XLP Options History — July 2022

In July 2022, XLP traded between $72.24 and $75.06. ATM implied volatility averaged 18.1%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.0% (HV 20d: 15.1%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.44.

Notable Days

  • 2022-07-14: Highest Volume — 53,357 contracts
  • 2022-07-15: Largest IV drop — 8.7% change
  • 2022-07-05: Highest IV Rank — 71.4%
  • 2022-07-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.12$72.24$75.06$73.18$74.54
Max Pain$70.97$70.00$72.00$72.00$72.00
ATM IV18.1%15.1%20.3%19.4%15.3%
Expected Move5.1%4.2%5.8%5.2%4.2%
HV 20d15.1%9.9%19.5%19.4%11.2%
HV 60d22.6%21.7%23.4%23.4%21.8%
IV Rank56.6%37.1%71.4%65.4%38.1%
IV Percentile72.4%53.2%87.3%81.7%54.8%
Term Structure0.0%-0.6%0.5%0.1%0.2%
VWIV19.5%16.0%23.2%19.3%16.0%
Skew 25d4.4%3.7%4.9%4.4%3.8%
Skew 10d9.0%7.6%10.2%8.1%8.3%
Call IV 25d16.1%13.5%18.2%17.3%13.5%
Put IV 25d20.5%17.2%23.0%21.7%17.4%
Bid-Ask Spread %30.167.0950.1043.5911.31
Gamma HHI0.140.110.210.110.13
Net GEX-44.9M-58.1M-27.2M-32.0M-40.7M
Net DEX155.6M-94.5M323.0M25.4M33.2M
Net VEX-3.8M-4.2M-3.2M-4.2M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.895.141.331.47
Total Volume28,836.118,46353,35733,28125,314
Total OI513,316.55399,782616,376568,300482,992

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$73.18$72.0019.4%5.2%19.4%65.4%19.3%4.4%0.1%-32.0M25.4M-4.2M1.3343.5914,31118,970149,476418,824
2022-07-05$72.72$70.0020.3%5.6%19.2%71.4%20.7%4.8%-0.4%-45.6M176.4M-4.1M0.8910.0913,99312,494140,406425,191
2022-07-06$73.25$70.0019.8%5.6%19.5%68.1%23.2%4.3%-0.2%-39.4M88.7M-4.1M1.9217.368,14015,588140,455428,272
2022-07-07$73.04$70.0019.3%5.5%19.3%64.9%22.6%4.5%-0.2%-42.0M118.2M-4.0M2.5948.728,87723,023140,745435,599
2022-07-08$73.03$70.0018.3%5.2%19.0%58.3%20.3%4.4%-0.0%-35.7M98.6M-4.0M1.9721.217,08013,970141,882438,574
2022-07-11$72.75$70.0019.6%5.5%18.5%67.1%20.6%4.8%-0.5%-39.4M144.6M-3.9M2.2134.546,60614,608141,266435,441
2022-07-12$72.48$70.0019.8%5.8%18.5%68.4%21.0%4.9%0.3%-43.5M212.8M-3.9M2.797.095,64215,717141,877436,027
2022-07-13$72.77$70.0019.0%5.4%15.2%62.8%21.5%4.8%-0.1%-36.0M147.6M-3.8M3.707.675,53120,450142,956437,795
2022-07-14$72.69$70.0019.3%5.4%14.6%64.8%21.1%4.8%-0.6%-43.9M159.6M-3.8M5.1428.828,68344,674143,761447,757
2022-07-15$72.89$71.0017.6%5.0%14.6%53.6%19.8%4.0%0.0%-51.9M107.4M-3.8M2.2945.7112,33528,197145,458470,918
2022-07-18$72.24$71.0018.9%5.4%14.5%62.6%19.5%4.1%-0.1%-50.8M323.0M-3.8M2.7139.365,93816,104112,191287,591
2022-07-19$73.05$71.0017.9%5.1%14.7%55.5%20.3%4.2%0.1%-46.6M221.8M-3.7M2.7542.2310,11427,808113,030293,309
2022-07-20$72.58$71.5018.0%5.2%13.9%56.4%18.8%4.5%0.1%-50.9M308.3M-3.9M2.4636.755,33313,130122,681305,772
2022-07-21$72.59$71.5017.1%4.9%13.9%50.4%18.0%4.3%0.3%-53.4M286.3M-3.7M2.3418.926,97016,285123,251307,494
2022-07-22$72.96$71.5016.8%4.8%12.9%48.1%18.3%4.0%0.4%-58.1M252.7M-3.8M3.4542.7410,51936,300125,249321,779
2022-07-25$73.30$72.0016.6%4.7%11.0%46.9%17.4%4.3%-0.0%-57.0M203.3M-3.7M2.8842.465,99417,245124,977338,524
2022-07-26$73.33$72.0017.1%4.8%11.0%50.1%18.4%4.4%0.1%-57.5M211.8M-3.8M1.4646.567,84411,477125,807340,842
2022-07-27$74.00$72.0016.0%4.4%9.9%42.6%16.9%4.2%0.2%-46.8M86.3M-3.5M1.828.007,39013,485126,523341,813
2022-07-28$75.06$72.0015.1%4.2%10.8%37.1%16.7%3.7%0.5%-27.2M-94.5M-3.2M2.7150.1010,92829,655127,865341,961
2022-07-29$74.54$72.0015.3%4.2%11.2%38.1%16.0%3.8%0.2%-40.7M33.2M-3.6M1.4711.3110,23415,080130,778352,214