XLP Options History — September 2023

In September 2023, XLP traded between $68.69 and $72.69. ATM implied volatility averaged 11.1%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.5% (HV 20d: 9.6%). Max pain ranged from $71.00 to $74.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 4.13.

Notable Days

  • 2023-09-27: Highest Volume — 51,901 contracts
  • 2023-09-21: Largest IV spike — 17.0% change
  • 2023-09-27: Highest IV Rank — 38.0%
  • 2023-09-27: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.01$68.69$72.69$72.16$68.72
Max Pain$72.45$71.00$74.00$74.00$71.00
ATM IV11.1%9.0%14.4%10.3%13.4%
Expected Move3.2%2.6%4.2%2.7%3.9%
HV 20d9.6%8.8%10.2%9.1%10.1%
HV 60d9.4%9.2%9.6%9.3%9.5%
IV Rank14.1%0.0%38.0%7.4%31.0%
IV Percentile22.8%0.0%59.5%11.9%50.8%
Term Structure0.1%-0.1%0.7%0.3%0.1%
VWIV11.0%9.4%13.7%9.7%11.9%
Skew 25d3.0%1.8%4.0%3.0%3.4%
Skew 10d6.0%3.4%7.9%5.9%7.1%
Call IV 25d9.8%8.2%12.3%9.0%11.6%
Put IV 25d12.9%10.2%16.3%12.0%15.0%
Bid-Ask Spread %13.402.6758.803.0323.89
Gamma HHI0.170.110.250.140.14
Net GEX-39.9M-79.4M-14.2M-36.6M-30.4M
Net DEX262.3M110.3M402.3M269.9M350.5M
Net VEX-1.9M-2.0M-1.8M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.130.969.112.641.48
Total Volume21,709.257,55151,90120,32016,555
Total OI238,396.55188,762270,760255,113252,534

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$72.16$74.0010.3%2.7%9.1%7.4%9.7%3.0%0.3%-36.6M269.9M-2.0M2.643.035,58914,731101,963153,150
2023-09-05$71.66$73.0011.0%3.1%8.8%12.5%11.1%3.1%0.2%-59.6M329.7M-1.9M1.783.414,0997,285102,169152,499
2023-09-06$71.38$73.0011.0%3.3%8.8%12.5%10.9%3.3%0.0%-71.8M373.1M-1.9M9.113.192,86126,061104,485155,248
2023-09-07$71.60$73.0010.8%3.1%8.9%11.2%11.5%2.9%0.3%-79.4M331.4M-1.9M1.703.3610,27017,482105,702154,476
2023-09-08$71.66$73.0010.4%2.9%8.9%7.9%10.5%2.9%-0.0%-60.6M306.8M-1.9M7.033.162,69018,911113,106157,654
2023-09-11$72.28$73.009.8%2.9%9.6%3.5%11.0%2.6%0.7%-32.9M208.8M-1.9M3.663.134,49616,45093,793149,183
2023-09-12$71.75$73.0010.5%3.0%9.8%8.8%10.7%3.0%-0.0%-44.9M272.4M-1.9M8.632.742,03717,57496,592149,920
2023-09-13$71.90$72.009.7%2.8%9.3%2.8%10.5%2.4%0.1%-45.0M244.7M-1.8M8.683.063,71132,22397,932149,507
2023-09-14$72.69$73.009.0%2.6%10.2%0.0%9.4%2.0%-0.1%-14.2M110.3M-1.9M0.962.678,1927,870100,952153,619
2023-09-15$72.13$73.009.5%2.8%10.0%3.5%9.9%1.8%0.5%-48.0M171.7M-1.9M1.293.663,2934,258105,826156,345
2023-09-18$71.53$72.009.9%2.8%10.2%6.2%9.4%2.6%0.1%-18.3M143.8M-1.8M4.503.092,59611,66975,570113,192
2023-09-19$71.41$72.009.9%2.8%10.0%6.1%9.8%2.8%0.1%-22.9M159.5M-2.0M1.253.454,9546,17878,869124,391
2023-09-20$71.50$72.0010.1%2.9%9.6%7.4%9.5%2.6%0.2%-22.2M124.6M-2.0M2.2357.205,79812,92882,751129,229
2023-09-21$70.69$72.0011.8%3.4%10.0%19.5%11.2%3.5%-0.1%-36.7M236.2M-2.0M2.054.793,1326,41786,785130,817
2023-09-22$70.32$72.0011.5%3.3%10.0%17.8%11.1%3.1%-0.0%-44.0M276.0M-1.9M1.8851.074,1107,74687,196131,677
2023-09-25$69.80$72.0012.2%3.5%9.9%22.8%11.4%3.7%0.3%-31.0M282.6M-1.8M8.1458.804,39435,75286,331124,756
2023-09-26$69.38$72.0013.4%3.9%9.8%30.9%12.9%3.8%0.0%-29.4M320.5M-1.9M6.0328.153,14318,95489,236139,031
2023-09-27$68.69$72.0014.4%4.2%9.9%38.0%13.7%4.0%0.1%-33.6M402.3M-1.9M7.713.125,96245,93992,277148,091
2023-09-28$68.97$72.0013.4%3.8%10.1%31.3%13.5%3.7%0.2%-36.2M331.8M-2.0M1.873.059,70118,17494,840146,237
2023-09-29$68.72$71.0013.4%3.9%10.1%31.0%11.9%3.4%0.1%-30.4M350.5M-1.9M1.4823.896,6899,866102,237150,297