XLP Options History — August 2023

In August 2023, XLP traded between $72.06 and $75.57. ATM implied volatility averaged 11.5%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.7% (HV 20d: 8.9%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.78.

Notable Days

  • 2023-08-30: Highest Volume — 37,189 contracts
  • 2023-08-14: Largest IV spike — 9.8% change
  • 2023-08-22: Highest IV Rank — 26.8%
  • 2023-08-16: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.75$72.06$75.57$75.31$72.88
Max Pain$74.74$74.00$75.00$74.00$74.00
ATM IV11.5%9.9%13.0%10.4%9.9%
Expected Move3.2%2.5%3.6%2.9%2.6%
HV 20d8.9%8.6%9.6%8.8%9.0%
HV 60d9.9%9.1%10.2%10.0%9.1%
IV Rank16.3%4.1%26.8%7.7%4.1%
IV Percentile23.7%4.4%36.1%11.5%4.4%
Term Structure0.1%-0.4%1.3%-0.2%-0.0%
VWIV11.3%6.6%14.1%10.1%9.6%
Skew 25d3.3%2.4%4.1%2.4%2.9%
Skew 10d6.5%4.3%8.4%5.0%5.4%
Call IV 25d10.0%8.8%11.1%9.3%8.8%
Put IV 25d13.3%11.6%15.0%11.8%11.7%
Bid-Ask Spread %23.422.5582.5915.135.76
Gamma HHI0.120.080.230.110.23
Net GEX-14.5M-48.1M16.9M12.3M1.9M
Net DEX103.3M-137.6M306.5M-110.2M151.0M
Net VEX-2.0M-2.1M-2.0M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.357.680.351.73
Total Volume12,406.5651,92937,1899,70511,325
Total OI228,618.783203,773258,596210,062252,252

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$75.31$74.0010.4%2.9%8.8%7.7%10.1%2.4%-0.2%12.3M-110.2M-2.0M0.3515.137,2152,49089,076120,986
2023-08-02$75.57$74.0011.3%3.3%8.9%14.4%11.1%2.6%-0.3%13.7M-137.6M-2.0M0.353.696,5912,28191,671122,578
2023-08-03$75.43$75.0011.1%3.3%8.9%12.8%10.8%2.7%-0.2%16.9M-130.0M-2.0M2.2156.886001,32996,462123,791
2023-08-04$74.72$75.0011.7%3.3%8.6%17.6%12.1%2.9%-0.1%7.2M5.8M-2.0M2.7880.162,9848,28196,841130,659
2023-08-07$75.13$75.0011.2%3.3%8.7%13.9%14.1%2.7%0.4%11.1M-80.3M-2.0M2.4574.141,8894,63396,625130,216
2023-08-08$74.80$75.0011.1%3.2%8.9%13.3%11.5%3.1%0.2%4.5M-25.9M-2.0M1.7860.475,0979,04997,655132,280
2023-08-09$74.91$75.0011.2%3.3%8.7%14.0%12.9%3.0%0.1%7.7M-39.9M-2.1M1.8682.599011,67498,996133,381
2023-08-10$74.59$75.0011.4%3.2%8.7%15.1%12.3%2.9%-0.4%2.0M-324.0K-2.0M3.363.672,3567,92599,610134,320
2023-08-11$74.77$75.0010.6%3.1%8.7%9.6%11.9%2.6%0.2%2.3M-11.1M-2.1M2.5318.582,9967,583100,546139,553
2023-08-14$74.44$75.0011.7%3.4%8.9%17.2%12.3%3.4%0.1%-5.5M45.5M-2.0M4.653.082,18710,17099,091141,984
2023-08-15$73.66$75.0011.9%3.4%9.6%19.2%12.3%3.3%1.0%-17.8M160.8M-2.0M2.002.606,81513,59899,890146,770
2023-08-16$73.47$75.0012.7%3.6%8.9%24.4%13.1%3.4%0.1%-23.7M189.6M-2.0M2.403.164,0679,748101,886151,631
2023-08-17$72.75$75.0012.6%3.5%8.7%24.1%13.1%3.4%1.3%-41.4M290.5M-2.0M5.492.892,30112,632101,130157,152
2023-08-18$73.09$75.0012.5%3.5%8.8%23.2%11.6%3.9%0.6%-35.7M252.6M-2.0M0.822.603,2212,645101,758156,838
2023-08-21$72.68$75.0012.7%3.5%8.6%24.9%11.1%4.1%-0.1%-29.9M242.9M-2.0M2.493.124,26010,59470,992132,781
2023-08-22$72.06$75.0013.0%3.5%8.9%26.8%11.4%4.0%-0.1%-40.1M306.5M-2.0M3.4817.713,19311,11072,127140,237
2023-08-23$72.52$75.0012.3%3.3%9.3%21.4%10.5%4.1%-0.2%-36.8M235.8M-2.0M3.222.592,6318,47173,257139,776
2023-08-24$72.10$75.0012.8%3.5%9.2%25.3%11.6%3.9%-0.3%-40.7M274.4M-2.0M2.6166.623,89110,16073,650139,430
2023-08-25$72.47$75.0011.6%3.0%8.7%16.5%10.0%3.5%0.0%-48.1M230.9M-2.0M3.433.203,17810,91175,564141,364
2023-08-28$72.70$74.0011.3%3.0%8.8%14.9%10.6%3.8%0.1%-30.8M204.7M-2.0M5.772.551,0576,09874,731138,767
2023-08-29$73.03$74.0010.6%2.8%9.1%9.4%9.6%3.7%0.4%-28.6M166.1M-2.0M7.683.042,07615,94975,059138,999
2023-08-30$73.12$74.0010.1%2.5%9.0%5.6%6.6%2.8%-0.0%-33.6M152.9M-2.0M0.4524.4725,71911,47075,892149,978
2023-08-31$72.88$74.009.9%2.6%9.0%4.1%9.6%2.9%-0.0%1.9M151.0M-2.0M1.735.764,1517,17499,978152,274