XLP Options History — September 2019

In September 2019, XLP traded between $60.48 and $61.56. ATM implied volatility averaged 12.2%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.7% (HV 20d: 11.6%). Max pain ranged from $60.00 to $61.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2019-09-05: Highest Volume — 37,917 contracts
  • 2019-09-16: Largest IV spike — 17.3% change
  • 2019-09-03: Highest IV Rank — 38.4%
  • 2019-09-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.01$60.48$61.56$61.01$61.40
Max Pain$60.55$60.00$61.00$60.00$61.00
ATM IV12.2%10.8%14.7%14.7%12.1%
Expected Move3.6%3.2%4.6%4.6%3.3%
HV 20d11.6%8.4%14.7%14.5%8.8%
HV 60d13.0%12.6%13.3%12.9%12.6%
IV Rank21.3%11.6%38.4%38.4%20.2%
IV Percentile42.7%20.2%75.8%75.8%40.5%
Term Structure0.2%-1.0%1.3%-0.5%0.2%
VWIV13.3%11.1%17.5%17.5%12.6%
Skew 25d3.7%2.8%4.9%3.9%4.2%
Skew 10d7.1%3.7%10.6%7.3%7.9%
Call IV 25d10.8%9.7%13.1%13.1%10.4%
Put IV 25d14.6%13.3%17.0%17.0%14.6%
Bid-Ask Spread %3.252.177.502.542.17
Gamma HHI0.140.100.260.140.15
Net GEX-13.1M-49.4M13.8M-23.2M13.8M
Net DEX-137.5M-324.8M58.8M-116.8M-224.7M
Net VEX-2.9M-3.3M-2.1M-2.4M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.376.520.670.96
Total Volume20,917.354,67037,91711,0355,511
Total OI448,542.75383,159538,729395,387407,720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$61.01$60.0014.7%4.6%14.5%38.4%17.5%3.9%-0.5%-23.2M-116.8M-2.4M0.672.546,5894,446108,205287,182
2019-09-04$61.56$60.0013.6%4.1%14.7%30.4%15.4%3.6%-0.1%-9.8M-219.2M-2.2M5.987.504,27925,603110,515289,484
2019-09-05$61.30$60.0012.6%3.8%14.4%23.4%16.8%3.6%-0.1%-16.2M-183.2M-2.2M6.523.275,04232,875112,593300,565
2019-09-06$61.44$60.0012.0%3.6%13.9%19.8%12.8%3.5%-0.2%-34.7M-187.1M-2.2M1.622.737,33011,889114,945323,299
2019-09-09$61.32$60.0011.6%3.4%13.9%16.7%13.7%3.3%0.1%-12.9M-170.4M-2.2M1.192.736,1237,261115,633310,715
2019-09-10$60.73$60.0012.6%3.5%13.9%23.5%12.6%4.1%-0.3%-21.5M-74.7M-2.1M2.082.844,5549,461119,825312,059
2019-09-11$61.05$60.0011.6%3.4%13.6%17.0%13.9%3.1%-0.2%8.4M-232.7M-3.2M1.612.906,90911,117188,586337,760
2019-09-12$61.41$60.0010.8%3.3%12.6%11.6%12.8%2.9%1.3%13.1M-324.8M-3.2M1.763.383,8216,725189,208343,048
2019-09-13$61.08$60.0011.5%3.4%11.8%15.8%12.1%3.4%0.7%7.2M-236.1M-3.2M1.583.4910,63716,849190,838347,891
2019-09-16$60.48$61.0013.4%3.9%12.1%29.6%14.8%4.8%-1.0%-12.0M-16.2M-3.3M0.833.0711,9249,921187,292293,053
2019-09-17$60.81$61.0012.5%3.6%11.6%23.4%13.8%4.9%0.3%-9.6M-97.5M-3.2M3.932.696,46425,392185,865293,929
2019-09-18$60.82$61.0012.8%3.7%10.9%25.3%14.3%3.6%0.6%-34.5M-91.4M-3.0M5.143.975,22526,851187,868310,032
2019-09-19$60.84$61.0011.3%3.2%10.9%15.0%11.7%2.8%0.3%-49.4M-94.4M-3.0M0.373.7918,2406,754190,544327,865
2019-09-20$60.51$61.0011.7%3.3%10.9%17.5%12.8%3.6%0.8%-45.9M58.8M-3.1M2.402.733,3928,143172,618326,593
2019-09-23$60.68$61.0012.0%3.5%8.9%19.6%12.2%3.4%0.6%-17.9M-61.0M-3.1M0.602.442,9201,750151,866231,293
2019-09-24$60.75$61.0012.6%3.6%8.5%23.8%11.8%4.1%0.4%-14.6M-72.7M-3.1M3.594.277,94828,498153,978231,868
2019-09-25$60.85$61.0011.4%3.2%8.5%15.3%11.1%3.9%0.4%-12.3M-100.3M-3.1M1.292.2812,75716,470159,984228,148
2019-09-26$61.23$61.0011.9%3.3%8.4%18.6%11.3%3.8%0.7%-2.3M-168.9M-3.2M1.233.4010,28712,616169,051241,541
2019-09-27$61.01$61.0012.2%3.4%8.5%20.9%12.3%4.3%0.3%11.4M-136.9M-3.2M1.112.747,4758,299174,508242,888
2019-09-30$61.40$61.0012.1%3.3%8.8%20.2%12.6%4.2%0.2%13.8M-224.7M-3.2M0.962.172,8082,703178,682229,038