XLP Options History — December 2019

In December 2019, XLP traded between $61.91 and $63.25. ATM implied volatility averaged 9.7%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 3.5% (HV 20d: 6.2%). Max pain ranged from $61.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2019-12-19: Highest Volume — 129,939 contracts
  • 2019-12-13: Largest IV drop — 14.9% change
  • 2019-12-31: Highest IV Rank — 17.6%
  • 2019-12-03: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.74$61.91$63.25$62.12$62.91
Max Pain$62.00$61.00$63.00$61.00$63.00
ATM IV9.7%8.5%10.8%10.8%10.6%
Expected Move2.8%2.5%3.5%3.3%3.0%
HV 20d6.2%5.2%7.9%7.9%5.6%
HV 60d8.4%6.9%9.0%9.0%6.9%
IV Rank6.5%0.0%17.6%11.2%17.6%
IV Percentile8.6%0.0%27.0%24.2%27.0%
Term Structure0.2%-0.3%0.4%-0.3%0.1%
VWIV10.2%8.5%12.6%11.6%11.3%
Skew 25d2.3%1.3%3.1%1.8%2.7%
Skew 10d4.6%2.7%6.7%3.5%5.2%
Call IV 25d8.7%7.9%9.5%9.2%9.5%
Put IV 25d11.1%9.6%12.4%10.9%12.2%
Bid-Ask Spread %5.472.0317.095.502.33
Gamma HHI0.230.180.330.190.24
Net GEX58.2M21.7M115.4M57.5M26.6M
Net DEX-391.0M-697.9M-36.0M-399.8M-36.0M
Net VEX-2.5M-3.2M-2.1M-2.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.066.181.660.56
Total Volume29,567.9051,167129,93916,0461,895
Total OI468,810.571390,804600,739390,804600,739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$62.12$61.0010.8%3.3%7.9%11.2%11.6%1.8%-0.3%57.5M-399.8M-2.1M1.665.506,02910,017189,988200,816
2019-12-03$61.91$61.0010.8%3.5%6.6%11.6%12.6%2.9%0.3%51.3M-343.6M-2.2M1.163.2140,37446,901190,238204,266
2019-12-04$62.45$61.0010.1%3.2%7.0%6.1%11.9%3.1%0.4%59.4M-460.6M-2.6M1.143.856,1477,005217,766241,621
2019-12-05$62.45$62.009.9%3.1%7.0%5.2%11.0%2.9%0.2%63.6M-476.0M-2.6M1.7216.772,2273,828221,737243,338
2019-12-06$62.69$62.009.6%2.7%6.8%2.6%10.1%2.6%0.1%81.8M-561.7M-2.5M1.136.093,8054,308222,473244,710
2019-12-09$62.78$62.009.3%2.7%6.8%0.7%9.8%2.6%0.4%83.5M-537.1M-2.4M1.553.284,1916,508216,056243,225
2019-12-10$62.56$62.009.8%2.7%7.0%4.2%10.5%2.7%-0.2%79.1M-468.0M-2.5M5.814.712,05711,946217,520247,564
2019-12-11$62.51$62.009.9%2.8%7.0%5.1%10.3%2.6%-0.0%69.5M-431.4M-2.5M1.956.223,0705,992216,560256,631
2019-12-12$62.58$62.0010.0%2.8%6.1%5.3%10.8%2.4%-0.1%68.0M-446.8M-2.5M4.6717.092,38511,127217,119259,039
2019-12-13$62.81$62.008.5%2.5%6.0%0.0%9.5%1.9%0.4%65.8M-505.1M-2.3M2.2515.846,24514,043217,712265,795
2019-12-16$62.98$62.008.8%2.5%6.0%1.9%8.9%2.0%0.2%115.4M-610.7M-2.2M3.414.415,36718,327217,706259,721
2019-12-17$62.94$62.008.8%2.5%5.6%2.4%9.4%2.1%0.2%99.2M-555.2M-2.3M1.095.256,2096,762218,559274,382
2019-12-18$62.83$62.008.6%2.5%5.7%0.7%9.5%1.8%0.4%91.8M-515.2M-2.3M3.443.891,9516,709222,356278,091
2019-12-19$63.08$62.008.7%2.5%5.8%1.3%8.5%1.3%0.3%48.9M-697.9M-2.1M0.063.03123,0076,932222,542278,855
2019-12-20$63.25$62.009.6%2.7%5.2%7.4%9.8%2.1%-0.0%30.3M-312.7M-2.3M6.182.033,03518,759154,133280,808
2019-12-23$62.83$62.009.6%2.7%5.9%7.3%9.8%2.1%0.3%21.7M-196.5M-2.5M0.832.412,4402,022148,042252,862
2019-12-24$62.86$62.009.7%2.7%5.9%7.9%10.4%2.1%0.4%24.8M-215.6M-2.4M3.652.21251916149,370251,565
2019-12-26$62.91$62.009.8%2.8%5.4%10.0%8.7%2.1%0.4%28.5M-228.1M-2.4M1.142.1950,68657,534149,504251,812
2019-12-27$63.16$63.0010.0%2.8%5.4%11.3%9.9%2.4%0.3%30.3M-174.9M-2.8M1.062.3951,25154,304199,618301,632
2019-12-30$62.91$63.0010.5%3.0%5.6%15.9%10.7%2.6%0.3%25.4M-38.1M-3.2M1.762.101,5822,782247,814350,737
2019-12-31$62.91$63.0010.6%3.0%5.6%17.6%11.3%2.7%0.1%26.6M-36.0M-3.2M0.562.331,213682248,732352,007