XLP Options History — February 2022

In February 2022, XLP traded between $73.31 and $76.84. ATM implied volatility averaged 16.1%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.9% (HV 20d: 12.2%). Max pain ranged from $73.00 to $77.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.17.

Notable Days

2022-02-16: Highest Volume — 85,425 contracts
2022-02-17: Largest IV spike — 18.7% change
2022-02-24: Highest IV Rank — 100.0%
2022-02-28: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.61	$73.31	$76.84	$75.97	$74.72
Max Pain	$74.00	$73.00	$77.00	$77.00	$73.00
ATM IV	16.1%	13.4%	19.6%	14.2%	19.4%
Expected Move	4.7%	4.0%	5.9%	4.2%	5.9%
HV 20d	12.2%	10.7%	17.8%	11.7%	17.8%
HV 60d	13.1%	12.6%	14.6%	12.6%	14.6%
IV Rank	70.9%	42.3%	100.0%	50.9%	97.9%
IV Percentile	91.8%	75.0%	100.0%	83.7%	99.6%
Term Structure	0.0%	-0.6%	1.1%	-0.1%	-0.4%
VWIV	17.4%	13.2%	24.5%	16.7%	24.5%
Skew 25d	4.9%	3.8%	6.1%	4.8%	5.2%
Skew 10d	10.4%	4.3%	15.5%	15.5%	10.9%
Call IV 25d	14.3%	12.1%	17.9%	12.5%	17.5%
Put IV 25d	19.2%	16.0%	22.8%	17.3%	22.7%
Bid-Ask Spread %	36.56	10.73	80.26	10.73	36.20
Gamma HHI	0.09	0.08	0.12	0.09	0.09
Net GEX	-4.5M	-20.3M	11.5M	-3.6M	-8.0M
Net DEX	-73.4M	-184.6M	114.2M	-80.7M	-29.9M
Net VEX	-2.3M	-2.5M	-2.1M	-2.4M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.90	11.20	3.39	2.18
Total Volume	25,284.526	13,745	85,425	19,733	25,371
Total OI	295,855.632	280,668	321,840	281,113	309,590

Daily Data (19 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
2022-02-01	$75.97	$77.00	14.2%	4.2%	11.7%	50.9%	16.7%	4.8%	-0.1%	-3.6M	-80.7M	-2.4M	3.39	10.73	4,493	15,240	101,587	179,526
2022-02-02	$76.84	$77.00	13.5%	4.0%	11.8%	43.0%	14.3%	4.5%	0.1%	6.9M	-184.6M	-2.2M	1.78	27.19	5,789	10,317	102,154	180,354
2022-02-03	$76.81	$73.00	15.3%	4.3%	11.8%	64.0%	16.1%	4.8%	-0.2%	4.7M	-161.3M	-2.4M	1.55	32.38	7,923	12,276	101,834	180,921
2022-02-04	$76.11	$73.00	15.3%	4.3%	12.1%	63.7%	14.9%	4.2%	-0.2%	-4.1M	-98.3M	-2.3M	0.90	80.26	16,487	14,846	100,588	180,080
2022-02-07	$76.06	$73.00	15.2%	4.4%	12.0%	62.8%	13.2%	4.7%	0.3%	1.2M	-90.0M	-2.3M	1.26	31.49	9,785	12,282	105,094	179,707
2022-02-08	$76.31	$73.00	14.0%	4.2%	11.5%	48.8%	15.6%	4.0%	0.6%	6.7M	-126.1M	-2.2M	1.64	22.32	7,489	12,284	106,209	180,664
2022-02-09	$76.26	$73.00	13.4%	4.0%	11.5%	42.3%	14.3%	3.8%	0.4%	11.5M	-155.8M	-2.2M	1.41	25.60	8,288	11,673	110,247	179,018
2022-02-10	$75.38	$74.00	14.8%	4.5%	12.2%	58.1%	15.8%	4.7%	1.1%	-12.3M	-45.4M	-2.2M	2.23	33.90	4,329	9,666	113,370	181,904
2022-02-11	$75.31	$74.00	16.9%	4.9%	12.1%	81.9%	18.6%	5.5%	0.4%	-16.7M	-23.2M	-2.3M	2.89	47.18	4,343	12,537	113,712	182,452
2022-02-14	$74.98	$74.00	17.0%	4.9%	12.1%	82.8%	17.6%	6.1%	-0.0%	-14.4M	8.9M	-2.3M	1.09	35.79	9,197	10,049	106,958	181,224
2022-02-15	$74.89	$74.00	16.0%	4.6%	10.9%	71.2%	16.3%	5.2%	-0.1%	-14.1M	-8.5M	-2.2M	1.37	30.92	7,396	10,147	108,912	182,157
2022-02-16	$75.53	$74.00	14.2%	4.1%	10.7%	51.9%	22.3%	4.3%	0.8%	-8.3M	-72.1M	-2.1M	11.20	23.81	7,004	78,421	109,661	182,621
2022-02-17	$75.97	$74.00	16.9%	4.9%	10.7%	81.6%	17.0%	5.3%	0.0%	-10.0M	-90.6M	-2.4M	2.41	31.67	4,030	9,715	110,328	211,512
2022-02-18	$76.12	$74.00	16.9%	4.8%	10.7%	81.8%	16.5%	5.7%	0.1%	-9.5M	-88.6M	-2.3M	0.90	38.03	16,246	14,692	109,908	211,757
2022-02-22	$75.40	$74.00	17.7%	5.1%	10.9%	90.5%	17.4%	5.3%	-0.5%	857.6K	-79.2M	-2.4M	0.95	46.35	16,261	15,443	107,059	191,245
2022-02-23	$74.85	$74.00	18.1%	5.2%	11.1%	94.4%	19.0%	5.3%	-0.5%	-5.0M	-28.5M	-2.5M	1.46	17.50	8,010	11,680	109,210	194,406
2022-02-24	$73.31	$74.00	19.6%	5.7%	12.8%	100.0%	20.4%	4.9%	-0.6%	-20.3M	114.2M	-2.5M	1.17	67.73	13,778	16,173	111,794	192,671
2022-02-25	$75.76	$74.00	17.5%	5.0%	17.1%	78.7%	19.2%	5.1%	-0.6%	8.2M	-155.5M	-2.4M	1.40	55.57	11,142	15,604	115,744	195,079
2022-02-28	$74.72	$73.00	19.4%	5.9%	17.8%	97.9%	24.5%	5.2%	-0.4%	-8.0M	-29.9M	-2.4M	2.18	36.20	7,982	17,389	112,337	197,253