XLP Options History — June 2020

In June 2020, XLP traded between $57.27 and $60.95. ATM implied volatility averaged 19.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.2% (HV 20d: 19.5%). Max pain ranged from $59.00 to $59.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2020-06-05: Highest Volume — 26,658 contracts
  • 2020-06-11: Largest IV spike — 31.3% change
  • 2020-06-12: Highest IV Rank — 27.8%
  • 2020-06-12: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.21$57.27$60.95$59.68$58.56
Max Pain$59.00$59.00$59.00$59.00$59.00
ATM IV19.3%15.7%23.5%17.2%19.5%
Expected Move5.5%4.5%6.8%4.9%5.3%
HV 20d19.5%17.5%21.8%17.6%21.2%
HV 60d29.9%21.8%40.4%40.4%21.9%
IV Rank20.1%13.5%27.8%16.2%20.4%
IV Percentile76.1%67.9%84.1%73.8%74.2%
Term Structure0.0%-1.7%1.0%-1.0%0.4%
VWIV20.2%16.2%24.7%16.2%21.5%
Skew 25d5.5%3.5%6.7%5.8%5.9%
Skew 10d10.1%6.9%14.0%10.2%11.9%
Call IV 25d17.0%13.8%21.0%14.4%16.6%
Put IV 25d22.4%18.1%27.2%20.1%22.5%
Bid-Ask Spread %9.615.3120.709.675.79
Gamma HHI0.090.070.190.090.07
Net GEX-3.4M-28.2M12.7M9.0M-8.3M
Net DEX64.3M-107.3M207.0M340.7K111.7M
Net VEX-2.2M-2.3M-2.0M-2.1M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.117.210.701.74
Total Volume10,505.1823,26326,65811,6023,903
Total OI272,548.682224,728307,307259,814233,714

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$59.68$59.0017.2%4.9%17.6%16.2%16.2%5.8%-1.0%9.0M340.7K-2.1M0.709.676,8334,769117,560142,254
2020-06-02$59.52$59.0016.8%4.7%17.6%15.5%16.8%4.7%-0.5%8.9M11.7M-2.1M0.879.172,5252,186121,012145,566
2020-06-03$60.09$59.0016.1%4.6%17.9%14.1%16.4%4.7%-0.5%12.0M-42.9M-2.1M3.327.891,8766,228122,499146,387
2020-06-04$59.41$59.0016.6%4.8%18.0%15.1%18.8%5.6%-0.4%7.5M24.4M-2.1M2.2913.426,83415,637122,930151,174
2020-06-05$60.31$59.0015.7%4.7%18.4%13.5%19.6%4.7%-0.0%12.7M-67.4M-2.1M7.2112.763,24623,412123,763153,178
2020-06-08$60.95$59.0015.9%4.5%17.5%13.8%16.2%3.8%0.3%9.2M-107.3M-2.0M0.1112.0716,3081,771120,243171,287
2020-06-09$60.57$59.0016.6%4.7%17.7%15.1%17.2%4.4%-0.2%7.2M-66.2M-2.1M0.8010.309,2847,394120,341172,185
2020-06-10$60.57$59.0017.2%4.7%17.5%16.2%17.9%3.5%-0.4%7.3M-60.1M-2.1M0.4214.482,9201,221123,972174,267
2020-06-11$58.31$59.0022.6%6.7%21.7%26.2%24.7%5.5%0.8%-6.8M171.2M-2.2M3.0520.703,69611,275124,269174,847
2020-06-12$58.08$59.0023.5%6.8%21.8%27.8%23.7%6.2%1.0%-11.6M207.0M-2.2M2.7013.943,3218,957125,395181,313
2020-06-15$58.50$59.0023.1%6.7%21.8%27.1%22.4%6.0%-1.7%-8.8M162.3M-2.2M0.5115.533,0961,567125,633179,007
2020-06-16$59.50$59.0021.4%6.2%21.1%24.0%21.5%6.2%-1.2%-3.4M56.7M-2.1M1.369.675,0256,848125,913178,699
2020-06-17$59.51$59.0020.0%5.7%19.6%21.3%20.5%5.3%0.5%-4.6M58.4M-2.1M2.165.461,8113,904125,358179,371
2020-06-18$59.75$59.0019.8%5.6%19.5%21.0%19.9%5.4%0.7%-4.9M37.2M-2.1M0.335.963,8071,250125,278181,465
2020-06-19$59.75$59.0018.9%5.3%19.1%19.3%19.5%5.6%0.3%-11.2M53.6M-2.1M1.207.493,0383,643125,336181,971
2020-06-22$58.91$59.0019.9%5.7%20.0%21.2%23.7%6.5%0.7%-10.7M111.9M-2.2M2.115.642,8726,04975,519149,209
2020-06-23$59.05$59.0019.2%5.5%19.9%19.9%19.9%5.7%0.5%-9.9M103.0M-2.2M0.675.3113,7139,21176,514149,792
2020-06-24$58.15$59.0021.3%6.2%20.3%23.8%23.3%6.2%0.3%-15.8M153.0M-2.3M1.978.173,0345,98983,679152,216
2020-06-25$58.25$59.0020.9%6.1%19.9%23.0%21.3%6.0%0.1%-14.6M142.9M-2.3M0.796.252,9252,30386,020153,318
2020-06-26$57.27$59.0021.9%6.2%20.7%24.8%22.6%6.2%0.3%-28.2M205.7M-2.3M0.486.202,8101,36086,465154,586
2020-06-29$57.99$59.0021.4%6.1%20.8%23.9%20.4%6.7%0.2%-10.4M147.4M-2.3M0.445.622,27099386,449146,117
2020-06-30$58.56$59.0019.5%5.3%21.2%20.4%21.5%5.9%0.4%-8.3M111.7M-2.3M1.745.791,4242,47987,657146,057