XLP Options History — June 2022

In June 2022, XLP traded between $68.88 and $74.44. ATM implied volatility averaged 20.3%, placing in the 72.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.1% (HV 20d: 24.5%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.26.

Notable Days

2022-06-02: Highest Volume — 102,246 contracts
2022-06-13: Largest IV spike — 14.6% change
2022-06-13: Highest IV Rank — 100.0%
2022-06-13: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.84	$68.88	$74.44	$73.77	$72.10
Max Pain	$72.19	$72.00	$75.00	$75.00	$72.00
ATM IV	20.3%	18.6%	24.5%	19.6%	20.2%
Expected Move	5.8%	5.3%	7.0%	5.8%	5.7%
HV 20d	24.5%	17.9%	31.2%	31.2%	18.9%
HV 60d	22.3%	21.5%	23.1%	22.5%	23.1%
IV Rank	72.1%	60.2%	100.0%	67.5%	70.8%
IV Percentile	89.1%	78.6%	100.0%	88.5%	87.3%
Term Structure	-0.0%	-1.1%	0.5%	-0.4%	-0.1%
VWIV	21.6%	19.7%	24.3%	20.1%	20.3%
Skew 25d	4.7%	3.7%	5.6%	5.3%	4.7%
Skew 10d	8.9%	6.8%	10.8%	10.6%	9.3%
Call IV 25d	18.6%	16.9%	22.3%	17.6%	18.2%
Put IV 25d	23.2%	20.9%	27.9%	22.9%	22.8%
Bid-Ask Spread %	37.50	8.71	63.47	37.85	25.97
Gamma HHI	0.14	0.09	0.56	0.10	0.12
Net GEX	-117.3M	-377.0M	-41.0M	-127.0M	-43.9M
Net DEX	848.6M	175.7M	1.88B	755.5M	280.2M
Net VEX	-5.0M	-5.8M	-4.4M	-5.7M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.26	0.97	7.28	2.50	1.15
Total Volume	43,272.571	18,225	102,246	56,566	28,770
Total OI	697,710.524	528,524	807,493	747,824	557,745

Daily Data (21 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
2022-06-01	$73.77	$75.00	19.6%	5.8%	31.2%	67.5%	20.1%	5.3%	-0.4%	-127.0M	755.5M	-5.7M	2.50	37.85	16,159	40,407	180,045	567,779
2022-06-02	$74.44	$73.00	18.7%	5.5%	29.8%	61.4%	23.0%	4.9%	-0.0%	-123.5M	566.7M	-5.4M	3.73	54.84	21,597	80,649	183,857	579,698
2022-06-03	$73.71	$72.00	19.1%	5.3%	29.1%	63.9%	21.9%	5.2%	-0.2%	-128.5M	746.2M	-5.8M	1.35	44.42	16,670	22,436	194,723	612,770
2022-06-06	$73.74	$72.00	19.2%	5.3%	29.1%	64.7%	19.7%	5.1%	-0.5%	-114.7M	660.2M	-5.4M	0.97	10.28	11,444	11,136	184,134	594,812
2022-06-07	$74.22	$72.00	18.8%	5.4%	29.2%	61.9%	23.9%	4.8%	-0.0%	-112.7M	535.9M	-5.2M	7.28	12.31	9,692	70,604	185,035	597,762
2022-06-08	$73.44	$72.00	19.0%	5.6%	29.2%	63.2%	21.5%	4.7%	0.5%	-119.4M	713.7M	-5.2M	2.15	8.71	7,533	16,191	186,862	608,393
2022-06-09	$72.57	$72.00	19.7%	5.5%	29.4%	68.3%	19.8%	4.6%	-1.1%	-133.6M	978.9M	-5.3M	1.20	10.17	9,781	11,778	188,337	607,064
2022-06-10	$72.24	$72.00	21.4%	6.0%	29.4%	79.7%	23.1%	5.0%	-0.4%	-137.8M	1.08B	-5.3M	3.27	49.41	10,238	33,474	189,858	610,991
2022-06-13	$70.24	$72.00	24.5%	7.0%	29.7%	100.0%	23.9%	5.6%	0.0%	-150.5M	1.64B	-5.3M	2.91	19.41	9,235	26,872	187,079	613,096
2022-06-14	$69.57	$72.00	23.2%	6.6%	29.5%	91.2%	24.3%	5.1%	0.1%	-157.0M	1.81B	-5.1M	5.69	12.04	11,976	68,146	187,940	606,380
2022-06-15	$69.72	$72.00	21.6%	6.2%	29.6%	80.3%	23.3%	4.6%	0.4%	-170.8M	1.72B	-4.8M	1.14	42.82	21,408	24,476	189,453	606,455
2022-06-16	$69.01	$72.00	22.9%	6.5%	19.1%	88.8%	22.8%	4.8%	0.4%	-195.4M	1.88B	-4.8M	1.47	63.47	29,206	43,022	195,572	609,522
2022-06-17	$68.88	$72.00	20.9%	5.9%	18.5%	75.7%	22.7%	3.7%	0.4%	-377.0M	1.80B	-4.7M	1.39	55.44	25,927	35,976	208,931	595,810
2022-06-21	$70.15	$72.00	20.9%	6.0%	19.8%	76.0%	21.1%	4.7%	0.3%	-65.9M	621.2M	-4.7M	1.01	56.35	19,932	20,058	139,254	389,270
2022-06-22	$70.20	$72.00	20.7%	5.9%	18.3%	74.2%	21.4%	4.5%	0.2%	-68.6M	622.9M	-4.8M	2.68	55.65	9,404	25,192	144,534	399,312
2022-06-23	$71.37	$72.00	19.8%	5.7%	17.9%	68.4%	20.2%	4.4%	0.2%	-50.9M	409.2M	-4.7M	1.15	8.76	11,957	13,786	145,774	403,084
2022-06-24	$72.78	$72.00	18.6%	5.3%	19.4%	60.2%	20.3%	3.7%	0.2%	-47.5M	177.4M	-4.6M	1.13	52.81	13,955	15,702	145,290	408,486
2022-06-27	$72.75	$72.00	19.2%	5.4%	18.6%	64.2%	19.7%	4.2%	-0.2%	-41.0M	175.7M	-4.4M	1.59	56.34	9,778	15,544	137,323	405,843
2022-06-28	$71.71	$72.00	19.7%	5.6%	19.0%	67.8%	20.0%	4.2%	-0.1%	-52.1M	351.2M	-4.5M	1.61	53.13	6,996	11,229	140,124	411,274
2022-06-29	$72.13	$72.00	19.6%	5.5%	19.2%	67.0%	21.2%	4.3%	0.0%	-46.5M	287.9M	-4.4M	2.07	57.28	6,631	13,757	142,481	409,769
2022-06-30	$72.10	$72.00	20.2%	5.7%	18.9%	70.8%	20.3%	4.7%	-0.1%	-43.9M	280.2M	-4.4M	1.15	25.97	13,408	15,362	143,019	414,726