XLP Options History — January 2024

In January 2024, XLP traded between $71.72 and $73.44. ATM implied volatility averaged 10.8%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 0.6% (HV 20d: 10.1%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2024-01-10: Highest Volume — 31,545 contracts
  • 2024-01-23: Largest IV drop — 10.8% change
  • 2024-01-03: Highest IV Rank — 30.5%
  • 2024-01-04: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.43$71.72$73.44$72.70$72.97
Max Pain$71.81$70.00$72.00$70.00$72.00
ATM IV10.8%9.9%11.6%11.4%10.8%
Expected Move3.1%2.8%3.4%3.1%3.2%
HV 20d10.1%7.3%12.3%12.1%9.2%
HV 60d10.9%10.1%11.6%11.6%10.1%
IV Rank20.7%10.1%30.5%27.9%20.4%
IV Percentile28.1%6.7%47.2%41.3%29.8%
Term Structure0.1%-0.6%0.7%0.1%0.2%
VWIV11.0%9.9%13.3%11.0%11.2%
Skew 25d1.8%1.4%2.1%1.7%2.0%
Skew 10d4.2%3.4%6.2%3.7%4.4%
Call IV 25d9.9%8.9%10.9%10.6%9.9%
Put IV 25d11.7%10.7%12.7%12.2%12.0%
Bid-Ask Spread %63.5634.3075.8049.8050.45
Gamma HHI0.110.090.250.100.13
Net GEX27.1M3.7M43.6M43.5M29.7M
Net DEX-290.6M-422.6M-114.4M-422.6M-264.0M
Net VEX-2.6M-3.0M-2.2M-2.8M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.288.621.331.09
Total Volume11,419.3333,11131,54528,8973,111
Total OI338,438.762256,931393,395370,701270,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$72.70$70.0011.4%3.1%12.1%27.9%11.0%1.7%0.1%43.5M-422.6M-2.8M1.3349.8012,39216,505178,331192,370
2024-01-03$72.31$70.0011.6%3.2%12.3%30.5%11.5%1.8%0.2%33.3M-323.1M-3.0M2.8055.176,98119,563176,419200,236
2024-01-04$72.38$72.0011.4%3.4%11.9%28.2%13.3%2.0%0.1%29.9M-329.9M-2.9M4.2471.681,9638,317176,304203,253
2024-01-05$71.94$72.0011.2%3.3%12.1%25.7%11.7%2.1%0.7%24.1M-249.7M-2.9M2.1169.664,2428,932176,405206,239
2024-01-08$72.48$72.0011.1%3.2%12.2%24.8%11.4%1.5%0.1%31.4M-351.4M-2.8M2.2175.801,9214,242175,815206,141
2024-01-09$72.59$72.0010.9%3.0%11.9%21.6%11.1%1.8%-0.2%33.3M-348.1M-2.7M1.4074.663,1034,347175,957206,844
2024-01-10$72.47$72.0010.7%3.1%11.8%19.9%11.3%1.5%0.2%34.6M-362.2M-2.6M8.6274.093,28028,265176,508208,097
2024-01-11$72.44$72.0010.7%3.1%11.8%19.6%10.7%1.7%0.2%31.5M-358.3M-2.6M2.4064.033,3918,124177,511208,889
2024-01-12$72.72$72.0010.4%2.9%10.1%16.0%10.4%1.8%-0.3%35.0M-382.7M-2.5M5.3474.271,1606,196179,232210,394
2024-01-16$72.28$72.0011.3%3.3%9.1%27.4%11.4%1.7%-0.6%28.7M-334.7M-2.5M2.8872.632,6467,614178,006205,947
2024-01-17$72.31$72.0011.5%3.3%9.1%29.7%11.6%1.7%-0.4%22.5M-326.3M-2.5M7.2273.301,77012,785178,949210,040
2024-01-18$72.23$72.0011.1%3.2%9.1%24.6%10.8%1.9%-0.2%22.9M-310.7M-2.6M1.3070.045,1206,667179,723210,577
2024-01-19$72.09$72.0010.7%3.1%9.1%19.8%11.6%1.6%-0.0%43.6M-307.3M-2.5M1.1369.076,5047,328181,834211,561
2024-01-22$71.72$72.0011.1%3.2%7.3%24.2%11.4%2.1%0.3%10.0M-128.5M-2.4M2.0858.812,5625,339110,019146,912
2024-01-23$72.52$72.009.9%2.8%8.2%10.1%9.9%1.8%0.1%17.8M-217.1M-2.4M0.9453.033,1482,945110,994151,297
2024-01-24$71.73$72.0010.2%3.0%8.9%14.3%10.0%1.8%0.4%3.7M-114.4M-2.4M0.7770.203,4152,625112,430152,768
2024-01-25$72.13$72.0010.1%2.9%8.9%12.7%10.1%2.0%0.4%14.2M-162.8M-2.4M1.0661.683,0153,199114,683152,974
2024-01-26$72.62$72.0010.0%2.9%9.2%11.3%10.0%1.4%0.2%23.7M-239.8M-2.4M0.2875.253,9481,116115,579152,871
2024-01-29$72.97$72.0010.1%3.0%9.3%13.1%10.6%1.7%0.2%23.5M-254.3M-2.3M0.2836.823,101877114,609146,760
2024-01-30$73.44$72.0010.1%2.9%9.5%12.3%9.9%2.0%0.2%31.6M-313.9M-2.2M0.6134.305,0043,043116,802146,927
2024-01-31$72.97$72.0010.8%3.2%9.2%20.4%11.2%2.0%0.2%29.7M-264.0M-2.3M1.0950.451,4911,620120,648149,359