016.9%4.9%16.8%53.5%18.1%4.2%0.2%-76.5M163.8M-2.7M1.612.9912,21719,625108,358346,366
2019-08-16$60.22$59.0015.3%4.6%17.1%42.9%16.5%3.8%1.1%-41.2M-41.2M-2.5M2.992.984,93714,756114,496337,843
2019-08-19$60.90$59.0014.0%4.1%17.2%33.3%16.5%3.9%-0.3%-25.8M-115.5M-2.2M18.712.703,40963,79294,410284,443
2019-08-20$60.27$59.0014.7%4.3%17.4%38.6%16.4%3.8%-0.8%-52.9M39.1M-2.5M41.693.181,02842,859100,776298,314
2019-08-21$60.30$60.0013.9%4.0%17.2%33.1%16.1%3.3%-0.6%-67.1M72.8M-2.6M5.503.168884,884101,942322,384
2019-08-22$60.66$60.0014.5%4.2%17.3%36.8%15.4%3.6%-0.3%-57.2M-13.4M-2.5M1.135.376,2307,052102,083323,785
2019-08-23$59.64$60.0017.2%5.0%17.9%55.5%18.0%4.1%-0.8%-87.7M271.0M-2.9M11.483.636,62076,031105,940329,933
2019-08-26$60.12$60.0016.3%4.8%18.1%49.4%18.0%4.6%0.0%-80.4M148.5M-2.7M1.683.223,0235,076106,502335,839
2019-08-27$60.25$60.0016.1%4.8%18.1%48.1%17.5%3.9%-0.0%-78.5M94.7M-2.7M0.572.506,0773,451108,099335,104
2019-08-28$60.68$60.0015.4%4.6%17.3%43.5%16.7%4.2%-0.5%-54.8M-49.0M-2.4M4.513.172,93413,245113,104336,126
2019-08-29$60.72$60.0014.7%4.4%17.3%38.4%15.2%4.0%0.4%-38.9M-98.8M-2.2M1.612.335,7649,263114,623330,544
2019-08-30$60.65$60.0014.9%4.5%17.2%39.7%16.4%4.2%-0.5%-30.1M-51.2M-2.5M2.172.702,4315,266118,234340,948