XLP Options History — June 2021

In June 2021, XLP traded between $68.97 and $71.51. ATM implied volatility averaged 11.5%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.6%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.69.

Notable Days

  • 2021-06-18: Highest Volume — 31,020 contracts
  • 2021-06-18: Largest IV spike — 9.3% change
  • 2021-06-01: Highest IV Rank — 15.3%
  • 2021-06-03: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.20$68.97$71.51$70.45$69.92
Max Pain$70.55$70.00$71.00$70.00$70.00
ATM IV11.5%10.3%12.9%12.9%11.8%
Expected Move3.3%3.0%3.6%3.5%3.2%
HV 20d9.6%7.7%12.0%12.0%9.5%
HV 60d10.8%10.2%11.4%10.9%10.4%
IV Rank7.2%0.0%15.3%15.3%9.5%
IV Percentile5.6%0.0%20.6%20.6%9.9%
Term Structure0.3%-0.5%0.9%-0.5%0.2%
VWIV11.8%10.8%14.6%13.8%11.1%
Skew 25d1.5%0.5%2.0%1.1%1.7%
Skew 10d2.9%0.3%6.2%1.9%6.2%
Call IV 25d11.2%10.4%12.4%12.4%11.3%
Put IV 25d12.7%11.0%13.8%13.5%13.1%
Bid-Ask Spread %14.216.6281.5712.209.30
Gamma HHI0.130.100.290.120.14
Net GEX1.3M-32.9M11.7M-1.3M10.2M
Net DEX-155.4M-290.0M8.6M-168.6M-116.7M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.349.332.020.71
Total Volume8,540.51,34431,0205,8603,557
Total OI236,241.318154,020277,441266,074179,897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$70.45$70.0012.9%3.5%12.0%15.3%13.8%1.1%-0.5%-1.3M-168.6M-1.5M2.0212.201,9393,921105,851160,223
2021-06-02$70.78$70.0012.0%3.3%11.8%9.0%14.6%2.0%-0.2%2.5M-204.0M-1.5M2.4011.052,2195,335106,589162,641
2021-06-03$71.20$71.0012.5%3.6%11.9%12.5%12.7%1.3%-0.5%7.3M-248.1M-1.5M9.3319.641,15610,783107,374162,338
2021-06-04$71.51$71.0011.6%3.2%11.4%5.9%12.0%1.4%-0.2%11.7M-290.0M-1.4M0.5414.233,0801,657107,547168,269
2021-06-07$71.24$71.0011.7%3.5%11.5%6.6%12.4%1.9%0.6%9.7M-262.7M-1.4M1.0710.941,2281,318107,300161,996
2021-06-08$70.83$71.0011.2%3.4%11.0%3.6%12.3%1.7%0.7%7.0M-237.4M-1.3M2.1220.602,1984,669107,500162,675
2021-06-09$70.53$71.0011.7%3.4%9.9%6.8%12.8%1.7%0.2%-2.2M-191.3M-1.4M1.589.222,5874,087108,378164,661
2021-06-10$70.88$71.0010.9%3.2%9.4%1.5%11.4%1.5%0.4%2.1M-239.6M-1.3M1.069.593,3533,562109,171168,270
2021-06-11$70.85$71.0010.3%3.0%7.8%0.0%11.5%0.5%0.4%1.0M-220.0M-1.3M0.948.264,4544,192109,849167,486
2021-06-14$70.84$71.0010.6%3.1%7.7%1.9%11.0%1.5%0.4%6.5M-249.2M-1.2M0.349.455,0891,729109,168164,577
2021-06-15$70.73$71.0010.7%3.1%7.8%2.7%11.7%1.0%0.5%2.5M-230.6M-1.1M1.246.621,1001,362105,945166,040
2021-06-16$69.92$71.0011.6%3.3%8.7%8.5%11.9%1.2%0.2%-15.9M-93.9M-1.2M1.2981.572,6213,391105,920167,028
2021-06-17$70.15$71.0010.8%3.1%8.4%3.4%10.8%1.3%0.9%-4.4M-158.6M-1.1M1.0518.012,1672,273106,119166,815
2021-06-18$69.17$71.0011.9%3.4%8.8%10.2%12.0%1.9%0.1%-32.9M8.6M-1.1M1.019.7515,40215,618105,955167,288
2021-06-21$69.12$70.0012.0%3.4%8.8%11.2%11.9%2.0%0.5%285.1K-66.0M-1.2M3.1310.851,0803,37975,67778,343
2021-06-22$69.38$70.0011.6%3.2%8.7%8.1%11.3%1.6%0.3%-563.1K-77.6M-1.2M0.969.9511,21710,80275,95382,837
2021-06-23$68.97$70.0011.5%3.2%8.8%7.9%10.8%1.8%0.4%-1.6M-37.2M-1.4M3.539.595,62819,86286,29891,973
2021-06-24$69.15$70.0011.6%3.2%8.9%8.2%11.0%1.6%0.6%1.9M-57.3M-1.5M0.438.3294240288,41991,752
2021-06-25$69.63$70.0011.4%3.0%9.3%7.2%10.9%1.5%0.4%8.2M-98.6M-1.4M0.577.191,39379788,63991,846
2021-06-28$69.74$70.0011.7%3.1%9.3%9.3%10.9%1.7%0.2%10.1M-106.1M-1.4M0.567.322,2071,23988,80887,231
2021-06-29$69.37$70.0011.7%3.1%9.2%9.3%10.9%1.7%0.2%6.2M-72.6M-1.4M1.369.065,4637,43388,66987,994
2021-06-30$69.92$70.0011.8%3.2%9.5%9.5%11.1%1.7%0.2%10.2M-116.7M-1.4M0.719.302,0861,47190,88889,009