XLP Options History — May 2023

In May 2023, XLP traded between $72.57 and $77.57. ATM implied volatility averaged 12.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.4% (HV 20d: 8.6%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.16.

Notable Days

  • 2023-05-10: Highest Volume — 29,490 contracts
  • 2023-05-05: Largest IV drop — 12.7% change
  • 2023-05-24: Highest IV Rank — 24.7%
  • 2023-05-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.74$72.57$77.57$77.57$73.06
Max Pain$74.23$73.00$75.00$75.00$74.00
ATM IV12.0%10.1%13.7%10.1%12.7%
Expected Move3.4%2.9%4.0%2.9%3.6%
HV 20d8.6%7.9%9.7%7.9%9.6%
HV 60d10.1%9.8%10.3%10.1%10.2%
IV Rank12.8%0.0%24.7%0.0%17.9%
IV Percentile8.0%0.0%20.2%0.0%11.5%
Term Structure0.2%-0.4%0.8%0.3%-0.2%
VWIV12.2%10.1%14.5%10.1%13.3%
Skew 25d4.2%3.2%5.0%3.2%4.2%
Skew 10d9.7%5.7%14.1%5.7%8.9%
Call IV 25d10.0%8.5%11.7%8.5%10.8%
Put IV 25d14.2%11.6%16.5%11.6%15.0%
Bid-Ask Spread %20.733.8356.524.996.25
Gamma HHI0.110.080.210.090.16
Net GEX-15.1M-43.2M9.4M3.4M-38.8M
Net DEX-101.3M-323.9M298.3M-323.9M195.9M
Net VEX-2.5M-2.7M-2.2M-2.5M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.396.883.452.41
Total Volume13,073.3643,73829,4906,28429,299
Total OI320,339.273297,468341,764305,240331,682

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$77.57$75.0010.1%2.9%7.9%0.0%10.1%3.2%0.3%3.4M-323.9M-2.5M3.454.991,4114,873106,483198,757
2023-05-02$77.25$75.0011.3%3.2%7.9%8.1%11.9%3.7%0.6%-792.3K-305.3M-2.4M2.7137.313,79010,254107,123200,446
2023-05-03$76.75$75.0012.0%3.6%8.1%13.2%12.6%3.9%0.1%-17.3M-226.1M-2.6M0.6920.328,1675,642109,424204,373
2023-05-04$76.35$73.0012.8%4.0%8.2%18.5%14.5%4.4%0.1%-34.9M-143.2M-2.7M2.4742.102,5586,330116,020208,073
2023-05-05$77.10$74.0011.2%3.4%8.7%7.2%11.1%3.7%0.1%-4.0M-302.6M-2.5M0.5718.223,8062,154117,140210,373
2023-05-08$77.00$74.0011.0%3.3%8.8%6.2%11.1%3.6%0.5%9.4M-274.2M-2.6M1.356.493,4734,700115,389188,598
2023-05-09$76.81$74.0011.0%3.4%8.7%6.3%12.2%4.0%0.5%5.0M-256.4M-2.5M5.5313.101,6178,938116,042192,242
2023-05-10$76.65$74.0011.6%3.3%8.5%10.2%12.5%3.9%-0.2%-16.1M-203.7M-2.6M2.2920.868,95020,540116,716200,241
2023-05-11$76.75$74.0011.5%3.3%8.4%9.8%13.2%4.1%-0.2%-29.7M-197.9M-2.6M2.855.596,11317,412117,399209,313
2023-05-12$77.09$74.0011.4%3.4%8.1%9.0%11.8%3.9%0.3%-1.9M-288.6M-2.5M0.7747.762,7162,083120,534210,081
2023-05-15$76.90$74.0011.2%3.2%8.2%7.4%12.9%4.7%0.4%6.8M-244.9M-2.5M1.5448.233,8505,944119,011201,603
2023-05-16$76.47$74.0012.4%3.6%8.4%15.6%12.7%4.2%-0.4%-2.3M-193.1M-2.5M2.3724.574,50910,669121,561205,936
2023-05-17$76.25$74.0011.7%3.4%8.5%11.2%11.0%4.3%0.5%-20.1M-141.1M-2.5M1.963.834,5158,843124,285215,179
2023-05-18$75.81$75.0011.3%3.2%8.7%8.4%10.5%4.0%0.8%-33.1M-53.5M-2.5M0.894.655,6495,039124,759216,125
2023-05-19$75.93$75.0011.3%3.2%8.2%8.5%11.5%3.9%0.8%-40.8M-79.2M-2.5M1.5356.529,67614,815127,111214,653
2023-05-22$74.82$75.0012.6%3.4%9.5%17.5%12.2%4.4%-0.3%-10.7M7.9M-2.4M1.2439.303,7424,643114,135183,333
2023-05-23$74.31$74.0012.7%3.5%9.7%17.9%12.7%5.0%0.1%-15.9M82.5M-2.5M0.507.225,0472,508117,897186,896
2023-05-24$73.88$74.0013.7%3.8%9.5%24.7%13.2%4.9%-0.0%-15.5M107.4M-2.5M0.397.562,6911,047126,441187,630
2023-05-25$73.35$74.0013.4%3.7%8.6%23.0%13.0%4.9%0.2%-21.4M176.7M-2.5M1.327.892,7403,610131,031186,712
2023-05-26$73.52$74.0013.1%3.6%8.4%20.6%12.4%4.2%-0.4%-10.0M136.6M-2.4M6.8821.171,86312,814136,892184,710
2023-05-30$72.57$74.0013.2%3.7%8.9%21.4%12.2%4.9%-0.2%-43.2M298.3M-2.2M3.7312.023,92314,651134,276190,839
2023-05-31$73.06$74.0012.7%3.6%9.6%17.9%13.3%4.2%-0.2%-38.8M195.9M-2.3M2.416.258,59020,709137,783193,899