XLP Options History — June 2023

In June 2023, XLP traded between $72.50 and $74.72. ATM implied volatility averaged 10.2%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.9% (HV 20d: 11.2%). Max pain ranged from $73.50 to $74.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2023-06-14: Highest Volume — 47,589 contracts
  • 2023-06-21: Largest IV drop — 8.2% change
  • 2023-06-01: Highest IV Rank — 15.1%
  • 2023-06-01: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.61$72.50$74.72$72.50$74.22
Max Pain$73.95$73.50$74.00$73.50$74.00
ATM IV10.2%9.4%12.3%12.3%9.4%
Expected Move2.9%2.4%3.5%3.5%2.4%
HV 20d11.2%9.7%12.8%9.7%10.7%
HV 60d10.1%9.6%10.6%10.2%9.9%
IV Rank3.0%0.0%15.1%15.1%0.0%
IV Percentile2.0%0.0%9.9%9.9%0.0%
Term Structure0.3%-0.1%0.7%-0.1%0.3%
VWIV10.2%8.2%12.4%12.4%8.2%
Skew 25d2.5%1.8%4.0%4.0%2.2%
Skew 10d5.2%3.4%7.6%6.6%5.4%
Call IV 25d9.1%8.0%10.6%10.6%8.0%
Put IV 25d11.7%10.2%14.7%14.7%10.2%
Bid-Ask Spread %23.023.1667.393.1622.09
Gamma HHI0.170.120.460.150.20
Net GEX19.6M-34.0M134.1M-34.0M40.1M
Net DEX-17.4M-300.7M256.9M256.9M-163.6M
Net VEX-2.3M-2.5M-2.2M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.114.644.100.29
Total Volume13,983.7144,58347,58913,03511,441
Total OI315,485.714223,713413,633361,289240,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$72.50$73.5012.3%3.5%9.7%15.1%12.4%4.0%-0.1%-34.0M256.9M-2.3M4.103.162,55410,481164,719196,570
2023-06-02$73.57$73.5011.3%3.3%11.4%8.5%11.0%3.5%0.1%7.4M28.2M-2.4M0.4931.6610,3495,071166,264198,029
2023-06-05$73.32$74.0010.9%3.3%10.6%5.6%11.5%3.0%0.3%11.6M59.3M-2.4M1.418.533,6945,202169,898191,895
2023-06-06$72.97$74.0010.8%3.1%10.6%4.8%10.3%2.7%0.5%-10.1M156.8M-2.3M0.495.625,7782,806170,900197,092
2023-06-07$72.81$74.0010.5%2.9%10.6%3.0%11.8%2.8%0.4%-13.7M168.9M-2.3M4.647.362,36310,970174,175196,461
2023-06-08$73.19$74.0010.2%2.9%11.0%0.4%10.0%2.5%0.5%5.0M82.5M-2.3M2.215.181,7123,780177,683198,578
2023-06-09$73.19$74.0010.2%3.0%10.9%0.6%10.8%2.5%0.6%7.2M59.9M-2.3M2.0723.151,9484,034180,877199,398
2023-06-12$73.05$74.0010.7%3.0%10.6%4.0%9.9%2.6%0.0%-10.3M115.8M-2.3M3.9760.435,13720,400177,369197,799
2023-06-13$73.34$74.0010.0%3.0%10.9%0.0%11.5%2.4%0.3%-1.3M56.9M-2.2M3.954.332,73810,802179,324199,482
2023-06-14$73.81$74.009.9%2.9%11.2%0.0%10.3%2.1%0.3%40.6M-58.0M-2.3M1.1367.3922,38725,202180,484201,024
2023-06-15$74.63$74.009.9%2.9%12.1%0.6%11.1%1.9%0.2%134.1M-254.1M-2.4M0.115.0932,0193,677194,582210,697
2023-06-16$74.72$74.009.9%2.8%12.0%0.5%10.2%1.8%-0.1%52.7M-300.7M-2.5M0.4447.6716,3577,217205,286208,347
2023-06-20$73.68$74.0010.5%3.0%12.8%4.9%10.3%2.5%0.5%16.3M-44.1M-2.4M0.654.415,6053,667100,345123,368
2023-06-21$73.80$74.009.7%2.8%11.9%0.0%9.6%2.1%0.7%17.1M-57.1M-2.4M0.5048.064,3892,18199,928124,750
2023-06-22$74.16$74.009.4%2.7%11.8%0.0%9.1%1.9%0.7%25.3M-129.2M-2.4M0.3114.077,7722,408103,047124,552
2023-06-23$73.88$74.009.4%2.6%11.7%0.0%8.8%2.5%0.6%21.2M-85.7M-2.4M0.3157.787,4352,310103,849126,002
2023-06-26$73.81$74.009.6%2.6%11.4%1.6%10.0%2.8%0.3%30.5M-85.3M-2.3M1.664.062,1813,614107,051123,846
2023-06-27$74.10$74.009.9%2.6%11.5%3.5%9.8%2.4%0.3%36.1M-133.9M-2.3M2.2123.641,4283,155107,925125,562
2023-06-28$73.55$74.0010.2%2.7%10.7%5.4%9.2%2.6%0.2%19.1M-25.0M-2.3M0.7118.425,3873,830108,608128,301
2023-06-29$73.43$74.0010.0%2.6%10.5%4.5%8.9%2.6%0.3%17.5M-14.1M-2.3M0.1121.419,1561,021111,249129,256
2023-06-30$74.22$74.009.4%2.4%10.7%0.0%8.2%2.2%0.3%40.1M-163.6M-2.2M0.2922.098,8492,592110,886129,742