XLP Options History — February 2020

In February 2020, XLP traded between $56.98 and $64.74. ATM implied volatility averaged 13.8%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.8% (HV 20d: 9.0%). Max pain ranged from $63.50 to $64.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.51.

Notable Days

2020-02-28: Highest Volume — 50,302 contracts
2020-02-28: Largest IV spike — 37.6% change
2020-02-25: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.39	$56.98	$64.74	$63.35	$56.98
Max Pain	$63.92	$63.50	$64.00	$63.50	$64.00
ATM IV	13.8%	10.1%	32.8%	12.8%	32.8%
Expected Move	4.0%	2.9%	10.0%	3.6%	10.0%
HV 20d	9.0%	6.8%	22.4%	7.6%	22.4%
HV 60d	7.4%	6.2%	14.5%	6.6%	14.5%
IV Rank	45.9%	17.6%	100.0%	47.6%	100.0%
IV Percentile	57.7%	19.8%	100.0%	77.8%	100.0%
Term Structure	-0.0%	-2.0%	0.9%	-0.1%	-2.0%
VWIV	14.1%	10.7%	34.7%	13.5%	34.7%
Skew 25d	3.4%	2.3%	8.1%	3.5%	8.1%
Skew 10d	5.6%	-2.2%	12.7%	6.7%	12.7%
Call IV 25d	12.2%	9.2%	29.2%	11.4%	29.2%
Put IV 25d	15.6%	11.6%	37.2%	14.9%	37.2%
Bid-Ask Spread %	2.73	1.42	12.87	2.45	12.87
Gamma HHI	0.19	0.07	0.24	0.19	0.07
Net GEX	-22.1M	-41.7M	6.6M	-41.7M	-13.8M
Net DEX	80.0M	-130.3M	688.0M	139.2M	688.0M
Net VEX	-1.9M	-2.2M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.51	0.60	3.74	2.35	1.05
Total Volume	17,191.158	2,930	50,302	13,688	50,302
Total OI	262,931	229,431	291,194	229,431	291,194

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-02-03	$63.35	$63.50	12.8%	3.6%	7.6%	47.6%	13.5%	3.5%	-0.1%	-41.7M	139.2M	-1.9M	2.35	2.45	4,081	9,607	68,342	161,089
2020-02-04	$63.66	$63.50	11.9%	3.4%	7.7%	38.2%	11.6%	2.9%	-0.1%	-40.9M	75.6M	-1.9M	1.41	2.58	5,050	7,127	70,932	162,552
2020-02-05	$64.01	$63.50	11.3%	3.2%	7.3%	31.4%	11.1%	2.8%	0.1%	-35.5M	13.9M	-1.9M	0.75	2.03	9,486	7,144	74,213	164,290
2020-02-06	$64.23	$64.00	11.3%	3.2%	7.1%	31.9%	11.5%	2.6%	0.1%	-23.2M	-33.8M	-1.9M	2.57	1.73	6,139	15,794	79,844	168,359
2020-02-07	$64.38	$64.00	10.9%	3.3%	7.1%	27.4%	11.1%	3.0%	0.1%	-32.8M	-49.3M	-2.0M	3.74	1.97	2,873	10,752	83,322	181,340
2020-02-10	$64.47	$64.00	10.7%	3.2%	7.1%	24.2%	11.2%	2.8%	0.6%	-22.9M	-68.1M	-1.8M	1.07	1.42	7,907	8,485	79,846	171,509
2020-02-11	$64.35	$64.00	10.8%	3.2%	7.0%	25.6%	12.2%	2.7%	0.4%	-25.7M	-46.2M	-1.9M	1.17	1.50	2,743	3,199	83,209	176,112
2020-02-12	$64.28	$64.00	10.4%	3.1%	7.1%	21.7%	10.7%	2.4%	0.4%	-28.4M	-45.2M	-1.9M	0.76	1.42	7,544	5,697	85,547	178,341
2020-02-13	$64.56	$64.00	10.4%	2.9%	6.8%	21.9%	11.1%	2.3%	-0.1%	-18.2M	-111.7M	-1.8M	2.65	1.84	4,664	12,351	89,518	181,456
2020-02-14	$64.74	$64.00	10.3%	2.9%	6.8%	20.1%	11.3%	2.5%	-0.5%	-10.9M	-128.6M	-1.8M	0.76	1.79	3,643	2,758	91,808	184,649
2020-02-18	$64.59	$64.00	10.4%	3.0%	6.9%	21.5%	11.1%	2.6%	0.9%	-8.8M	-105.5M	-1.8M	0.60	1.60	1,830	1,100	90,392	181,574
2020-02-19	$64.56	$64.00	10.1%	2.9%	6.8%	17.6%	11.1%	2.4%	0.9%	-2.1M	-114.3M	-1.7M	0.61	1.47	4,206	2,548	90,612	181,131
2020-02-20	$64.44	$64.00	11.4%	3.3%	6.9%	32.3%	11.5%	2.6%	-0.3%	-4.1M	-78.5M	-1.7M	0.99	1.89	6,525	6,462	89,758	182,663
2020-02-21	$64.62	$64.00	11.9%	3.3%	6.9%	38.1%	11.6%	3.0%	0.8%	6.6M	-130.3M	-1.8M	1.25	2.01	12,982	16,242	94,202	185,673
2020-02-24	$63.31	$64.00	14.9%	4.2%	9.8%	71.9%	14.2%	3.7%	-0.2%	-28.4M	162.4M	-2.2M	2.55	2.90	5,519	14,084	86,537	160,410
2020-02-25	$62.22	$64.00	17.8%	5.2%	11.5%	100.0%	18.0%	4.4%	-0.7%	-31.5M	336.8M	-2.2M	2.78	4.37	8,871	24,652	88,768	168,531
2020-02-26	$61.83	$64.00	18.1%	5.1%	11.6%	100.0%	18.8%	4.8%	-0.7%	-36.5M	422.7M	-2.2M	1.00	3.06	8,228	8,201	92,938	187,325
2020-02-27	$59.74	$64.00	23.9%	6.9%	16.5%	100.0%	22.0%	5.0%	-0.7%	-21.4M	593.8M	-2.1M	0.71	2.97	10,430	7,406	98,034	189,669
2020-02-28	$56.98	$64.00	32.8%	10.0%	22.4%	100.0%	34.7%	8.1%	-2.0%	-13.8M	688.0M	-1.9M	1.05	12.87	24,502	25,800	100,753	190,441