XLP Options History — September 2022

In September 2022, XLP traded between $67.06 and $74.26. ATM implied volatility averaged 18.5%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.3%). 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 8 of 21 days. Put/call ratio averaged 4.47.

Notable Days

  • 2022-09-14: Highest Volume — 138,354 contracts
  • 2022-09-14: Largest IV drop — 20.0% change
  • 2022-09-30: Highest IV Rank — 85.3%
  • 2022-09-29: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.17$67.06$74.26$73.38$67.06
Max Pain$73.52$72.00$75.00$75.00$72.00
ATM IV18.5%14.8%22.3%17.9%22.3%
Expected Move5.4%4.6%6.6%5.1%6.5%
HV 20d17.3%12.9%21.1%12.9%21.1%
HV 60d14.7%13.6%15.8%14.6%15.8%
IV Rank59.5%35.1%85.3%55.4%85.3%
IV Percentile71.8%40.5%96.0%69.0%96.0%
Term Structure0.2%-0.4%3.9%-0.1%-0.1%
VWIV19.4%16.9%24.5%18.7%23.5%
Skew 25d4.3%3.1%5.5%4.5%5.1%
Skew 10d8.9%4.9%15.0%8.5%12.6%
Call IV 25d17.0%14.7%20.5%16.3%20.5%
Put IV 25d21.2%18.5%25.7%20.8%25.6%
Bid-Ask Spread %32.173.8267.2512.2810.39
Gamma HHI0.160.120.190.180.12
Net GEX-72.0M-129.5M-44.7M-81.2M-44.7M
Net DEX479.2M114.8M756.2M354.6M735.6M
Net VEX-3.0M-3.2M-2.7M-3.1M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.7937.350.791.69
Total Volume36,791.6197,355138,35418,46241,187
Total OI427,057.619338,429522,319459,280420,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$73.38$75.0017.9%5.1%12.9%55.4%18.7%4.5%-0.1%-81.2M354.6M-3.1M0.7912.2810,3298,133125,791333,489
2022-09-02$72.45$75.0017.8%5.1%13.6%54.9%17.5%4.3%-0.0%-104.4M576.9M-3.1M1.543.825,8088,920131,270337,973
2022-09-06$72.29$74.0018.4%5.3%13.6%59.0%19.4%4.3%-0.3%-104.6M570.2M-2.9M9.2239.289,26585,421129,006336,437
2022-09-07$73.36$74.0017.0%5.0%14.8%49.2%18.0%3.5%-0.0%-91.3M316.4M-3.0M8.8137.427,54566,446130,705338,246
2022-09-08$73.01$74.0017.2%5.0%14.5%51.0%18.0%4.1%0.3%-101.5M383.7M-3.0M3.8251.893,97915,196132,197347,319
2022-09-09$74.09$74.0016.1%4.6%15.5%43.2%17.8%3.8%-0.1%-74.4M163.9M-2.9M5.3239.794,41623,479134,963355,607
2022-09-12$74.26$74.0015.9%4.7%15.1%42.4%17.6%3.7%0.5%-72.7M114.8M-2.7M1.6744.666,38210,626131,977345,636
2022-09-13$71.67$74.0018.6%5.2%18.9%59.9%18.3%4.3%-0.4%-115.3M665.8M-2.8M4.3939.548,92939,180136,588345,279
2022-09-14$71.75$74.0014.8%5.0%18.1%35.1%20.2%3.1%3.9%-129.5M659.6M-2.8M37.3567.253,608134,746136,900347,092
2022-09-15$71.24$74.0017.7%5.2%18.2%54.4%17.0%4.2%0.0%-115.8M756.2M-3.0M4.1164.076,84228,112138,613377,022
2022-09-16$71.26$74.0017.4%5.0%18.1%52.2%17.3%3.6%0.4%-47.2M744.3M-3.0M4.0149.969,24837,097143,364378,955
2022-09-19$71.30$74.0017.1%4.9%18.1%49.9%16.9%3.5%0.0%-46.0M296.8M-2.9M1.3736.973,0994,256103,523234,906
2022-09-20$71.05$73.0018.3%5.2%17.9%58.1%18.0%4.0%-0.2%-45.2M326.7M-2.9M1.177.204,5175,302105,006236,149
2022-09-21$70.88$73.0018.4%5.3%17.9%58.7%18.0%4.3%-0.1%-46.2M332.1M-3.0M0.9016.367,8747,066107,603237,600
2022-09-22$71.03$73.0018.0%5.2%17.9%56.1%18.9%4.0%-0.0%-45.7M335.8M-3.0M2.1944.423,4887,643112,844242,043
2022-09-23$69.40$73.0019.5%5.6%19.0%66.4%19.6%4.6%0.2%-52.3M549.7M-3.0M1.309.796,3688,264113,979246,096
2022-09-26$69.67$73.0020.7%6.0%18.1%74.4%21.8%5.0%-0.4%-49.5M465.9M-2.9M1.0434.698,4968,834108,367239,226
2022-09-27$68.23$73.0022.3%6.5%19.1%84.8%24.5%5.5%0.1%-49.7M617.0M-2.8M1.3539.1422,05429,741111,645240,349
2022-09-28$69.31$72.0020.7%6.0%20.0%74.5%22.0%5.0%-0.2%-49.7M457.8M-3.2M0.9312.7713,97713,000131,574261,235
2022-09-29$67.93$72.0022.2%6.6%20.9%84.6%23.6%5.4%-0.1%-44.7M639.8M-3.2M1.0013.7821,85221,899135,425265,526
2022-09-30$67.06$72.0022.3%6.5%21.1%85.3%23.5%5.1%-0.1%-44.7M735.6M-3.2M1.6910.3915,30225,885148,908271,777