XLP Options History — December 2022

In December 2022, XLP traded between $74.28 and $77.07. ATM implied volatility averaged 15.4%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.9% (HV 20d: 12.6%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.88.

Notable Days

  • 2022-12-16: Highest Volume — 53,287 contracts
  • 2022-12-13: Largest IV drop — 8.8% change
  • 2022-12-28: Highest IV Rank — 40.3%
  • 2022-12-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.57$74.28$77.07$76.91$74.48
Max Pain$74.24$73.00$75.00$73.00$75.00
ATM IV15.4%14.4%16.5%15.4%16.0%
Expected Move4.4%4.2%4.8%4.8%4.4%
HV 20d12.6%11.1%13.8%13.1%11.9%
HV 60d16.9%15.3%18.7%18.7%15.3%
IV Rank33.1%25.7%40.3%32.7%36.3%
IV Percentile27.1%17.1%38.5%27.8%33.3%
Term Structure0.2%-0.6%0.7%-0.3%0.6%
VWIV16.2%14.7%18.3%17.9%15.7%
Skew 25d3.0%2.5%3.7%3.2%2.8%
Skew 10d5.7%3.6%7.4%3.6%5.7%
Call IV 25d14.2%13.2%15.3%14.0%14.6%
Put IV 25d17.2%16.0%18.3%17.2%17.3%
Bid-Ask Spread %19.473.6245.7439.2612.25
Gamma HHI0.100.080.310.080.09
Net GEX-22.0M-117.3M15.2M2.8M-34.0M
Net DEX-222.3M-509.2M60.7M-470.9M23.6M
Net VEX-2.7M-2.9M-2.4M-2.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.618.921.551.74
Total Volume18,618.1436,26953,28717,92312,160
Total OI451,072.19356,438525,229472,457420,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$76.91$73.0015.4%4.8%13.1%32.7%17.9%3.2%-0.3%2.8M-470.9M-2.7M1.5539.267,01810,905149,071323,386
2022-12-02$77.07$73.0014.6%4.5%12.8%27.2%16.0%2.8%-0.2%15.2M-509.2M-2.6M3.8442.203,41613,126155,273321,448
2022-12-05$76.13$73.0015.0%4.3%13.8%29.9%16.0%3.1%0.3%-7.9M-341.6M-2.8M1.1626.555,0245,846151,273320,198
2022-12-06$75.73$73.0015.9%4.4%13.8%36.8%17.1%2.9%0.0%-14.6M-270.2M-2.8M4.0326.614,21216,986150,500321,901
2022-12-07$75.98$73.0015.9%4.6%13.8%36.4%17.5%3.1%0.3%-13.5M-310.2M-2.8M2.2011.473,7558,257153,373327,377
2022-12-08$76.31$73.0015.3%4.5%12.9%32.1%16.1%2.9%0.3%-8.9M-378.3M-2.7M0.6110.304,9173,024153,568331,856
2022-12-09$76.06$73.0015.7%4.6%11.1%34.8%16.8%3.0%0.6%-9.6M-355.8M-2.6M6.513.621,3498,783155,842333,327
2022-12-12$76.63$73.0016.4%4.5%11.3%40.2%18.3%3.0%-0.5%-5.4M-424.3M-2.5M8.926.423,20328,556154,326333,093
2022-12-13$76.68$75.0014.9%4.2%11.1%29.5%16.1%2.7%-0.6%-17.7M-416.1M-2.5M4.3610.911,9588,540154,416359,627
2022-12-14$76.50$75.0014.4%4.2%11.2%25.7%14.7%2.9%0.3%-19.1M-412.5M-2.4M2.3045.742,6516,094154,504363,781
2022-12-15$75.10$75.0015.3%4.4%13.3%32.3%15.8%2.8%-0.1%-55.7M-186.1M-2.6M1.644.708,35513,673154,755363,649
2022-12-16$74.95$75.0015.0%4.3%13.2%30.0%15.6%3.4%0.2%-117.3M-182.7M-2.6M1.5238.7821,13932,148158,282366,947
2022-12-19$74.28$75.0015.7%4.5%12.8%35.1%15.8%3.7%0.0%-30.9M60.7M-2.8M0.7323.5819,42314,240103,902252,536
2022-12-20$74.41$75.0015.5%4.4%12.3%33.3%15.3%3.2%0.1%-31.4M4.0M-2.8M2.226.984,3889,756115,657263,896
2022-12-21$74.90$75.0014.7%4.2%12.2%27.6%15.3%3.0%0.1%-19.5M-80.2M-2.7M3.3812.596,45821,802117,372264,655
2022-12-22$74.56$75.0015.7%4.5%12.2%35.2%15.3%2.9%0.5%-31.7M6.9M-2.9M0.6222.8417,80611,080118,972282,552
2022-12-23$75.06$75.0015.1%4.3%12.5%30.7%15.1%2.7%0.3%-11.8M-103.7M-2.8M0.6822.933,7342,535124,955282,696
2022-12-27$75.63$75.0015.7%4.4%12.8%34.5%17.1%3.0%0.5%-5.9M-209.8M-2.5M4.5315.913,86017,490124,437269,065
2022-12-28$74.62$75.0016.5%4.7%13.6%40.3%16.7%2.6%0.5%-24.4M-31.0M-2.8M1.434.732,7253,910126,274282,606
2022-12-29$74.97$75.0015.7%4.4%11.8%34.6%15.7%2.5%0.7%-20.7M-81.2M-2.7M6.4020.502,25414,425127,608283,240
2022-12-30$74.48$75.0016.0%4.4%11.9%36.3%15.7%2.8%0.6%-34.0M23.6M-2.7M1.7412.254,4317,729125,547294,773