XLP Options History — February 2023

In February 2023, XLP traded between $72.03 and $74.50. ATM implied volatility averaged 14.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.3% (HV 20d: 12.7%). Max pain ranged from $72.50 to $74.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.13.

Notable Days

2023-02-17: Highest Volume — 48,436 contracts
2023-02-21: Largest IV spike — 10.8% change
2023-02-22: Highest IV Rank — 21.8%
2023-02-21: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.15	$72.03	$74.50	$74.50	$72.03
Max Pain	$73.58	$72.50	$74.00	$73.00	$72.50
ATM IV	14.0%	13.0%	15.5%	13.5%	14.4%
Expected Move	4.0%	3.7%	4.3%	4.0%	4.1%
HV 20d	12.7%	10.0%	17.0%	16.5%	11.4%
HV 60d	13.6%	12.8%	14.2%	14.2%	12.8%
IV Rank	8.5%	0.0%	21.8%	3.2%	12.6%
IV Percentile	8.8%	0.0%	27.8%	3.2%	13.5%
Term Structure	0.1%	-0.6%	1.2%	-0.2%	-0.1%
VWIV	14.5%	12.7%	18.5%	15.0%	14.1%
Skew 25d	3.3%	2.6%	4.2%	2.7%	3.8%
Skew 10d	6.3%	3.1%	8.4%	4.9%	6.8%
Call IV 25d	12.4%	11.3%	13.8%	12.2%	12.6%
Put IV 25d	15.7%	14.6%	17.8%	14.9%	16.4%
Bid-Ask Spread %	11.08	3.03	50.17	30.48	5.70
Gamma HHI	0.13	0.09	0.19	0.12	0.12
Net GEX	-61.4M	-101.9M	-25.8M	-25.8M	-68.7M
Net DEX	151.6M	-41.2M	365.0M	-41.2M	196.8M
Net VEX	-2.6M	-2.8M	-2.5M	-2.5M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.13	0.47	13.40	0.47	0.81
Total Volume	21,194.947	5,876	48,436	18,379	5,876
Total OI	414,344.474	355,752	461,796	409,122	379,935

Daily Data (19 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
2023-02-01	$74.50	$73.00	13.5%	4.0%	16.5%	3.2%	15.0%	2.7%	-0.2%	-25.8M	-41.2M	-2.5M	0.47	30.48	12,499	5,880	103,343	305,779
2023-02-02	$73.70	$74.00	13.8%	3.8%	16.9%	6.4%	14.3%	2.6%	-0.3%	-50.0M	98.1M	-2.6M	3.43	3.83	9,210	31,551	106,301	308,358
2023-02-03	$73.32	$74.00	13.2%	3.9%	17.0%	0.9%	13.7%	3.0%	0.0%	-71.0M	179.3M	-2.8M	1.33	42.76	6,225	8,255	114,448	327,926
2023-02-06	$73.44	$74.00	13.8%	4.0%	13.5%	5.6%	13.3%	3.0%	0.3%	-49.9M	124.6M	-2.7M	0.75	4.33	9,676	7,297	111,452	318,186
2023-02-07	$73.07	$74.00	13.6%	3.9%	13.2%	4.1%	14.9%	2.7%	0.0%	-60.6M	187.6M	-2.7M	6.01	4.54	1,780	10,695	117,049	318,266
2023-02-08	$72.65	$74.00	14.1%	3.9%	13.2%	9.0%	14.5%	3.0%	-0.4%	-77.4M	279.3M	-2.8M	2.83	3.68	2,827	7,987	116,208	317,278
2023-02-09	$72.43	$74.00	14.1%	4.2%	13.3%	9.2%	18.5%	3.1%	0.6%	-88.0M	365.0M	-2.8M	13.40	3.54	2,030	27,196	116,298	322,408
2023-02-10	$72.93	$74.00	13.9%	4.0%	13.4%	6.9%	14.2%	3.0%	0.1%	-66.0M	212.7M	-2.6M	3.78	4.42	2,563	9,676	116,779	320,042
2023-02-13	$73.78	$74.00	13.8%	4.0%	14.0%	5.7%	14.1%	3.4%	0.4%	-36.2M	39.3M	-2.5M	1.11	3.03	6,119	6,821	115,759	312,401
2023-02-14	$73.28	$74.00	13.7%	3.9%	14.1%	4.8%	13.9%	3.3%	-0.1%	-56.8M	130.0M	-2.5M	2.63	3.32	8,214	21,562	120,320	317,148
2023-02-15	$73.10	$74.00	13.0%	3.7%	10.1%	0.0%	12.7%	3.3%	1.0%	-86.5M	201.2M	-2.6M	6.95	3.43	1,816	12,615	121,557	326,044
2023-02-16	$72.82	$74.00	13.1%	3.7%	10.0%	0.7%	13.1%	3.3%	0.6%	-101.9M	247.5M	-2.6M	3.11	3.73	5,525	17,165	122,104	328,266
2023-02-17	$73.59	$74.00	13.8%	3.8%	10.6%	7.2%	14.7%	3.5%	1.2%	-52.3M	60.5M	-2.6M	1.48	8.32	19,509	28,927	125,596	336,200
2023-02-21	$73.53	$73.00	15.3%	4.3%	10.5%	20.1%	15.8%	4.0%	-0.4%	-30.0M	53.3M	-2.6M	1.11	50.17	16,546	18,295	101,002	265,371
2023-02-22	$73.18	$73.00	15.5%	4.3%	10.6%	21.8%	14.3%	4.2%	-0.6%	-43.3M	117.3M	-2.7M	3.63	3.68	2,336	8,476	95,844	259,908
2023-02-23	$73.20	$73.00	14.5%	4.0%	10.6%	13.6%	14.0%	4.0%	-0.1%	-49.9M	110.2M	-2.6M	4.29	4.07	3,497	14,994	96,621	265,618
2023-02-24	$72.60	$73.00	14.8%	4.1%	11.0%	15.7%	15.6%	3.7%	-0.3%	-101.9M	231.7M	-2.7M	1.45	5.76	15,318	22,254	98,271	275,481
2023-02-27	$72.63	$72.50	14.5%	4.0%	11.0%	13.4%	14.4%	3.6%	-0.4%	-49.6M	87.6M	-2.6M	0.89	21.73	6,084	5,408	104,173	264,805
2023-02-28	$72.03	$72.50	14.4%	4.1%	11.4%	12.6%	14.1%	3.8%	-0.1%	-68.7M	196.8M	-2.7M	0.81	5.70	3,241	2,635	108,626	271,309