XLP Options History — February 2021

In February 2021, XLP traded between $63.70 and $65.99. ATM implied volatility averaged 13.7%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.3% (HV 20d: 13.4%). Max pain ranged from $65.00 to $66.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.61.

Notable Days

2021-02-19: Highest Volume — 91,190 contracts
2021-02-26: Largest IV spike — 13.3% change
2021-02-01: Highest IV Rank — 15.3%
2021-02-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.23	$63.70	$65.99	$64.30	$63.70
Max Pain	$65.74	$65.00	$66.00	$66.00	$66.00
ATM IV	13.7%	11.5%	18.1%	18.1%	16.6%
Expected Move	3.9%	3.3%	5.1%	5.1%	4.6%
HV 20d	13.4%	12.0%	14.0%	13.1%	12.0%
HV 60d	11.0%	10.3%	11.7%	11.6%	10.9%
IV Rank	6.1%	2.8%	15.3%	15.3%	9.9%
IV Percentile	13.4%	1.6%	56.7%	56.7%	38.9%
Term Structure	0.4%	-0.6%	1.3%	0.3%	1.3%
VWIV	14.1%	11.9%	19.4%	19.4%	15.6%
Skew 25d	3.2%	2.0%	10.1%	4.4%	10.1%
Skew 10d	6.3%	3.7%	18.2%	8.8%	18.2%
Call IV 25d	12.7%	10.8%	16.7%	16.7%	14.9%
Put IV 25d	15.9%	13.2%	25.0%	21.1%	25.0%
Bid-Ask Spread %	14.00	4.38	43.34	43.34	25.48
Gamma HHI	0.15	0.10	0.47	0.12	0.13
Net GEX	-15.5M	-89.6M	10.8M	-18.8M	-39.4M
Net DEX	149.5M	-17.5M	325.7M	263.6M	325.7M
Net VEX	-1.8M	-2.0M	-1.7M	-1.9M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.61	0.52	5.92	4.80	5.15
Total Volume	14,538.895	2,401	91,190	7,326	10,626
Total OI	282,977.158	261,727	318,005	267,065	287,976

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
2021-02-01	$64.30	$66.00	18.1%	5.1%	13.1%	15.3%	19.4%	4.4%	0.3%	-18.8M	263.6M	-1.9M	4.80	43.34	1,263	6,063	102,803	164,262
2021-02-02	$64.74	$66.00	16.4%	4.4%	13.2%	12.2%	16.4%	3.4%	0.4%	-13.5M	224.8M	-1.8M	0.93	22.14	6,215	5,777	103,465	161,098
2021-02-03	$64.77	$66.00	15.2%	4.1%	13.2%	9.8%	14.4%	3.2%	0.1%	-8.6M	209.8M	-1.8M	1.61	14.77	1,794	2,881	108,945	161,560
2021-02-04	$65.01	$65.00	13.8%	4.1%	13.3%	7.2%	14.8%	2.6%	0.5%	-5.8M	172.1M	-1.7M	1.07	5.56	5,573	5,967	110,697	162,483
2021-02-05	$65.70	$65.00	12.4%	3.7%	13.9%	4.5%	13.3%	2.0%	0.5%	7.2M	89.3M	-1.8M	1.16	4.38	7,638	8,856	114,650	166,108
2021-02-08	$65.91	$65.00	12.6%	3.7%	14.0%	4.8%	13.5%	2.3%	0.3%	10.0M	-17.5M	-1.7M	2.84	5.14	6,585	18,673	106,306	155,421
2021-02-09	$65.99	$65.00	11.9%	3.5%	13.8%	3.5%	12.8%	2.1%	0.5%	10.8M	-10.2M	-1.8M	2.61	5.99	1,729	4,517	109,786	162,756
2021-02-10	$65.83	$65.00	11.9%	3.5%	13.8%	3.6%	12.4%	2.4%	0.4%	6.2M	29.3M	-1.8M	3.99	10.01	2,093	8,342	110,594	165,497
2021-02-11	$65.62	$66.00	12.3%	3.6%	13.7%	4.4%	13.9%	2.5%	0.1%	-985.2K	89.7M	-1.8M	2.91	8.25	1,897	5,519	111,525	173,053
2021-02-12	$65.60	$66.00	11.5%	3.4%	13.5%	2.8%	12.0%	2.5%	0.1%	-20.1M	116.7M	-1.7M	1.95	16.50	3,524	6,889	112,568	177,291
2021-02-16	$65.58	$66.00	12.2%	3.5%	13.4%	4.1%	12.6%	2.7%	1.2%	-17.7M	143.6M	-1.7M	2.37	8.62	2,428	5,764	109,474	182,301
2021-02-17	$65.80	$66.00	11.7%	3.3%	13.3%	3.1%	11.9%	2.5%	0.7%	-9.4M	106.7M	-1.7M	5.92	6.78	2,802	16,600	110,348	187,327
2021-02-18	$65.81	$66.00	12.2%	3.4%	13.3%	4.1%	13.7%	2.6%	1.2%	-10.2M	125.4M	-1.7M	5.02	17.71	1,238	6,217	111,274	201,922
2021-02-19	$65.05	$66.00	13.0%	3.7%	13.9%	3.1%	12.2%	2.8%	0.4%	-89.6M	281.1M	-1.7M	1.17	10.90	42,041	49,149	111,720	206,285
2021-02-22	$65.12	$66.00	14.2%	3.9%	13.9%	5.3%	14.2%	3.4%	-0.3%	-22.1M	161.5M	-2.0M	1.45	10.74	4,831	7,028	91,802	185,586
2021-02-23	$65.20	$66.00	14.5%	4.2%	13.7%	5.9%	14.9%	3.5%	-0.6%	-17.6M	134.1M	-1.9M	1.57	16.72	934	1,467	93,222	187,305
2021-02-24	$65.17	$66.00	14.5%	3.9%	13.1%	5.9%	14.2%	2.7%	-0.1%	-21.2M	147.6M	-1.9M	0.52	14.64	2,052	1,075	95,430	188,689
2021-02-25	$64.42	$66.00	14.6%	4.3%	12.0%	6.1%	15.3%	3.3%	-0.1%	-32.9M	247.7M	-1.9M	2.63	18.32	2,808	7,384	95,886	189,151
2021-02-26	$63.70	$66.00	16.6%	4.6%	12.0%	9.9%	15.6%	10.1%	1.3%	-39.4M	325.7M	-1.9M	5.15	25.48	1,729	8,897	98,081	189,895