XLP Options History — January 2021

In January 2021, XLP traded between $64.17 and $66.81. ATM implied volatility averaged 15.9%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 6.6% (HV 20d: 9.4%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.88.

Notable Days

2021-01-14: Highest Volume — 26,183 contracts
2021-01-27: Largest IV spike — 24.3% change
2021-01-04: Highest IV Rank — 18.6%
2021-01-29: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.92	$64.17	$66.81	$66.70	$64.17
Max Pain	$67.16	$66.00	$69.00	$69.00	$66.00
ATM IV	15.9%	13.7%	19.4%	18.7%	19.4%
Expected Move	4.5%	3.9%	5.4%	5.0%	5.4%
HV 20d	9.4%	7.3%	13.3%	10.0%	13.3%
HV 60d	13.0%	11.7%	13.6%	13.6%	12.5%
IV Rank	12.7%	7.5%	18.6%	18.6%	17.8%
IV Percentile	34.0%	10.7%	66.7%	61.5%	66.7%
Term Structure	0.2%	-0.6%	1.0%	-0.6%	0.4%
VWIV	16.1%	14.0%	21.2%	18.1%	21.2%
Skew 25d	3.1%	2.4%	4.6%	3.3%	3.6%
Skew 10d	5.4%	1.2%	9.1%	6.6%	8.1%
Call IV 25d	14.8%	12.8%	17.4%	17.4%	17.1%
Put IV 25d	17.9%	15.1%	20.7%	20.6%	20.7%
Bid-Ask Spread %	13.79	5.92	39.70	11.01	39.70
Gamma HHI	0.14	0.11	0.21	0.11	0.11
Net GEX	-13.3M	-28.6M	-4.3M	-5.6M	-15.5M
Net DEX	53.4M	-67.5M	249.0M	-36.7M	249.0M
Net VEX	-1.9M	-2.0M	-1.7M	-1.7M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.19	5.19	3.24	4.61
Total Volume	10,153.895	2,825	26,183	12,556	13,943
Total OI	284,368.263	229,990	354,434	289,348	262,914

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$66.70	$69.00	18.7%	5.0%	10.0%	18.6%	18.1%	3.3%	-0.6%	-5.6M	-36.7M	-1.7M	3.24	11.01	2,960	9,596	90,357	198,991
2021-01-05	$66.77	$69.00	17.3%	4.9%	9.7%	16.0%	18.3%	4.4%	0.1%	-5.6M	-42.3M	-1.7M	1.86	11.45	2,051	3,820	91,800	204,178
2021-01-06	$66.62	$69.00	16.9%	4.7%	9.6%	15.2%	16.5%	3.0%	0.2%	-7.2M	-45.3M	-1.7M	0.97	11.09	11,302	10,960	92,776	204,140
2021-01-07	$66.69	$67.00	16.1%	4.6%	9.1%	13.8%	16.4%	2.4%	0.2%	-8.7M	-52.8M	-1.8M	2.47	10.31	1,341	3,317	102,934	214,461
2021-01-08	$66.81	$67.00	15.0%	4.3%	9.0%	11.7%	15.0%	2.5%	0.2%	-8.7M	-67.5M	-1.8M	5.19	8.63	2,511	13,034	103,646	217,484
2021-01-11	$66.33	$67.00	16.4%	4.7%	9.3%	14.4%	16.7%	2.8%	0.2%	-19.8M	4.9M	-1.8M	1.22	13.99	1,547	1,890	101,237	222,943
2021-01-12	$66.12	$67.00	16.7%	4.7%	9.3%	14.8%	16.4%	3.0%	-0.4%	-24.8M	33.8M	-1.8M	0.71	7.15	2,257	1,601	102,229	224,060
2021-01-13	$66.42	$67.00	15.2%	4.3%	9.4%	12.1%	15.8%	2.7%	-0.0%	-14.4M	-25.4M	-1.8M	1.57	9.14	3,511	5,530	102,932	224,516
2021-01-14	$65.99	$67.00	15.4%	4.4%	9.5%	12.6%	15.3%	2.4%	-0.1%	-28.6M	29.7M	-1.8M	1.16	7.92	12,138	14,045	105,436	227,112
2021-01-15	$65.65	$67.00	15.2%	4.3%	9.6%	12.1%	16.0%	3.4%	-0.4%	-14.9M	59.4M	-2.0M	1.86	17.07	5,053	9,380	115,996	238,438
2021-01-19	$65.40	$67.00	14.3%	4.1%	9.2%	10.5%	14.3%	2.8%	0.6%	-13.7M	130.9M	-1.9M	0.32	12.59	8,415	2,679	84,591	145,399
2021-01-20	$65.59	$67.00	14.0%	4.0%	9.4%	9.0%	15.1%	2.7%	1.0%	-14.0M	112.5M	-1.9M	4.28	8.27	2,268	9,710	85,654	147,301
2021-01-21	$65.33	$67.00	13.7%	3.9%	7.6%	7.5%	14.3%	2.4%	0.6%	-16.3M	149.7M	-1.9M	0.25	11.64	2,261	564	87,000	153,489
2021-01-22	$65.24	$67.00	14.0%	3.9%	7.4%	7.6%	14.0%	2.4%	0.8%	-16.7M	167.6M	-1.9M	0.63	11.71	2,616	1,638	87,348	153,782
2021-01-25	$65.65	$67.00	15.5%	4.4%	7.3%	10.3%	14.4%	3.4%	0.3%	-13.7M	106.1M	-1.9M	0.19	7.81	10,539	2,039	87,937	153,674
2021-01-26	$66.33	$67.00	14.5%	4.0%	8.3%	8.5%	14.2%	3.0%	0.6%	-4.3M	-4.8M	-2.0M	0.55	5.92	3,262	1,793	97,357	154,326
2021-01-27	$65.08	$66.00	18.0%	4.9%	10.2%	15.2%	17.2%	3.6%	-0.6%	-11.1M	152.2M	-2.0M	1.38	20.46	3,817	5,262	99,707	155,800
2021-01-28	$65.65	$66.00	16.7%	4.6%	10.8%	12.7%	16.2%	4.6%	0.1%	-9.2M	94.0M	-2.0M	3.27	36.19	1,000	3,274	101,667	159,385
2021-01-29	$64.17	$66.00	19.4%	5.4%	13.3%	17.8%	21.2%	3.6%	0.4%	-15.5M	249.0M	-2.0M	4.61	39.70	2,486	11,457	102,115	160,799