XLP Options History — December 2023

In December 2023, XLP traded between $70.23 and $72.22. ATM implied volatility averaged 11.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.1% (HV 20d: 11.0%). Max pain ranged from $69.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.69.

Notable Days

  • 2023-12-20: Highest Volume — 43,340 contracts
  • 2023-12-15: Largest IV spike — 63.0% change
  • 2023-12-15: Highest IV Rank — 85.6%
  • 2023-12-21: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.12$70.23$72.22$70.88$71.97
Max Pain$69.95$69.00$70.00$69.00$70.00
ATM IV11.1%10.0%16.3%10.1%10.9%
Expected Move3.1%2.9%3.4%2.9%3.0%
HV 20d11.0%9.2%12.6%9.2%11.8%
HV 60d12.0%11.6%12.4%11.9%12.1%
IV Rank24.0%11.1%85.6%12.4%22.4%
IV Percentile29.3%9.9%96.4%11.9%29.8%
Term Structure-0.1%-7.0%0.5%0.1%0.4%
VWIV11.0%9.5%13.2%10.5%11.8%
Skew 25d1.5%0.6%2.3%2.3%1.5%
Skew 10d3.6%1.3%8.1%4.1%2.8%
Call IV 25d10.6%9.1%18.7%9.1%10.2%
Put IV 25d12.1%10.6%19.3%11.4%11.7%
Bid-Ask Spread %55.159.3875.2150.0160.99
Gamma HHI0.150.110.230.160.21
Net GEX42.5M14.1M65.1M36.2M59.4M
Net DEX-267.8M-530.3M-99.4M-248.9M-397.1M
Net VEX-3.0M-3.1M-2.9M-3.1M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.4913.151.152.50
Total Volume18,142.88,14043,34016,63523,669
Total OI385,567.9340,399422,957398,357372,352

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$70.88$69.0010.1%2.9%9.2%12.4%10.5%2.3%0.1%36.2M-248.9M-3.1M1.1550.017,7458,890198,389199,968
2023-12-04$71.00$70.0010.8%3.2%9.2%21.0%11.5%2.2%0.3%39.0M-277.2M-3.0M1.6754.5210,47517,528193,497195,652
2023-12-05$70.50$70.0011.1%3.3%9.7%24.8%11.4%1.8%0.2%20.9M-164.8M-3.1M1.9050.943,6426,920199,047209,201
2023-12-06$70.28$70.0010.9%3.2%9.8%22.5%11.1%1.7%0.2%14.1M-116.6M-3.1M3.199.385,41617,273200,363211,242
2023-12-07$70.65$70.0010.9%3.1%9.7%22.4%11.9%1.4%0.2%23.0M-186.1M-3.0M0.8753.607,4636,512201,422209,745
2023-12-08$70.23$70.0010.5%3.0%9.8%17.4%10.6%1.4%0.3%17.9M-99.4M-3.0M1.5851.834,8497,647207,962210,088
2023-12-11$70.72$70.0010.5%3.0%9.8%17.9%10.6%1.6%-0.2%46.2M-229.0M-3.0M0.7655.5012,6069,551206,568204,727
2023-12-12$70.93$70.0010.0%2.9%9.8%11.1%10.3%1.0%0.1%50.9M-263.3M-3.0M1.6357.073,9646,459211,152208,132
2023-12-13$72.22$70.0010.0%2.9%11.1%11.7%9.6%1.1%-0.0%64.3M-530.3M-2.9M0.5854.4315,8249,239212,297209,389
2023-12-14$71.31$70.0010.0%2.9%12.0%11.3%10.3%0.8%0.3%65.1M-373.2M-2.9M0.4955.7610,5145,166211,114210,089
2023-12-15$71.22$70.0016.3%3.0%11.0%85.6%11.3%0.6%-7.0%51.1M-346.5M-2.9M1.1375.218,2769,362210,138212,819
2023-12-18$71.44$70.0010.4%3.0%11.0%16.5%12.1%1.4%0.3%36.8M-248.3M-2.9M1.8661.332,8485,292179,023162,348
2023-12-19$71.52$70.0010.3%2.9%11.0%14.7%11.8%1.2%0.5%40.7M-295.6M-2.9M1.4160.926,1878,697180,531159,868
2023-12-20$70.43$70.0011.4%3.3%12.5%27.5%10.7%1.6%0.3%28.3M-130.5M-3.0M13.1558.413,06340,277183,033161,698
2023-12-21$70.65$70.0011.8%3.4%12.3%32.5%13.2%1.5%0.1%35.5M-164.0M-2.9M1.7260.264,2757,368186,064163,247
2023-12-22$71.19$70.0011.5%3.3%12.5%28.9%12.5%1.6%0.4%47.1M-252.9M-3.0M3.2563.973,81812,418188,205164,298
2023-12-26$71.59$70.0011.5%3.2%12.6%29.7%10.2%1.9%0.4%54.6M-310.5M-3.0M4.7452.312,20910,468184,784168,717
2023-12-27$71.70$70.0011.2%3.2%12.6%25.2%9.5%1.8%0.3%59.0M-346.3M-2.9M4.2058.483,79815,940185,811174,012
2023-12-28$71.90$70.0011.1%3.1%12.0%25.0%9.9%1.8%0.3%59.8M-375.9M-2.9M6.0958.062,42714,781187,700176,666
2023-12-29$71.97$70.0010.9%3.0%11.8%22.4%11.8%1.5%0.4%59.4M-397.1M-2.9M2.5060.996,76616,903188,873183,479