XLP Options History — May 2020

In May 2020, XLP traded between $56.81 and $59.19. ATM implied volatility averaged 19.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.6% (HV 20d: 20.3%). Max pain ranged from $58.50 to $60.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2020-05-01: Highest Volume — 39,970 contracts
  • 2020-05-18: Largest IV drop — 14.1% change
  • 2020-05-04: Highest IV Rank — 26.5%
  • 2020-05-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.76$56.81$59.19$57.57$59.05
Max Pain$59.70$58.50$60.00$58.50$59.00
ATM IV19.7%16.5%22.8%22.6%16.5%
Expected Move5.6%4.6%6.5%6.5%4.6%
HV 20d20.3%17.5%26.7%26.7%17.9%
HV 60d43.6%40.5%44.6%43.9%40.5%
IV Rank20.8%14.9%26.5%26.2%14.9%
IV Percentile79.4%72.2%84.1%84.1%72.2%
Term Structure0.2%-0.7%1.1%0.3%-0.1%
VWIV19.7%15.1%23.2%21.0%16.8%
Skew 25d7.0%5.2%8.7%7.6%5.2%
Skew 10d13.8%10.0%17.8%15.3%10.5%
Call IV 25d16.7%14.1%19.2%19.0%14.1%
Put IV 25d23.6%19.3%27.5%26.6%19.3%
Bid-Ask Spread %11.656.0622.0412.7417.72
Gamma HHI0.180.070.430.250.11
Net GEX-18.1M-55.7M8.6M-55.7M8.6M
Net DEX201.4M34.5M341.2M282.9M39.6M
Net VEX-2.1M-2.5M-1.9M-2.5M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.185.272.061.17
Total Volume11,206.74,57339,97039,97014,544
Total OI285,625.35232,836342,464342,464260,017

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$57.57$58.5022.6%6.5%26.7%26.2%21.0%7.6%0.3%-55.7M282.9M-2.5M2.0612.7413,05926,911123,660218,804
2020-05-04$57.69$60.0022.8%6.5%26.7%26.5%22.6%8.3%0.1%-24.5M263.5M-2.4M3.2919.733,06510,076126,494197,757
2020-05-05$57.69$60.0021.5%6.1%22.7%24.2%21.2%7.8%0.7%-24.4M252.7M-2.3M0.7316.235,3053,847127,258194,046
2020-05-06$57.11$60.0022.1%6.4%23.0%25.3%21.0%7.8%0.2%-28.0M324.8M-2.3M1.8813.242,0413,829126,409192,983
2020-05-07$56.94$60.0020.9%6.1%23.0%23.1%23.2%7.2%0.1%-33.0M341.2M-2.2M0.9311.448,1067,537126,488191,347
2020-05-08$58.12$60.0019.0%5.6%23.3%19.5%16.0%6.6%0.7%-17.2M182.5M-2.3M0.3022.048,5932,541127,468193,116
2020-05-11$58.09$60.0018.9%5.4%23.0%19.3%21.3%6.6%-0.3%-16.4M161.0M-2.2M4.4511.241,0204,544132,051178,384
2020-05-12$57.78$60.0018.9%5.5%18.1%19.2%19.4%6.9%0.1%-24.2M207.5M-2.1M0.569.098,3824,714132,175180,651
2020-05-13$56.81$60.0021.4%6.4%18.4%24.1%22.4%8.7%1.1%-27.5M315.8M-2.0M2.208.953,6588,051138,361177,675
2020-05-14$56.88$60.0022.2%6.4%17.9%25.4%22.8%8.5%0.1%-31.6M302.9M-2.1M5.2710.051,8229,593141,006178,312
2020-05-15$57.22$60.0022.6%6.4%17.5%26.1%22.6%8.6%-0.7%-25.3M222.8M-2.1M3.0311.722,3627,147141,358171,870
2020-05-18$58.57$60.0019.4%5.6%19.2%20.3%20.9%7.2%0.7%-4.1M113.1M-2.1M1.456.262,9664,31599,723133,113
2020-05-19$57.41$60.0019.8%5.7%18.5%21.1%19.6%6.7%0.9%-8.8M194.1M-2.0M0.588.612,8871,686101,660135,145
2020-05-20$57.83$60.0017.7%5.1%18.1%17.2%17.5%6.1%0.4%-9.5M170.0M-2.0M0.187.715,8611,068102,211135,430
2020-05-21$57.32$60.0018.2%5.2%18.1%18.0%19.4%5.9%0.3%-10.3M201.4M-1.9M2.988.821,8215,426104,826135,694
2020-05-22$57.47$59.5017.8%5.0%17.8%17.2%17.6%6.1%0.5%-30.6M192.0M-1.9M0.676.857,3074,862106,333138,566
2020-05-26$57.86$59.0016.9%4.6%17.9%15.6%15.6%5.9%-0.1%-2.3M137.7M-1.9M0.7616.553,5702,724108,418136,147
2020-05-27$58.53$59.0017.2%4.7%18.4%16.2%17.1%5.4%-0.1%-655.5K87.1M-2.0M2.716.061,3993,795110,574136,816
2020-05-28$59.19$59.0017.4%4.8%18.8%16.6%15.1%6.4%-0.1%2.7M34.5M-2.0M0.298.0410,6583,042111,286138,875
2020-05-29$59.05$59.0016.5%4.6%17.9%14.9%16.8%5.2%-0.1%8.6M39.6M-2.0M1.1717.726,7127,832119,556140,461