XLP Options History — August 2021

In August 2021, XLP traded between $70.66 and $72.85. ATM implied volatility averaged 11.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.7% (HV 20d: 8.8%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.51.

Notable Days

  • 2021-08-17: Highest Volume — 61,873 contracts
  • 2021-08-27: Largest IV drop — 13.0% change
  • 2021-08-26: Highest IV Rank — 17.8%
  • 2021-08-19: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.91$70.66$72.85$71.27$72.26
Max Pain$70.41$70.00$71.00$70.00$71.00
ATM IV11.5%10.2%12.9%11.9%11.0%
Expected Move3.2%2.8%3.7%3.2%2.8%
HV 20d8.8%8.2%9.4%8.4%9.1%
HV 60d8.9%8.5%9.7%9.7%8.8%
IV Rank8.5%0.0%17.8%10.2%5.1%
IV Percentile14.9%0.0%43.7%17.1%4.4%
Term Structure0.2%-0.2%0.7%0.1%0.3%
VWIV11.8%10.4%13.9%11.7%10.6%
Skew 25d2.4%1.8%3.6%2.5%2.6%
Skew 10d4.5%-0.8%8.5%-0.8%4.5%
Call IV 25d10.7%9.4%11.6%11.3%10.3%
Put IV 25d13.1%11.5%15.0%13.8%12.9%
Bid-Ask Spread %17.664.2455.987.194.47
Gamma HHI0.190.100.410.120.10
Net GEX20.0M-41.8M55.2M32.9M3.6M
Net DEX-217.3M-402.6M-20.4M-243.6M-127.3M
Net VEX-1.2M-1.4M-1.0M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.2718.041.240.27
Total Volume12,209.51,57061,8736,3543,178
Total OI246,104.273205,422307,009205,422264,612

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$71.27$70.0011.9%3.2%8.4%10.2%11.7%2.5%0.1%32.9M-243.6M-1.2M1.247.192,8433,511109,54195,881
2021-08-03$71.51$70.0011.6%3.0%8.2%8.6%13.9%2.2%0.1%37.9M-266.4M-1.2M4.4938.251,7998,077111,49797,567
2021-08-04$70.66$70.0012.3%3.2%9.4%13.4%11.3%2.2%0.1%23.3M-161.4M-1.2M0.8610.883,0502,620110,788100,732
2021-08-05$70.87$70.0011.6%3.4%9.1%8.2%12.1%2.1%0.1%26.2M-180.2M-1.2M0.987.071,0341,014110,454106,484
2021-08-06$70.94$70.0011.1%3.2%8.8%4.8%11.3%2.1%0.1%50.1M-189.6M-1.2M7.057.442,10714,856111,592107,364
2021-08-09$71.16$70.0011.2%3.3%8.7%5.5%12.4%2.0%0.4%23.2M-211.5M-1.1M2.065.711,3472,769108,028105,125
2021-08-10$71.67$70.0011.1%3.2%9.0%4.8%11.5%2.1%0.1%32.7M-254.3M-1.2M0.5649.081,631910108,331119,559
2021-08-11$71.99$70.0010.6%3.1%8.6%1.5%11.5%1.8%0.2%41.6M-308.9M-1.1M6.9952.411,81212,669108,780121,598
2021-08-12$71.91$70.0010.3%3.0%8.6%0.0%10.9%2.0%0.5%42.2M-296.3M-1.1M1.018.55781789108,961122,044
2021-08-13$72.49$70.0010.2%3.1%8.9%0.0%10.8%2.1%0.7%55.2M-362.6M-1.1M0.968.824,1093,928108,999134,145
2021-08-16$72.85$70.0010.5%3.0%8.6%2.3%11.1%2.3%0.6%53.0M-402.6M-1.0M4.3714.932,83312,394107,997132,927
2021-08-17$72.83$70.0011.5%3.3%8.6%8.6%13.2%2.5%-0.1%51.3M-393.2M-1.1M18.0420.483,25058,623108,317134,889
2021-08-18$72.15$70.0012.4%3.6%9.3%14.9%12.5%2.7%-0.0%35.3M-270.4M-1.2M6.3110.531,4679,262108,326147,376
2021-08-19$72.60$71.0012.8%3.7%9.4%17.5%12.5%3.6%0.2%41.0M-314.3M-1.3M8.0855.982,78522,510108,236198,773
2021-08-20$72.83$71.0011.5%3.2%8.4%8.5%11.8%2.9%0.7%28.1M-349.4M-1.2M2.675.351,7764,750107,909197,513
2021-08-23$72.60$71.0012.0%3.2%8.5%11.7%13.5%2.7%-0.2%-8.0M-147.8M-1.1M2.8842.502,9758,57677,479178,805
2021-08-24$72.03$71.0012.0%3.2%9.0%12.0%11.5%2.5%0.0%-31.2M-75.7M-1.2M3.329.674,18413,89878,003182,958
2021-08-25$72.01$71.0012.1%3.2%8.6%12.8%11.3%2.5%-0.1%-41.8M-49.8M-1.3M3.4011.344,23714,40279,864190,554
2021-08-26$71.49$71.0012.9%3.4%8.9%17.8%12.5%2.5%-0.1%-22.8M-20.4M-1.4M0.954.245,7345,45281,150183,301
2021-08-27$71.81$71.0011.2%2.9%9.1%6.7%10.4%2.4%0.6%-35.5M-49.0M-1.3M0.448.272,6311,15282,821191,174
2021-08-30$72.13$71.0012.0%3.0%9.1%11.8%10.8%2.7%0.3%2.3M-106.6M-1.4M0.275.388,5682,31682,563181,277
2021-08-31$72.26$71.0011.0%2.8%9.1%5.1%10.6%2.6%0.3%3.6M-127.3M-1.3M0.274.472,50167783,130181,482