XLP Options History — August 2020

In August 2020, XLP traded between $62.55 and $65.74. ATM implied volatility averaged 14.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.4% (HV 20d: 9.2%). Max pain ranged from $62.00 to $63.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2020-08-18: Highest Volume — 18,562 contracts
  • 2020-08-18: Largest IV drop — 11.6% change
  • 2020-08-31: Highest IV Rank — 15.1%
  • 2020-08-31: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.20$62.55$65.74$62.55$65.65
Max Pain$62.29$62.00$63.00$62.00$63.00
ATM IV14.6%13.3%16.6%15.0%16.6%
Expected Move4.1%3.6%4.6%3.8%4.6%
HV 20d9.2%7.8%11.2%11.2%9.1%
HV 60d15.4%14.2%16.9%16.9%14.2%
IV Rank11.4%8.9%15.1%12.0%15.1%
IV Percentile50.5%43.7%60.7%52.4%60.7%
Term Structure0.4%-0.3%1.0%0.1%0.1%
VWIV14.3%12.6%16.0%13.9%16.0%
Skew 25d3.3%2.8%4.0%4.0%3.2%
Skew 10d6.0%4.5%7.9%7.9%6.4%
Call IV 25d13.3%12.0%16.0%13.7%16.0%
Put IV 25d16.5%15.0%19.3%17.7%19.3%
Bid-Ask Spread %6.073.879.276.176.04
Gamma HHI0.110.090.130.090.11
Net GEX10.3M-692.0K20.4M-692.0K9.0M
Net DEX-177.1M-247.0M-52.8M-52.8M-207.4M
Net VEX-2.0M-2.3M-1.8M-2.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.223.231.020.71
Total Volume5,570.6191,72718,5623,0284,179
Total OI294,761.381272,445307,162299,196274,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$62.55$62.0015.0%3.8%11.2%12.0%13.9%4.0%0.1%-692.0K-52.8M-2.3M1.026.171,5011,527119,113180,083
2020-08-04$63.26$62.0014.3%3.6%11.1%10.7%13.0%3.6%0.1%9.2M-127.9M-2.2M0.826.503,7703,107119,442180,656
2020-08-05$63.11$62.0014.4%3.6%11.0%11.0%12.6%3.5%0.6%9.8M-114.7M-2.2M1.075.961,8612,000120,661183,024
2020-08-06$63.16$62.0014.3%4.3%10.2%10.8%14.4%3.2%0.3%9.7M-113.7M-2.1M0.819.271,120907120,329184,507
2020-08-07$63.52$62.0014.3%4.2%8.6%10.8%15.1%2.9%0.5%13.5M-158.2M-2.1M0.626.121,067660120,996184,765
2020-08-10$63.80$62.0014.3%4.3%8.5%10.8%14.5%3.5%0.7%15.6M-187.8M-2.1M0.525.515,2132,691120,166175,117
2020-08-11$63.41$62.0015.0%4.5%7.8%12.0%14.4%3.7%0.7%15.3M-147.0M-2.1M1.196.092,9313,487122,170176,920
2020-08-12$64.35$62.0014.3%4.4%9.0%10.9%15.2%3.2%0.7%17.4M-243.2M-2.1M1.334.363,5414,695122,096179,504
2020-08-13$64.09$62.0014.7%4.4%9.3%11.5%15.5%3.1%0.9%15.0M-203.9M-2.1M1.004.441,1411,138121,423183,388
2020-08-14$64.05$62.0015.0%4.4%9.2%12.1%14.8%3.1%0.6%20.4M-203.2M-2.1M0.225.393,951854121,565183,705
2020-08-17$64.49$62.0015.0%4.3%8.5%12.1%14.8%3.0%0.4%14.1M-226.2M-2.0M0.548.372,3511,263116,759180,373
2020-08-18$64.73$62.0013.3%3.8%8.3%8.9%14.8%3.1%1.0%13.7M-247.0M-1.9M1.915.436,37412,188114,841181,077
2020-08-19$64.26$63.0014.1%4.0%8.8%10.4%13.4%3.1%-0.3%9.8M-196.4M-2.0M0.414.912,188908116,731188,969
2020-08-20$64.12$62.0013.6%3.9%8.9%9.6%12.8%2.8%0.8%10.2M-185.7M-1.9M1.913.872,8535,457116,728187,427
2020-08-21$64.33$62.0014.1%4.0%8.9%10.5%13.8%2.8%0.3%3.4M-209.8M-1.9M0.735.681,350989116,831190,331
2020-08-24$64.74$62.0014.4%4.0%8.9%11.1%15.1%3.1%0.1%3.9M-160.5M-1.8M3.237.101,5454,994102,083170,362
2020-08-25$64.70$63.0014.4%3.9%8.8%11.0%14.0%3.5%0.3%2.3M-148.8M-1.8M1.266.691,8852,368102,912174,477
2020-08-26$64.76$63.0014.0%3.9%8.8%10.2%14.6%3.0%0.3%3.3M-157.9M-1.9M0.888.441,4261,259103,748174,524
2020-08-27$65.31$63.0015.5%4.2%9.0%13.0%14.2%3.4%0.7%9.3M-199.1M-1.9M0.345.816,0322,075103,920174,674
2020-08-28$65.74$63.0016.1%4.3%9.1%14.1%14.3%3.5%0.2%11.7M-227.7M-1.8M0.475.405,5442,593103,184176,015
2020-08-31$65.65$63.0016.6%4.6%9.1%15.1%16.0%3.2%0.1%9.0M-207.4M-1.8M0.716.042,4481,731100,544173,849