XLP Options History — January 2022

In January 2022, XLP traded between $74.19 and $77.79. ATM implied volatility averaged 14.8%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 11.6%). Max pain ranged from $72.00 to $77.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.31.

Notable Days

2022-01-10: Highest Volume — 65,776 contracts
2022-01-05: Largest IV spike — 12.9% change
2022-01-26: Highest IV Rank — 91.0%
2022-01-26: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.31	$74.19	$77.79	$76.95	$75.78
Max Pain	$76.40	$72.00	$77.00	$72.00	$77.00
ATM IV	14.8%	12.0%	18.5%	12.0%	15.2%
Expected Move	4.3%	3.4%	5.6%	3.4%	4.6%
HV 20d	11.6%	10.7%	13.2%	13.2%	11.7%
HV 60d	12.0%	11.4%	12.7%	11.4%	12.6%
IV Rank	53.8%	24.9%	91.0%	24.9%	62.5%
IV Percentile	83.3%	47.6%	99.2%	47.6%	92.1%
Term Structure	-0.2%	-0.8%	0.1%	0.1%	-0.0%
VWIV	16.0%	12.4%	21.2%	12.4%	16.1%
Skew 25d	4.4%	2.4%	6.7%	2.8%	5.6%
Skew 10d	8.6%	-0.2%	15.9%	2.5%	12.8%
Call IV 25d	13.4%	11.4%	15.6%	11.4%	13.1%
Put IV 25d	17.8%	14.2%	22.2%	14.2%	18.7%
Bid-Ask Spread %	29.29	13.82	56.78	13.82	17.00
Gamma HHI	0.11	0.08	0.15	0.12	0.09
Net GEX	-10.6M	-40.9M	19.8M	17.4M	-6.1M
Net DEX	-220.5M	-539.0M	145.2M	-464.9M	-51.7M
Net VEX	-2.4M	-2.6M	-1.9M	-1.9M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	1.20	6.04	2.43	3.31
Total Volume	31,930.6	16,635	65,776	45,763	16,635
Total OI	433,996.95	262,970	553,124	426,429	275,799

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$76.95	$72.00	12.0%	3.4%	13.2%	24.9%	12.4%	2.8%	0.1%	17.4M	-464.9M	-1.9M	2.43	13.82	13,353	32,410	130,946	295,483
2022-01-04	$77.79	$73.00	12.4%	3.5%	12.3%	28.6%	12.6%	2.4%	0.1%	19.8M	-539.0M	-2.0M	1.63	15.09	12,565	20,521	132,028	307,590
2022-01-05	$77.71	$74.00	14.0%	4.0%	12.4%	45.0%	14.4%	2.7%	-0.1%	11.8M	-490.4M	-2.1M	2.01	56.78	10,833	21,768	132,944	318,109
2022-01-06	$77.38	$77.00	13.8%	4.0%	12.6%	42.6%	14.0%	3.0%	0.0%	4.6M	-449.1M	-2.1M	3.09	31.02	13,098	40,501	135,192	325,923
2022-01-07	$77.53	$77.00	13.4%	3.8%	12.6%	38.7%	19.5%	2.7%	-0.1%	-1.5M	-450.1M	-2.2M	2.42	32.02	7,664	18,529	139,922	348,296
2022-01-10	$76.68	$77.00	14.5%	4.1%	12.6%	50.3%	15.1%	3.8%	-0.3%	-21.6M	-269.2M	-2.3M	6.04	45.15	9,347	56,429	137,789	341,426
2022-01-11	$76.59	$77.00	13.4%	3.8%	11.5%	38.4%	14.8%	3.5%	-0.3%	-35.3M	-251.2M	-2.5M	4.27	28.70	8,930	38,110	140,474	382,884
2022-01-12	$76.66	$77.00	12.8%	3.6%	11.4%	33.0%	14.9%	3.5%	-0.1%	-40.9M	-249.5M	-2.6M	1.80	49.71	12,779	22,993	142,003	389,539
2022-01-13	$76.85	$77.00	13.5%	3.9%	11.1%	39.7%	14.7%	3.9%	0.1%	-39.5M	-310.5M	-2.6M	1.20	28.68	10,164	12,147	148,279	401,887
2022-01-14	$77.04	$77.00	13.6%	3.9%	10.7%	40.2%	13.7%	3.8%	-0.1%	-3.6M	-367.0M	-2.5M	1.34	31.92	12,214	16,380	149,537	403,587
2022-01-18	$75.84	$77.00	14.6%	4.2%	11.4%	51.1%	15.4%	4.7%	-0.3%	-6.5M	-131.0M	-2.5M	1.36	16.96	17,252	23,469	145,167	385,123
2022-01-19	$76.58	$77.00	14.1%	4.0%	10.7%	46.1%	15.7%	4.0%	0.0%	-8.4M	-318.4M	-2.5M	1.30	17.82	8,796	11,429	152,377	380,796
2022-01-20	$76.09	$77.00	15.0%	4.3%	11.0%	55.2%	15.0%	4.5%	-0.5%	-14.7M	-235.5M	-2.5M	1.47	21.23	9,528	14,024	151,255	379,015
2022-01-21	$75.94	$77.00	16.4%	4.8%	10.8%	69.8%	16.1%	6.0%	-0.8%	-12.5M	-198.3M	-2.5M	1.29	21.11	10,413	13,451	150,068	379,938
2022-01-24	$75.35	$77.00	17.7%	5.2%	11.1%	82.3%	18.3%	6.1%	-0.3%	-15.2M	57.3M	-2.5M	2.61	28.75	8,947	23,310	92,582	170,388
2022-01-25	$74.95	$77.00	17.8%	5.4%	10.8%	84.0%	21.2%	6.5%	-0.3%	-13.8M	71.0M	-2.5M	3.65	46.30	5,056	18,439	96,410	170,596
2022-01-26	$74.19	$77.00	18.5%	5.6%	11.0%	91.0%	18.6%	6.7%	-0.5%	-20.4M	145.2M	-2.5M	1.30	45.87	10,816	14,041	97,696	180,785
2022-01-27	$75.02	$77.00	17.7%	5.4%	11.6%	83.0%	18.8%	6.5%	-0.1%	-14.7M	67.4M	-2.6M	1.32	19.84	10,207	13,437	102,211	181,382
2022-01-28	$75.33	$77.00	16.3%	4.9%	11.7%	68.8%	18.8%	5.7%	-0.5%	-10.8M	24.5M	-2.5M	2.35	18.08	5,563	13,064	103,190	181,323
2022-01-31	$75.78	$77.00	15.2%	4.6%	11.7%	62.5%	16.1%	5.6%	-0.0%	-6.1M	-51.7M	-2.4M	3.31	17.00	3,858	12,777	100,706	175,093