XLP Options History — May 2021

In May 2021, XLP traded between $69.63 and $71.45. ATM implied volatility averaged 12.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.4% (HV 20d: 12.1%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2021-05-03: Highest Volume — 22,563 contracts
  • 2021-05-12: Largest IV spike — 16.8% change
  • 2021-05-12: Highest IV Rank — 27.9%
  • 2021-05-12: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.68$69.63$71.45$70.13$70.91
Max Pain$69.10$68.00$70.00$68.00$70.00
ATM IV12.5%10.7%14.8%12.4%11.9%
Expected Move3.6%3.1%4.2%3.5%3.1%
HV 20d12.1%9.7%13.4%9.7%12.2%
HV 60d11.9%11.2%12.5%11.3%11.7%
IV Rank11.8%0.0%27.9%7.2%8.1%
IV Percentile12.9%0.0%34.9%8.3%4.4%
Term Structure0.3%-0.2%1.0%0.1%0.2%
VWIV13.1%11.5%15.1%12.7%11.5%
Skew 25d2.2%1.6%2.9%2.3%1.7%
Skew 10d4.5%1.9%9.4%9.4%2.1%
Call IV 25d12.0%10.1%13.8%11.8%11.4%
Put IV 25d14.2%11.7%16.8%14.1%13.1%
Bid-Ask Spread %19.446.9851.3024.7910.03
Gamma HHI0.150.110.420.200.18
Net GEX-3.8M-28.2M33.3M-8.0M19.5M
Net DEX-255.5M-402.8M-108.1M-214.0M-216.8M
Net VEX-1.7M-2.0M-1.5M-1.9M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.106.536.530.47
Total Volume10,732.452,60522,56322,5632,605
Total OI319,141.7257,956350,065314,676278,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$70.13$68.0012.4%3.5%9.7%7.2%12.7%2.3%0.1%-8.0M-214.0M-1.9M6.5324.792,99719,566113,525201,151
2021-05-04$69.63$68.0012.8%3.7%10.1%9.8%12.8%2.4%0.3%-16.8M-130.0M-2.0M1.1851.301,2131,434114,421209,214
2021-05-05$69.78$68.0011.8%3.4%10.1%3.1%12.1%2.0%0.2%-14.3M-154.5M-1.9M6.1942.291,73910,769114,626209,440
2021-05-06$70.56$69.0011.5%3.3%10.7%0.4%12.3%2.2%0.3%-757.1K-283.3M-1.7M1.7826.914,5958,194114,688209,412
2021-05-07$70.66$69.0010.7%3.2%10.7%0.0%11.7%1.7%0.3%1.8M-323.7M-1.6M1.4213.294,8156,847116,712215,913
2021-05-10$71.45$69.0011.6%3.5%11.2%6.4%12.8%2.0%0.4%3.8M-402.8M-1.5M1.1815.876,9518,231117,770214,756
2021-05-11$70.47$69.0012.6%3.7%12.2%13.4%14.1%2.4%0.5%-16.2M-234.0M-1.7M2.9030.665,01414,519114,107222,918
2021-05-12$69.81$69.0014.8%4.2%12.7%27.9%15.0%2.9%-0.1%-28.2M-108.1M-1.8M0.4614.855,2132,392113,994226,092
2021-05-13$70.85$69.0013.2%3.8%13.4%17.0%15.1%2.6%-0.2%-11.1M-271.9M-1.7M3.2644.913,10010,120115,257227,558
2021-05-14$70.97$69.0012.0%3.5%13.2%8.9%13.3%2.1%-0.1%-7.4M-318.8M-1.5M0.9321.492,9902,788115,771230,324
2021-05-17$70.94$69.0012.8%3.7%13.1%14.1%13.1%2.3%0.4%-8.2M-315.8M-1.5M0.108.3616,2601,688114,562221,217
2021-05-18$70.78$69.0012.4%3.5%13.1%11.4%13.4%2.4%0.3%-6.3M-339.1M-1.7M0.1120.262,936329125,956222,178
2021-05-19$70.24$69.0014.0%4.0%13.2%22.5%14.8%2.8%0.4%-17.4M-245.9M-1.8M0.788.478,7346,833127,727222,338
2021-05-20$71.01$69.0012.8%3.6%13.4%14.1%13.1%2.2%0.8%1.5M-359.6M-1.7M1.2611.843,0033,775123,861217,581
2021-05-21$70.95$69.0012.8%3.6%13.4%14.7%12.7%2.0%1.0%33.3M-352.6M-1.6M1.0511.702,8092,961123,876220,868
2021-05-24$71.30$70.0012.8%3.5%12.5%14.2%13.4%2.3%0.1%-2.5M-208.3M-1.5M0.139.146,76188889,573168,383
2021-05-25$71.26$70.0012.7%3.5%12.5%13.4%12.8%2.1%0.1%-195.9K-221.9M-1.6M0.146.9810,0421,38594,840169,418
2021-05-26$71.08$70.0012.8%3.5%12.6%14.3%12.2%2.4%-0.0%2.5M-220.2M-1.7M1.237.193,6034,423103,469170,560
2021-05-27$70.74$70.0012.9%3.5%12.3%15.0%12.0%1.6%0.1%-1.6M-189.1M-1.6M0.878.416,4845,643102,218168,355
2021-05-28$70.91$70.0011.9%3.1%12.2%8.1%11.5%1.7%0.2%19.5M-216.8M-1.6M0.4710.031,771834109,248168,957