XLP Options History — July 2020

In July 2020, XLP traded between $58.84 and $62.82. ATM implied volatility averaged 17.2%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.6% (HV 20d: 15.7%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2020-07-29: Highest Volume — 33,271 contracts
  • 2020-07-13: Largest IV spike — 9.5% change
  • 2020-07-13: Highest IV Rank — 21.2%
  • 2020-07-13: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.06$58.84$62.82$58.84$62.56
Max Pain$60.07$59.00$62.00$59.00$62.00
ATM IV17.2%14.1%19.9%17.8%14.3%
Expected Move4.8%3.7%5.7%4.8%3.8%
HV 20d15.7%10.8%20.9%20.9%11.1%
HV 60d18.3%16.9%20.3%20.3%16.9%
IV Rank16.2%10.4%21.2%17.3%10.8%
IV Percentile63.9%48.4%75.4%70.6%48.4%
Term Structure0.2%-0.8%1.1%0.3%1.1%
VWIV17.3%13.5%22.8%17.1%13.6%
Skew 25d4.7%3.3%6.2%5.4%4.0%
Skew 10d9.8%7.3%18.7%10.5%8.1%
Call IV 25d15.3%12.8%17.4%15.7%12.8%
Put IV 25d20.0%16.5%23.1%21.1%16.8%
Bid-Ask Spread %8.805.0018.706.059.80
Gamma HHI0.080.050.140.070.09
Net GEX2.1M-6.5M14.4M-6.5M-2.0M
Net DEX-24.5M-114.2M92.8M92.8M-49.7M
Net VEX-2.2M-2.3M-2.1M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.1416.542.351.23
Total Volume10,091.1821,30833,2712,2875,263
Total OI244,668.091222,313318,329233,915318,329

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$58.84$59.0017.8%4.8%20.9%17.3%17.1%5.4%0.3%-6.5M92.8M-2.3M2.356.056831,60488,323145,592
2020-07-02$59.09$59.0017.1%4.5%20.7%16.0%15.7%5.0%0.3%-4.7M76.6M-2.2M0.506.701,94296988,438145,608
2020-07-06$59.16$59.0018.2%5.2%19.9%18.1%18.7%5.3%-0.0%-5.1M70.6M-2.1M0.2718.4412,2503,33886,737141,806
2020-07-07$59.89$59.0018.4%5.3%20.0%18.4%18.3%4.9%0.2%-1.2M28.3M-2.2M0.4716.353,9091,83488,267142,092
2020-07-08$59.68$59.0018.9%5.3%19.9%19.4%19.2%5.3%-0.0%-1.4M39.3M-2.2M1.646.4649581390,771143,513
2020-07-09$59.18$59.0019.8%5.6%20.1%21.0%19.9%6.1%0.2%-5.1M76.9M-2.2M6.447.466754,34790,785143,879
2020-07-10$60.27$59.0018.2%5.4%15.9%18.0%20.3%5.4%0.1%1.1M-2.9M-2.2M0.585.002,6031,51490,794143,143
2020-07-13$60.18$59.0019.9%5.7%15.8%21.2%22.8%6.2%-0.3%1.2M8.2M-2.2M0.6218.702,1671,35287,619141,150
2020-07-14$61.09$59.0019.4%5.6%16.4%20.2%19.6%6.2%0.2%3.1M-35.1M-2.2M0.706.592,2961,61187,991140,992
2020-07-15$61.23$59.0019.3%5.5%15.5%20.0%19.1%4.7%-0.1%3.1M-45.3M-2.1M0.578.869,6105,51488,783141,726
2020-07-16$61.23$60.0019.1%5.4%15.5%19.7%16.9%5.5%-0.2%3.7M-52.1M-2.1M0.146.8411,6191,68191,349143,993
2020-07-17$61.60$60.0017.8%4.9%15.5%17.3%17.8%4.9%-0.8%5.9M-74.2M-2.2M0.145.337,1991,043100,555144,867
2020-07-20$61.09$60.0017.4%5.0%15.9%16.5%17.7%4.1%0.1%6.0M-28.6M-2.2M0.3115.839,8473,00696,672125,641
2020-07-21$61.56$60.0017.2%4.9%15.0%16.1%19.4%4.3%0.5%7.3M-54.3M-2.2M0.866.204,8534,177100,876128,242
2020-07-22$62.00$60.0016.9%4.9%15.1%15.7%17.1%4.2%0.1%7.8M-77.6M-2.1M0.697.081,5911,104101,727131,990
2020-07-23$62.12$60.0015.4%4.4%13.6%12.8%15.0%3.9%0.6%9.0M-82.9M-2.2M1.098.4811,44312,459102,188132,503
2020-07-24$62.02$61.5015.3%4.3%13.7%12.6%15.4%3.9%0.7%14.4M-68.2M-2.2M1.447.673,2874,747109,246144,088
2020-07-27$62.40$62.0015.1%4.2%11.4%12.3%15.4%4.0%0.5%3.8M-82.9M-2.2M0.245.901,550372108,246145,159
2020-07-28$62.72$62.0014.9%4.1%11.0%11.9%14.1%4.0%0.8%5.5M-107.8M-2.1M2.106.049,63620,253108,277144,685
2020-07-29$62.82$62.0014.1%3.7%10.8%10.4%13.5%3.3%0.5%4.7M-114.2M-2.2M16.546.561,89731,374116,054162,627
2020-07-30$62.66$62.0014.8%4.0%11.0%11.7%14.3%3.8%0.6%-5.3M-56.8M-2.3M6.947.281,77312,306116,843190,532
2020-07-31$62.56$62.0014.3%3.8%11.1%10.8%13.6%4.0%1.1%-2.0M-49.7M-2.3M1.239.802,3612,902122,730195,599