XLP Options History — May 2022

In May 2022, XLP traded between $70.61 and $78.06. ATM implied volatility averaged 20.5%, placing in the 73.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.6% (HV 20d: 25.1%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.16.

Notable Days

  • 2022-05-19: Highest Volume — 344,539 contracts
  • 2022-05-18: Largest IV spike — 44.8% change
  • 2022-05-18: Highest IV Rank — 99.7%
  • 2022-05-18: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.97$70.61$78.06$76.44$74.58
Max Pain$76.60$75.00$80.00$80.00$75.00
ATM IV20.5%16.8%24.4%21.9%19.7%
Expected Move5.9%4.8%7.0%6.8%5.8%
HV 20d25.1%18.1%32.4%18.1%31.0%
HV 60d20.4%17.5%23.5%17.5%22.7%
IV Rank73.5%48.7%99.7%83.1%67.9%
IV Percentile93.2%81.3%99.6%97.6%89.7%
Term Structure-0.2%-1.0%0.5%-0.8%-0.2%
VWIV22.2%17.3%25.8%25.8%22.8%
Skew 25d5.8%4.8%6.7%6.7%5.3%
Skew 10d11.4%9.6%13.1%12.9%9.9%
Call IV 25d18.1%15.0%22.2%18.8%17.3%
Put IV 25d24.0%19.9%28.0%25.4%22.6%
Bid-Ask Spread %28.582.9561.958.1960.73
Gamma HHI0.100.090.120.100.11
Net GEX-123.6M-156.0M-67.1M-67.1M-113.0M
Net DEX1.20B537.0M2.70B664.0M537.0M
Net VEX-5.6M-6.3M-3.5M-3.5M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.160.5613.052.912.15
Total Volume87,440.61929,034344,53992,07339,072
Total OI728,854.905406,168850,943406,168746,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$76.44$80.0021.9%6.8%18.1%83.1%25.8%6.7%-0.8%-67.1M664.0M-3.5M2.918.1923,52668,547110,407295,761
2022-05-03$76.08$79.5021.0%6.6%18.2%76.8%23.3%5.9%-0.3%-71.7M723.4M-3.5M13.0545.2323,761310,064116,434318,108
2022-05-04$78.06$79.0018.9%5.8%20.3%62.8%22.3%5.4%-0.2%-107.2M635.7M-5.5M2.8515.9814,21540,491123,965553,498
2022-05-05$76.43$77.0021.2%6.0%21.4%78.2%23.4%6.3%-0.2%-131.6M1.12B-6.1M2.7220.2413,29836,201126,886579,500
2022-05-06$76.67$77.0020.4%5.7%20.8%72.9%21.2%5.8%-0.2%-123.2M1.06B-6.0M1.6812.0210,84218,192131,844595,125
2022-05-09$76.80$77.0022.0%6.2%20.7%84.0%22.0%6.3%-0.1%-123.4M975.0M-6.0M2.0913.4824,02250,280124,529573,391
2022-05-10$76.02$77.0021.6%6.0%20.9%81.0%21.4%6.5%-0.2%-144.4M1.22B-6.2M1.6220.3219,24531,183136,004597,706
2022-05-11$75.86$77.0020.5%5.9%20.9%73.7%20.6%5.9%-0.0%-145.8M1.21B-6.1M1.9529.2811,30822,082146,010593,250
2022-05-12$75.52$77.0020.8%5.8%20.6%75.7%22.7%6.0%-0.4%-156.0M1.32B-6.0M5.278.567,55439,797150,656592,033
2022-05-13$76.98$77.0018.7%5.2%21.9%61.6%24.9%5.5%-1.0%-131.0M893.3M-5.7M4.0025.0312,24248,957150,787611,417
2022-05-16$77.25$77.0019.0%5.5%21.6%63.7%20.6%5.5%-0.0%-117.3M762.1M-5.3M2.1624.7712,07826,114149,436592,317
2022-05-17$76.65$77.0016.8%4.8%20.8%48.7%17.3%4.8%0.5%-134.9M911.8M-5.1M2.0950.5419,90841,657155,640606,664
2022-05-18$71.76$76.0024.4%7.0%29.8%99.7%24.2%5.8%-0.2%-148.3M2.29B-5.7M3.9658.8135,913142,055162,326616,600
2022-05-19$70.72$76.0022.3%6.4%29.9%85.4%22.3%6.7%0.2%-154.7M2.70B-5.6M10.8751.9029,038315,501164,058651,208
2022-05-20$70.61$75.0021.1%6.0%30.0%77.7%20.8%6.6%0.2%-135.4M2.46B-5.8M1.5761.9536,97358,050177,769673,174
2022-05-23$72.02$75.0020.6%5.9%31.3%74.1%21.5%5.7%-0.3%-128.7M1.57B-5.8M0.862.9528,09924,028157,063603,723
2022-05-24$73.44$75.0020.3%5.9%32.3%72.4%23.8%5.5%-0.2%-120.3M1.23B-5.9M1.014.1235,05835,319167,698600,711
2022-05-25$73.36$75.0021.0%6.1%32.2%77.2%23.3%5.9%-0.3%-123.9M1.21B-6.3M0.563.3226,56115,008188,235624,291
2022-05-26$74.40$75.0019.5%5.6%32.4%66.6%21.2%5.3%-0.4%-118.6M929.5M-6.1M1.4122.3618,68526,275190,327627,649
2022-05-27$74.82$75.0018.6%5.4%31.8%60.6%20.6%5.1%-0.2%-99.6M761.6M-5.6M1.6160.4117,26327,791194,693628,332
2022-05-31$74.58$75.0019.7%5.8%31.0%67.9%22.8%5.3%-0.2%-113.0M537.0M-5.7M2.1560.7312,38626,686181,267565,461