XLP Options History — July 2023

In July 2023, XLP traded between $73.38 and $76.03. ATM implied volatility averaged 10.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.7% (HV 20d: 9.4%). Max pain ranged from $74.00 to $74.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2023-07-20: Highest Volume — 35,683 contracts
2023-07-07: Largest IV spike — 8.7% change
2023-07-10: Highest IV Rank — 11.0%
2023-07-11: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.73	$73.38	$76.03	$74.65	$75.57
Max Pain	$74.00	$74.00	$74.00	$74.00	$74.00
ATM IV	10.1%	9.3%	10.8%	9.3%	10.4%
Expected Move	2.9%	2.4%	3.3%	2.4%	3.0%
HV 20d	9.4%	8.6%	10.4%	9.6%	8.9%
HV 60d	10.0%	9.9%	10.2%	9.9%	10.1%
IV Rank	5.8%	0.0%	11.0%	0.0%	8.4%
IV Percentile	6.3%	0.0%	11.9%	0.0%	11.9%
Term Structure	0.1%	-0.3%	0.8%	0.1%	-0.2%
VWIV	10.1%	8.0%	11.3%	8.0%	10.4%
Skew 25d	2.4%	1.8%	2.7%	2.4%	2.3%
Skew 10d	5.3%	4.1%	6.6%	5.2%	4.5%
Call IV 25d	9.0%	8.1%	9.8%	8.1%	9.3%
Put IV 25d	11.4%	10.5%	12.4%	10.5%	11.6%
Bid-Ask Spread %	16.03	3.25	43.55	39.59	32.35
Gamma HHI	0.20	0.12	0.80	0.21	0.12
Net GEX	50.2M	15.6M	283.4M	50.3M	15.6M
Net DEX	-154.2M	-367.7M	32.4M	-229.4M	-148.1M
Net VEX	-2.1M	-2.3M	-1.9M	-2.2M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.12	5.54	0.39	1.17
Total Volume	9,682.1	2,172	35,683	4,596	2,494
Total OI	238,470.45	202,959	269,110	240,935	209,305

Daily Data (20 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
2023-07-03	$74.65	$74.00	9.3%	2.4%	9.6%	0.0%	8.0%	2.4%	0.1%	50.3M	-229.4M	-2.2M	0.39	39.59	3,298	1,298	113,745	127,190
2023-07-05	$74.60	$74.00	9.4%	2.5%	9.5%	1.1%	8.6%	2.7%	0.1%	50.5M	-218.3M	-2.2M	1.16	3.66	1,501	1,742	112,894	127,541
2023-07-06	$74.41	$74.00	9.6%	3.0%	9.4%	2.4%	10.0%	2.7%	0.0%	45.9M	-173.2M	-2.3M	5.54	15.23	1,302	7,213	113,304	128,732
2023-07-07	$73.59	$74.00	10.5%	3.0%	10.3%	8.5%	10.2%	2.3%	0.1%	27.6M	-23.7M	-2.3M	0.39	40.38	7,589	2,939	113,929	133,831
2023-07-10	$73.41	$74.00	10.8%	3.2%	10.2%	11.0%	10.7%	2.5%	0.4%	20.9M	16.4M	-2.2M	0.99	4.10	4,209	4,164	112,285	131,523
2023-07-11	$73.38	$74.00	10.8%	3.3%	10.2%	10.9%	10.9%	2.7%	0.8%	18.0M	32.4M	-2.2M	0.29	4.42	5,608	1,623	114,242	134,142
2023-07-12	$73.75	$74.00	10.6%	2.9%	10.3%	9.2%	10.4%	2.3%	-0.3%	32.2M	-40.8M	-2.2M	1.59	3.57	1,933	3,071	113,071	135,037
2023-07-13	$74.16	$74.00	10.1%	3.0%	10.4%	6.0%	10.1%	2.2%	0.4%	47.5M	-99.6M	-2.2M	0.81	3.70	4,639	3,771	114,426	138,962
2023-07-14	$74.28	$74.00	9.8%	2.9%	10.1%	3.6%	9.7%	2.2%	0.5%	50.7M	-133.6M	-2.1M	0.43	3.57	4,467	1,921	113,659	139,773
2023-07-17	$74.16	$74.00	10.3%	3.0%	9.3%	7.7%	9.8%	2.7%	0.0%	49.0M	-101.5M	-2.1M	1.68	14.10	3,195	5,355	113,072	139,693
2023-07-18	$73.97	$74.00	10.0%	2.9%	9.3%	4.8%	10.4%	2.3%	0.3%	35.8M	-49.0M	-2.1M	3.02	6.78	1,800	5,442	114,128	143,373
2023-07-19	$74.69	$74.00	10.1%	2.9%	8.6%	5.8%	9.7%	2.5%	0.4%	79.8M	-232.1M	-2.0M	1.58	24.79	11,140	17,645	115,492	140,643
2023-07-20	$75.34	$74.00	10.5%	3.0%	9.0%	9.1%	10.0%	2.5%	-0.3%	75.4M	-367.7M	-2.0M	0.12	24.02	31,727	3,956	121,886	147,224
2023-07-21	$75.59	$74.00	9.7%	2.8%	8.9%	2.7%	10.2%	1.8%	0.3%	30.6M	-363.4M	-2.0M	0.56	3.25	8,285	4,627	114,934	149,191
2023-07-24	$75.97	$74.00	9.9%	2.9%	8.9%	4.3%	10.1%	2.3%	0.2%	24.7M	-203.4M	-1.9M	0.72	12.23	2,524	1,824	88,079	114,880
2023-07-25	$75.82	$74.00	10.0%	2.9%	8.9%	5.0%	10.3%	2.4%	-0.0%	24.0M	-184.8M	-2.0M	0.82	3.79	1,194	978	89,105	116,122
2023-07-26	$75.94	$74.00	9.9%	2.9%	8.9%	4.4%	11.3%	2.5%	0.1%	23.7M	-185.5M	-2.0M	0.95	43.55	3,354	3,187	89,243	117,185
2023-07-27	$75.38	$74.00	10.4%	3.0%	8.8%	7.7%	10.2%	2.4%	0.0%	18.1M	-121.2M	-2.0M	0.45	3.86	5,730	2,593	89,582	118,578
2023-07-28	$76.03	$74.00	9.7%	2.8%	9.1%	3.0%	10.1%	2.0%	0.1%	283.4M	-257.6M	-1.9M	0.30	33.62	11,027	3,277	99,246	120,162
2023-07-31	$75.57	$74.00	10.4%	3.0%	8.9%	8.4%	10.4%	2.3%	-0.2%	15.6M	-148.1M	-1.9M	1.17	32.35	1,147	1,347	88,962	120,343