XLP Options History — December 2020

In December 2020, XLP traded between $66.16 and $67.76. ATM implied volatility averaged 15.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.8% (HV 20d: 10.2%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2020-12-30: Highest Volume — 21,826 contracts
  • 2020-12-21: Largest IV spike — 21.3% change
  • 2020-12-29: Highest IV Rank — 14.6%
  • 2020-12-22: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.15$66.16$67.76$67.31$67.31
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV15.0%12.8%16.6%14.6%15.9%
Expected Move4.3%3.6%4.9%4.2%4.5%
HV 20d10.2%7.7%13.3%13.3%9.5%
HV 60d14.3%13.4%16.0%16.0%13.7%
IV Rank12.0%7.8%14.6%11.4%13.4%
IV Percentile31.9%17.1%41.7%28.6%36.9%
Term Structure0.4%-0.4%1.1%0.3%0.6%
VWIV15.9%13.2%17.8%15.2%16.9%
Skew 25d3.0%1.1%4.0%3.1%3.5%
Skew 10d5.5%2.3%7.5%5.2%6.4%
Call IV 25d14.0%12.9%14.9%13.3%14.2%
Put IV 25d17.0%14.2%18.9%16.4%17.7%
Bid-Ask Spread %6.494.1910.069.168.34
Gamma HHI0.110.090.190.100.12
Net GEX4.2M-5.4M26.3M9.8M509.7K
Net DEX-194.0M-323.0M-47.5M-254.7M-96.3M
Net VEX-1.5M-1.7M-1.2M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.069.071.220.55
Total Volume6,483.7271,12421,8268,2239,494
Total OI289,288.909251,786310,901309,352282,898

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$67.31$65.0014.6%4.2%13.3%11.4%15.2%3.1%0.3%9.8M-254.7M-1.6M1.229.163,7084,515108,240201,112
2020-12-02$66.83$65.0015.5%4.4%11.6%13.0%16.0%3.3%1.1%3.1M-206.4M-1.7M1.517.641,5232,300107,665202,276
2020-12-03$67.02$65.0014.8%4.4%11.5%11.7%16.2%3.1%0.3%3.8M-226.8M-1.6M0.899.032,6502,349106,875201,807
2020-12-04$67.49$65.0014.3%4.4%11.6%10.9%15.4%2.3%1.1%26.3M-278.5M-1.5M0.406.762,433981107,949202,952
2020-12-07$67.19$65.0015.2%4.4%11.7%12.5%15.3%3.9%-0.4%4.1M-238.9M-1.5M2.7410.065591,531102,771197,853
2020-12-08$67.74$65.0014.2%4.1%11.9%10.6%16.1%3.3%0.1%8.4M-286.7M-1.4M0.467.601,032474102,870197,778
2020-12-09$67.48$65.0014.6%4.4%11.4%11.4%16.8%3.4%0.6%6.3M-270.2M-1.4M1.517.741,3522,041103,054197,880
2020-12-10$67.24$65.0015.0%4.3%11.2%12.0%15.9%2.6%0.3%5.2M-252.4M-1.4M1.226.771,1511,408103,773197,900
2020-12-11$67.38$65.0015.2%4.5%10.9%12.5%16.0%3.2%0.8%7.7M-261.0M-1.5M0.956.221,8771,775103,925198,058
2020-12-14$67.08$65.0015.2%4.4%8.7%12.5%15.8%2.8%0.2%3.9M-239.4M-1.5M0.676.041,8491,241103,684197,632
2020-12-15$67.24$65.0015.3%4.4%8.4%12.5%16.8%2.9%0.0%5.1M-250.5M-1.4M0.735.144,4893,259103,251197,740
2020-12-16$67.37$65.0013.6%3.9%8.3%9.4%15.0%1.8%0.5%6.5M-276.4M-1.3M2.074.253,0416,305105,166198,621
2020-12-17$67.76$65.0012.8%3.6%7.7%7.8%13.2%1.4%0.5%15.9M-323.0M-1.3M0.274.192,589709106,383203,508
2020-12-18$67.66$65.0013.0%3.6%7.7%8.0%13.4%1.1%0.5%9.0M-299.4M-1.2M0.064.6417,0611,062104,704203,948
2020-12-21$66.55$65.0015.7%4.5%9.7%13.1%16.6%3.6%0.6%-1.7M-71.1M-1.6M0.756.352,5271,89278,156173,630
2020-12-22$66.16$65.0016.4%4.9%9.9%14.3%17.8%3.4%0.4%-4.8M-47.5M-1.6M9.074.851,20710,94979,021174,271
2020-12-23$66.62$65.0015.7%4.4%9.9%13.1%16.9%3.4%0.3%-4.6M-65.5M-1.6M3.044.622,0786,31279,144180,221
2020-12-24$66.67$65.0015.7%4.5%9.9%13.0%15.4%3.3%0.4%-5.4M-59.9M-1.6M3.005.5128184379,665183,294
2020-12-28$67.15$65.0015.8%4.5%10.3%13.3%15.4%3.5%0.2%-383.1K-100.4M-1.5M1.555.182,7074,19875,541182,601
2020-12-29$67.06$65.0016.6%4.7%10.2%14.6%17.2%4.0%0.2%-2.4M-83.6M-1.6M5.955.064412,62376,680186,006
2020-12-30$66.94$65.0015.9%4.3%9.7%13.4%16.0%3.1%0.9%-3.3M-79.1M-1.5M1.167.6210,08411,74276,732187,121
2020-12-31$67.31$65.0015.9%4.5%9.5%13.4%16.9%3.5%0.6%509.7K-96.3M-1.7M0.558.346,1253,36985,683197,215