XLP Options History — January 2023

In January 2023, XLP traded between $72.31 and $75.97. ATM implied volatility averaged 15.0%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.2%). Max pain ranged from $73.00 to $76.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 4.08.

Notable Days

  • 2023-01-05: Highest Volume — 52,811 contracts
  • 2023-01-18: Largest IV spike — 9.9% change
  • 2023-01-03: Highest IV Rank — 40.0%
  • 2023-01-03: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.80$72.31$75.97$74.18$73.47
Max Pain$74.45$73.00$76.00$75.00$73.00
ATM IV15.0%13.3%16.9%16.9%14.3%
Expected Move4.3%3.7%4.8%4.8%4.3%
HV 20d15.2%11.2%17.0%11.9%15.7%
HV 60d14.8%13.9%15.7%14.9%13.9%
IV Rank18.4%3.5%40.0%40.0%10.9%
IV Percentile18.0%2.0%40.9%40.9%9.9%
Term Structure-0.0%-0.4%0.5%-0.1%0.0%
VWIV16.0%13.7%17.9%17.2%16.5%
Skew 25d2.6%2.1%3.2%2.9%2.9%
Skew 10d5.1%3.5%6.6%5.5%5.7%
Call IV 25d13.9%12.1%15.6%15.6%13.1%
Put IV 25d16.5%14.3%18.5%18.5%16.0%
Bid-Ask Spread %8.043.2330.594.924.35
Gamma HHI0.120.070.200.090.14
Net GEX-60.8M-124.4M-9.1M-37.1M-56.0M
Net DEX161.6M-254.6M588.8M75.7M153.9M
Net VEX-2.8M-3.0M-2.5M-2.7M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.9614.313.282.27
Total Volume27,074.78,02952,81122,8968,029
Total OI474,668.8380,486580,086417,305404,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$74.18$75.0016.9%4.8%11.9%40.0%17.2%2.9%-0.1%-37.1M75.7M-2.7M3.284.925,35017,546124,925292,380
2023-01-04$74.18$75.0016.5%4.6%11.2%35.9%16.2%2.5%-0.3%-34.3M62.9M-2.7M5.8512.013,69321,605132,361299,241
2023-01-05$73.93$76.0016.3%4.6%11.2%32.2%17.6%2.5%-0.0%-48.4M144.0M-2.8M6.2713.427,26445,547133,820311,560
2023-01-06$75.97$76.0015.0%4.4%15.0%18.5%16.8%2.1%-0.3%-9.1M-254.6M-2.5M2.186.2911,04924,122138,143353,090
2023-01-09$75.16$76.0016.2%4.6%15.4%28.4%17.0%2.4%-0.1%-30.6M-76.1M-2.7M0.964.6921,85020,907137,133362,464
2023-01-10$74.88$75.0015.4%4.4%15.4%22.0%17.9%2.3%0.0%-42.6M-2.9M-3.0M6.483.543,82124,761146,304377,873
2023-01-11$74.80$75.0015.4%4.4%15.1%21.6%16.0%2.3%0.1%-47.6M11.8M-3.0M2.193.257,24415,855149,099395,284
2023-01-12$74.28$75.0014.3%4.2%15.2%12.2%14.4%2.7%0.5%-87.3M129.4M-2.9M2.594.488,38721,689152,237406,459
2023-01-13$74.70$75.0013.3%3.7%15.4%3.5%13.7%2.3%-0.3%-64.4M9.4M-2.8M2.403.232,3875,738154,100421,445
2023-01-17$74.73$75.0013.8%4.0%14.0%6.3%15.2%2.2%0.2%-52.0M3.9M-2.7M3.143.932,6608,349151,159411,404
2023-01-18$72.70$75.0015.2%4.4%17.0%18.3%14.9%2.4%0.4%-124.4M542.7M-2.9M3.293.4911,74838,610152,078415,066
2023-01-19$72.31$75.0015.7%4.5%16.9%22.6%17.3%3.2%-0.4%-109.1M583.4M-3.0M3.953.738,16532,255158,803406,197
2023-01-20$72.53$75.0014.8%4.3%16.9%15.3%15.3%2.7%0.1%-113.3M588.8M-3.0M2.253.5214,88933,450163,589416,497
2023-01-23$72.84$73.0014.9%4.3%16.8%16.0%15.6%2.7%0.1%-60.1M258.1M-3.0M4.104.492,94612,07195,139285,347
2023-01-24$73.06$73.0014.5%4.2%16.8%12.3%15.6%2.7%-0.1%-59.8M212.5M-2.9M10.4123.601,76618,39096,368289,847
2023-01-25$73.22$73.0014.5%4.3%16.6%11.9%14.8%2.7%0.1%-53.3M158.4M-2.7M1.3830.593,5124,84196,971283,565
2023-01-26$73.03$73.0014.5%4.2%16.3%12.0%17.3%2.7%0.1%-57.8M186.5M-2.7M14.3113.231,45320,78898,249284,775
2023-01-27$73.00$73.0014.3%4.0%15.7%10.3%14.5%2.7%-0.1%-62.4M208.2M-2.8M1.859.495,71910,60998,997300,402
2023-01-30$72.94$73.0015.0%4.6%15.5%16.8%16.3%2.9%-0.0%-65.6M236.0M-2.8M2.524.589,21623,21397,518299,158
2023-01-31$73.47$73.0014.3%4.3%15.7%10.9%16.5%2.9%0.0%-56.0M153.9M-2.8M2.274.352,4535,576102,029302,300