XLP Options History — September 2020

In September 2020, XLP traded between $62.35 and $67.01. ATM implied volatility averaged 18.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.6% (HV 20d: 17.4%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.66.

Notable Days

  • 2020-09-03: Highest Volume — 42,250 contracts
  • 2020-09-21: Largest IV spike — 18.9% change
  • 2020-09-08: Highest IV Rank — 23.5%
  • 2020-09-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.32$62.35$67.01$65.56$64.01
Max Pain$64.76$63.00$66.00$63.00$64.00
ATM IV18.0%16.0%21.1%17.0%17.6%
Expected Move5.1%4.3%6.1%4.7%4.7%
HV 20d17.4%8.6%20.9%8.6%20.9%
HV 60d14.3%13.2%15.5%14.1%14.5%
IV Rank17.8%14.0%23.5%15.7%16.9%
IV Percentile64.8%53.6%78.2%62.3%61.1%
Term Structure0.5%-0.6%2.2%0.1%2.2%
VWIV17.6%15.5%20.7%16.3%16.4%
Skew 25d4.0%2.7%5.3%3.8%4.1%
Skew 10d6.9%3.7%9.9%6.8%7.5%
Call IV 25d16.6%14.8%19.7%15.7%16.0%
Put IV 25d20.6%18.0%24.3%19.4%20.2%
Bid-Ask Spread %8.265.7416.357.877.80
Gamma HHI0.090.070.130.100.09
Net GEX-4.3M-18.1M17.3M8.1M-4.9M
Net DEX-50.6M-306.2M114.5M-198.1M-6.0M
Net VEX-2.2M-2.4M-1.8M-1.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.159.480.511.27
Total Volume10,193.7143,60442,2505,9707,633
Total OI295,341.476242,423332,564276,081279,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$65.56$63.0017.0%4.7%8.6%15.7%16.3%3.8%0.1%8.1M-198.1M-1.9M0.517.873,9522,018100,960175,121
2020-09-02$67.01$63.0017.5%4.3%11.0%16.7%15.5%3.8%0.5%17.3M-306.2M-1.8M0.158.7213,6112,099102,862176,005
2020-09-03$65.42$65.0019.8%5.9%14.6%21.0%18.5%4.8%0.5%4.3M-173.7M-1.9M9.4810.904,03238,218103,143177,315
2020-09-04$65.55$66.0019.9%5.6%14.5%21.2%18.1%5.3%0.1%2.4M-135.2M-2.3M0.3716.358,5863,176103,496210,924
2020-09-08$64.26$66.0021.1%6.1%16.3%23.5%20.7%4.6%0.6%-7.8M-29.1M-2.4M1.099.795,5796,101108,704210,486
2020-09-09$65.35$65.0019.8%5.8%17.1%21.0%19.0%4.2%0.0%2.8M-132.1M-2.4M0.5511.383,1081,718111,519214,111
2020-09-10$64.44$65.0019.1%5.4%17.2%19.6%18.3%3.4%0.1%-5.0M-58.0M-2.3M0.9813.634,1474,071115,100214,953
2020-09-11$64.69$65.0017.3%4.9%17.2%16.5%18.3%3.6%-0.6%-3.9M-78.3M-2.3M0.529.216,6403,454115,424215,164
2020-09-14$65.20$65.0016.0%4.6%17.4%14.0%17.9%3.7%1.3%854.6K-137.1M-2.1M0.926.342,2172,039112,965211,435
2020-09-15$64.99$65.0016.3%4.7%17.3%14.6%16.2%2.7%0.2%-645.5K-124.9M-2.1M0.736.584,1263,010113,334212,245
2020-09-16$64.98$65.0016.1%4.6%17.3%14.1%16.0%3.6%-0.1%-828.9K-121.8M-2.0M0.897.441,9091,695113,097213,685
2020-09-17$64.15$65.0017.1%4.9%17.7%15.9%18.9%3.3%0.1%-13.0M-41.4M-2.1M2.175.943,0116,535113,686214,477
2020-09-18$63.84$65.0016.0%4.5%17.8%14.0%15.5%3.1%0.6%-18.1M-3.0M-2.1M1.436.742,1823,119113,407219,157
2020-09-21$62.55$65.0019.0%5.4%19.1%19.5%19.0%4.5%-0.2%-9.8M87.8M-2.3M5.256.502,29512,04579,522162,901
2020-09-22$63.35$65.0017.5%4.9%19.6%16.8%16.9%4.5%0.1%-10.4M59.3M-2.3M1.216.023,5044,24580,847171,934
2020-09-23$62.35$65.0019.0%5.3%20.3%19.6%18.8%4.8%0.4%-12.4M114.5M-2.4M2.145.972,1444,58183,200174,170
2020-09-24$62.74$65.0019.4%5.4%20.4%20.3%19.1%4.8%0.2%-12.8M97.3M-2.3M1.746.882,6644,63784,440176,695
2020-09-25$62.93$65.0018.1%5.0%20.2%17.9%16.9%4.1%1.0%-12.9M84.4M-2.4M0.777.439,5397,33886,190178,657
2020-09-28$63.78$64.0017.4%4.7%20.7%16.6%16.6%4.1%1.9%-6.0M11.6M-2.4M2.025.742,3444,72593,154181,744
2020-09-29$63.56$64.0017.9%4.9%20.7%17.4%15.9%4.2%1.7%-7.7M28.5M-2.4M0.646.153,6702,35193,811183,069
2020-09-30$64.01$64.0017.6%4.7%20.9%16.9%16.4%4.1%2.2%-4.9M-6.0M-2.4M1.277.803,3574,27695,435183,627