XLP Options History — December 2021

In December 2021, XLP traded between $70.40 and $77.18. ATM implied volatility averaged 12.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.9% (HV 20d: 14.6%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.70.

Notable Days

  • 2021-12-17: Highest Volume — 100,521 contracts
  • 2021-12-06: Largest IV drop — 16.0% change
  • 2021-12-03: Highest IV Rank — 71.0%
  • 2021-12-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.53$70.40$77.18$70.40$77.18
Max Pain$70.95$70.00$72.00$71.00$72.00
ATM IV12.7%10.9%16.6%14.9%11.8%
Expected Move3.7%3.0%5.2%4.8%3.2%
HV 20d14.6%11.8%17.0%12.0%13.0%
HV 60d11.5%10.7%12.2%10.8%11.4%
IV Rank32.1%13.5%71.0%54.3%21.9%
IV Percentile51.5%14.7%95.2%82.1%36.1%
Term Structure0.1%-0.5%0.5%-0.2%0.3%
VWIV14.1%11.5%23.7%18.5%12.6%
Skew 25d3.1%1.9%5.4%4.8%2.4%
Skew 10d5.7%-1.7%13.5%8.5%2.7%
Call IV 25d11.8%10.1%14.6%13.4%10.8%
Put IV 25d14.9%12.4%20.0%18.2%13.2%
Bid-Ask Spread %48.639.8182.1082.1067.83
Gamma HHI0.140.080.220.080.15
Net GEX35.9M-36.1M83.9M-36.1M52.6M
Net DEX-379.2M-795.6M146.6M146.6M-562.4M
Net VEX-1.9M-2.3M-1.6M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.464.002.354.00
Total Volume40,201.72721,736100,52123,85535,697
Total OI423,400.773396,755465,087398,490431,782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$70.40$71.0014.9%4.8%12.0%54.3%18.5%4.8%-0.2%-36.1M146.6M-1.9M2.3582.107,12716,728122,120276,370
2021-12-02$70.86$71.0014.8%4.5%11.8%53.6%17.6%5.2%-0.1%-31.6M80.7M-2.0M1.4355.3811,17715,982123,145277,902
2021-12-03$71.44$71.0016.6%5.2%12.3%71.0%23.7%5.4%-0.1%13.8M-15.2M-2.0M1.5178.9511,34717,119125,671277,579
2021-12-06$72.77$70.0013.9%4.0%13.7%43.9%14.3%4.6%-0.5%18.9M-235.2M-2.0M2.5170.116,70116,836127,294269,461
2021-12-07$72.93$70.0013.0%3.7%13.4%34.1%13.5%3.8%0.1%24.2M-254.5M-2.0M2.3532.998,87820,867128,240271,018
2021-12-08$72.88$70.0012.2%3.5%13.4%26.9%12.8%3.0%0.1%37.0M-293.7M-1.8M2.2951.288,03918,398133,563275,395
2021-12-09$73.04$70.0012.7%3.7%13.4%31.5%12.8%3.2%0.1%42.3M-332.0M-1.7M1.6971.3111,42519,360135,036276,079
2021-12-10$74.20$70.0012.2%3.6%14.5%26.6%12.6%2.0%0.1%55.3M-509.4M-1.7M2.8370.3410,84930,753138,519288,042
2021-12-13$75.36$70.0012.0%3.5%15.4%24.2%12.2%2.9%0.0%59.1M-643.1M-1.6M1.7068.6018,41331,368139,900287,218
2021-12-14$75.19$70.0012.9%3.6%15.5%33.5%12.3%2.5%-0.1%61.6M-636.2M-1.7M0.8969.4425,74522,948146,984290,174
2021-12-15$75.81$70.0011.8%3.4%15.6%22.5%12.2%2.7%-0.1%60.9M-708.9M-1.6M1.0569.5518,44819,327153,698293,556
2021-12-16$76.50$70.0012.6%3.6%15.7%30.8%14.1%2.5%-0.1%57.2M-795.6M-1.7M2.0519.8313,08926,798158,428294,952
2021-12-17$75.61$70.0013.6%3.8%16.2%40.4%13.6%2.2%-0.1%35.9M-666.2M-1.9M0.8533.6354,28146,240161,426303,661
2021-12-20$74.61$72.0015.1%4.3%17.0%56.1%16.1%3.9%0.2%13.9M-185.7M-2.3M1.8314.4019,38135,523124,028280,560
2021-12-21$74.50$72.0013.5%3.9%16.8%39.6%16.3%3.2%0.5%9.7M-179.7M-2.2M1.2325.6534,16941,882125,047284,676
2021-12-22$75.03$72.0011.7%3.4%16.9%21.7%13.8%2.8%0.4%27.4M-257.1M-2.3M2.4424.8015,93138,803141,532304,732
2021-12-23$75.40$72.0010.9%3.1%16.8%13.5%11.5%2.4%0.5%57.4M-335.7M-2.1M1.2910.4716,20320,958142,768304,337
2021-12-27$76.00$72.0011.1%3.1%16.2%14.7%13.3%2.5%0.3%83.9M-457.4M-2.0M0.529.8129,41615,155141,136290,899
2021-12-28$76.44$72.0011.1%3.1%16.2%15.6%11.7%2.4%0.4%49.1M-470.6M-1.9M0.4612.7919,4228,972129,021291,861
2021-12-29$76.93$72.0011.0%3.0%12.9%14.4%12.4%1.9%0.2%45.9M-518.5M-1.8M0.9066.7511,43610,300127,498293,428
2021-12-30$76.68$72.0011.1%3.0%13.0%14.9%11.7%1.9%0.5%50.6M-512.3M-1.8M1.2463.8510,26212,685131,475294,606
2021-12-31$77.18$72.0011.8%3.2%13.0%21.9%12.6%2.4%0.3%52.6M-562.4M-1.9M4.0067.837,13628,561134,602297,180