XLP Options History — January 2020

In January 2020, XLP traded between $62.01 and $64.10. ATM implied volatility averaged 10.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.1% (HV 20d: 6.3%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2020-01-06: Highest Volume — 126,949 contracts
  • 2020-01-31: Largest IV spike — 14.6% change
  • 2020-01-31: Highest IV Rank — 52.6%
  • 2020-01-31: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.18$62.01$64.10$62.49$63.14
Max Pain$63.19$62.00$64.00$63.00$64.00
ATM IV10.3%8.7%13.2%11.2%13.2%
Expected Move3.0%2.5%3.9%3.2%3.9%
HV 20d6.3%5.2%7.5%6.0%7.5%
HV 60d6.7%6.6%6.9%6.9%6.7%
IV Rank20.1%2.5%52.6%25.0%52.6%
IV Percentile27.0%1.2%82.9%41.3%82.9%
Term Structure0.1%-0.4%0.6%0.2%0.5%
VWIV10.3%8.9%13.5%9.6%13.5%
Skew 25d2.4%1.4%3.5%2.4%3.5%
Skew 10d4.5%3.0%6.5%4.8%6.5%
Call IV 25d9.2%7.9%11.4%10.2%11.4%
Put IV 25d11.5%9.5%14.9%12.6%14.9%
Bid-Ask Spread %3.051.6813.072.0113.07
Gamma HHI0.300.190.760.220.33
Net GEX-47.8M-433.5M34.1M23.7M-62.6M
Net DEX1.3M-351.8M301.9M220.1M256.7M
Net VEX-2.0M-2.9M-1.6M-2.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.8512.591.291.50
Total Volume30,063.0952,501126,94966,5518,875
Total OI373,561.524210,950602,058602,058257,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$62.49$63.0011.2%3.2%6.0%25.0%9.6%2.4%0.2%23.7M220.1M-2.9M1.292.0129,09237,459249,921352,137
2020-01-03$62.40$63.0010.9%3.1%5.2%22.0%10.2%2.6%0.2%5.3M166.9M-2.8M1.162.377,3238,487227,653332,598
2020-01-06$62.41$63.0010.9%3.2%5.2%24.6%10.9%2.4%0.0%24.2M138.4M-2.6M1.022.0962,98863,961227,890327,263
2020-01-07$62.01$63.0010.7%3.1%5.4%24.2%10.3%2.4%-0.0%13.6M102.2M-2.1M1.622.067,03111,359169,749269,938
2020-01-08$62.42$63.009.9%2.9%6.0%16.0%10.0%2.0%0.1%23.6M-65.2M-2.1M1.082.0117,05618,473172,770270,443
2020-01-09$62.65$62.009.4%2.6%6.0%10.2%9.5%2.3%0.2%24.6M-196.6M-2.0M0.851.934,5153,819164,153263,993
2020-01-10$62.65$62.009.4%2.6%6.0%10.1%9.1%1.9%0.3%25.2M-210.3M-2.0M5.811.862,87816,732165,658266,816
2020-01-13$62.97$63.009.0%2.6%6.2%5.9%9.3%1.8%0.0%13.3M-305.2M-1.9M0.982.8423,41522,836164,848281,054
2020-01-14$63.01$63.009.0%2.6%6.1%5.9%9.2%1.8%0.1%4.0M-226.3M-1.7M1.012.331,2471,254145,489261,232
2020-01-15$63.44$63.008.8%2.7%6.5%3.6%9.1%1.8%0.4%34.1M-351.8M-1.7M5.772.012,52914,581145,820261,890
2020-01-16$63.65$63.008.9%2.5%6.6%5.3%8.9%1.7%-0.4%20.4M-340.5M-1.7M4.522.062,28910,356146,196282,725
2020-01-17$63.77$63.008.7%2.5%6.5%2.5%8.9%1.4%0.0%-37.1M-341.0M-1.7M1.211.6813,75016,648147,229289,924
2020-01-21$63.99$63.009.1%2.6%6.5%7.3%9.5%1.9%0.1%-83.0M18.5M-1.6M3.062.754,09512,53956,073154,877
2020-01-22$64.10$63.009.7%2.8%6.5%13.5%9.6%2.2%-0.1%-94.9M30.0M-1.8M12.592.703,90449,13859,599176,114
2020-01-23$64.00$63.0010.0%2.8%5.9%16.3%10.1%2.4%0.0%-158.8M115.3M-1.9M8.222.353,36327,64962,930201,416
2020-01-24$63.50$64.0011.2%3.2%6.7%30.1%11.4%2.7%-0.1%-433.5M301.9M-1.9M8.477.664,70539,83064,806203,093
2020-01-27$63.50$64.0012.2%3.5%6.7%41.8%12.4%3.4%0.1%-70.6M173.5M-2.0M5.852.643,07317,98065,927176,669
2020-01-28$63.56$64.0011.7%3.4%6.6%35.5%11.8%2.9%0.1%-88.0M181.1M-2.0M2.322.059312,15767,660189,233
2020-01-29$63.28$64.0011.6%3.3%6.6%34.8%11.3%3.1%0.4%-97.7M249.4M-2.0M5.812.895,20530,22567,940191,182
2020-01-30$63.75$64.0011.5%3.3%7.1%33.9%11.3%3.1%0.6%-90.0M110.6M-2.0M9.602.711,65815,92072,689189,625
2020-01-31$63.14$64.0013.2%3.9%7.5%52.6%13.5%3.5%0.5%-62.6M256.7M-2.0M1.5013.073,5495,32673,328184,242