XLP Options History — September 2021

In September 2021, XLP traded between $69.10 and $72.84. ATM implied volatility averaged 12.6%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.9% (HV 20d: 9.6%). Max pain ranged from $71.00 to $72.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.17.

Notable Days

  • 2021-09-14: Highest Volume — 28,258 contracts
  • 2021-09-20: Largest IV spike — 33.9% change
  • 2021-09-20: Highest IV Rank — 38.4%
  • 2021-09-20: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.31$69.10$72.84$72.60$69.10
Max Pain$71.67$71.00$72.00$71.00$71.00
ATM IV12.6%10.4%16.0%10.7%15.3%
Expected Move3.6%2.8%4.7%2.8%4.6%
HV 20d9.6%7.9%12.2%7.9%12.2%
HV 60d9.1%8.5%10.2%8.8%10.2%
IV Rank15.6%1.1%38.4%3.3%33.7%
IV Percentile34.5%1.2%77.4%2.4%74.6%
Term Structure0.1%-0.3%0.4%0.1%0.3%
VWIV12.9%10.7%17.9%10.7%15.8%
Skew 25d2.8%1.8%4.6%2.1%4.1%
Skew 10d5.4%-0.4%11.7%2.6%7.2%
Call IV 25d11.6%9.8%14.2%10.1%13.9%
Put IV 25d14.4%11.6%18.8%12.2%18.0%
Bid-Ask Spread %27.067.3159.8633.209.90
Gamma HHI0.110.080.150.110.08
Net GEX256.9K-14.9M12.5M10.7M-14.9M
Net DEX-55.3M-208.8M147.3M-183.7M147.3M
Net VEX-1.6M-2.0M-1.1M-1.3M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.0612.980.420.82
Total Volume10,379.3813,43628,2588,1274,497
Total OI285,527265,172339,756271,980289,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$72.60$71.0010.7%2.8%7.9%3.3%10.7%2.1%0.1%10.7M-183.7M-1.3M0.4233.205,7222,40588,795183,185
2021-09-02$72.74$71.0010.8%3.1%7.9%4.0%11.5%2.3%0.2%12.5M-200.3M-1.2M0.6040.014,2792,55888,578183,291
2021-09-03$72.84$71.0010.4%3.1%7.9%1.1%11.9%1.8%0.3%11.8M-208.8M-1.1M0.8944.063,2842,92887,188184,236
2021-09-07$72.01$72.0011.6%3.4%9.0%9.3%11.9%2.1%0.3%-1.3M-110.3M-1.2M0.4559.863,3021,49184,331183,977
2021-09-08$72.63$72.0011.8%3.3%9.2%10.8%12.1%1.8%-0.1%3.6M-174.1M-1.1M0.0853.9923,1461,73985,567186,412
2021-09-09$72.24$72.0011.9%3.5%9.3%11.7%12.0%2.4%0.0%-1.5M-113.8M-1.3M0.7731.812,3901,83786,481187,132
2021-09-10$71.98$72.0012.2%3.5%9.4%13.0%12.7%2.4%0.4%6.7M-153.2M-1.6M7.8536.132,17617,090107,383187,990
2021-09-13$72.06$72.0012.1%3.5%8.9%12.7%12.1%2.4%-0.1%6.2M-164.5M-1.5M1.637.384,1916,819106,974187,745
2021-09-14$71.73$72.0012.1%3.5%8.8%12.4%12.1%2.6%0.4%3.9M-118.8M-1.7M12.9844.522,02126,237111,942201,770
2021-09-15$72.10$72.0011.3%3.3%9.1%7.6%11.1%2.2%0.2%6.0M-158.0M-1.7M0.3932.322,472964114,263204,692
2021-09-16$71.81$72.0011.3%3.2%8.6%7.1%11.1%2.1%-0.1%5.1M-133.9M-1.6M0.0639.8822,4581,351114,661224,581
2021-09-17$71.48$72.0011.9%3.4%8.4%11.5%11.9%2.2%-0.3%5.5M-73.2M-1.6M0.717.316,7744,812114,451225,305
2021-09-20$70.08$72.0016.0%4.7%10.6%38.4%16.6%4.6%-0.2%-4.3M40.5M-1.9M2.6324.841,8434,83876,322188,850
2021-09-21$70.26$72.0014.5%4.2%10.7%28.5%15.0%4.2%-0.1%-3.0M51.7M-1.9M1.6718.341,6172,70374,010191,493
2021-09-22$70.31$72.0013.9%3.9%10.5%24.5%14.2%3.4%0.2%-4.5M57.0M-1.8M3.8037.271,9127,25874,144194,486
2021-09-23$70.62$72.0012.8%3.6%10.6%17.2%12.4%2.8%0.2%-3.0M40.5M-1.8M0.749.103,0912,27874,790196,272
2021-09-24$70.76$72.0011.9%3.3%10.4%11.5%11.5%3.1%0.3%-6.3M43.7M-1.8M2.767.821,5494,27174,990201,697
2021-09-27$70.34$71.0012.7%3.4%10.4%16.5%12.1%3.1%0.2%-7.2M61.3M-1.9M0.649.713,1192,00074,601197,874
2021-09-28$69.55$71.0014.3%4.2%10.8%27.1%14.9%4.0%0.0%-11.4M112.6M-1.8M0.609.727,7864,64375,447200,748
2021-09-29$70.19$71.0014.2%4.2%11.4%26.5%17.9%3.7%0.3%-9.0M76.6M-2.0M5.1111.111,98310,13377,878202,071
2021-09-30$69.10$71.0015.3%4.6%12.2%33.7%15.8%4.1%0.3%-14.9M147.3M-2.0M0.829.902,4672,03083,709205,755