XLP Options History — July 2021

In July 2021, XLP traded between $69.62 and $71.60. ATM implied volatility averaged 11.7%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.7% (HV 20d: 8.9%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2021-07-16: Highest Volume — 17,001 contracts
  • 2021-07-19: Largest IV spike — 22.0% change
  • 2021-07-19: Highest IV Rank — 20.0%
  • 2021-07-19: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.62$69.62$71.60$69.67$71.44
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV11.7%10.9%13.3%11.7%11.5%
Expected Move3.3%2.8%3.8%3.0%3.2%
HV 20d8.9%7.8%10.2%9.2%8.4%
HV 60d10.3%9.9%10.5%10.4%9.9%
IV Rank8.9%3.9%20.0%9.4%7.4%
IV Percentile10.9%2.4%37.3%9.5%6.3%
Term Structure0.2%-0.1%0.5%0.3%0.5%
VWIV11.8%10.0%12.5%11.3%11.6%
Skew 25d2.0%1.4%3.3%1.4%2.0%
Skew 10d4.0%2.2%6.6%3.3%3.1%
Call IV 25d11.0%10.3%11.9%11.4%10.9%
Put IV 25d13.0%12.2%15.2%12.8%12.9%
Bid-Ask Spread %19.025.6139.9719.6411.05
Gamma HHI0.160.100.310.150.12
Net GEX22.9M9.7M36.4M9.7M36.4M
Net DEX-189.5M-281.7M-97.4M-97.4M-275.2M
Net VEX-1.3M-1.5M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.243.370.780.67
Total Volume6,317.191,94517,0011,9454,931
Total OI193,761.905177,994211,804181,663211,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$69.67$70.0011.7%3.0%9.2%9.4%11.3%1.4%0.3%9.7M-97.4M-1.5M0.7819.641,09585091,74389,920
2021-07-02$69.99$70.0011.1%2.8%9.2%5.2%10.0%1.5%0.2%12.5M-135.8M-1.4M0.969.631,5211,45791,94190,211
2021-07-06$69.77$70.0011.6%3.4%9.2%8.5%12.0%1.9%0.1%12.8M-112.3M-1.3M0.478.332,2161,04091,32989,630
2021-07-07$70.03$70.0011.8%3.4%9.2%9.7%11.8%1.7%0.2%16.1M-131.0M-1.4M0.9010.401,1311,02392,13190,320
2021-07-08$69.62$70.0012.0%3.5%9.3%11.2%12.5%2.1%0.1%12.5M-100.5M-1.3M2.0439.971,6393,34092,37889,778
2021-07-09$70.17$70.0011.0%3.3%9.6%4.4%11.7%1.7%0.2%20.9M-152.5M-1.3M0.6621.351,29385392,95992,729
2021-07-12$69.99$70.0011.4%3.3%9.6%6.8%11.8%1.8%0.1%21.8M-136.7M-1.3M3.375.618943,01692,36192,665
2021-07-13$70.01$70.0011.2%3.2%9.6%5.8%12.3%2.0%-0.0%23.9M-127.2M-1.3M1.356.025,6987,70792,65994,591
2021-07-14$70.67$70.0011.5%3.2%10.2%7.6%12.1%1.7%-0.1%27.7M-200.8M-1.3M0.397.512,50998196,068100,843
2021-07-15$70.88$70.0011.5%3.3%9.3%7.9%12.0%1.7%-0.0%21.2M-238.4M-1.3M1.6420.811,5212,49397,613101,233
2021-07-16$71.02$70.0010.9%3.1%9.3%3.9%10.6%1.5%0.2%29.0M-252.5M-1.3M1.279.367,4859,51697,929102,566
2021-07-19$70.58$70.0013.3%3.8%8.0%20.0%12.1%3.3%-0.1%13.4M-153.0M-1.3M0.2425.2812,1432,93191,33586,659
2021-07-20$70.91$70.0012.2%3.5%8.0%12.5%12.5%2.8%0.2%22.5M-198.7M-1.3M0.6034.477,0014,197101,59887,370
2021-07-21$70.70$70.0011.9%3.4%8.1%10.4%12.5%2.4%0.3%21.6M-185.6M-1.4M0.479.473,1701,495105,97490,943
2021-07-22$70.53$70.0012.0%3.4%7.8%11.3%12.3%2.3%0.2%20.0M-165.0M-1.4M0.2728.793,588966107,41692,136
2021-07-23$71.44$70.0011.1%3.2%8.8%5.4%11.4%1.9%0.5%30.8M-260.8M-1.4M1.0333.346,9427,158109,24792,681
2021-07-26$71.49$70.0011.7%3.3%8.6%8.9%11.6%1.9%0.2%31.2M-268.3M-1.3M0.2616.763,464899108,62591,407
2021-07-27$71.60$70.0012.0%3.4%8.6%11.1%11.9%2.4%0.3%32.5M-281.7M-1.3M0.7534.792,9392,205110,31297,474
2021-07-28$71.12$70.0012.1%3.4%8.8%11.5%12.3%2.4%0.4%29.4M-232.9M-1.3M1.3336.391,5502,064111,83197,994
2021-07-29$71.45$70.0011.4%3.2%8.5%7.1%11.1%1.8%0.3%34.8M-272.7M-1.3M0.4310.504,0171,723111,90498,693
2021-07-30$71.44$70.0011.5%3.2%8.4%7.4%11.6%2.0%0.5%36.4M-275.2M-1.3M0.6711.052,9521,979112,28999,515