XLP Options History — February 2024

In February 2024, XLP traded between $72.66 and $74.91. ATM implied volatility averaged 11.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.1% (HV 20d: 11.2%). Max pain ranged from $69.00 to $71.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2024-02-02: Highest Volume — 17,729 contracts
  • 2024-02-29: Largest IV spike — 18.8% change
  • 2024-02-29: Highest IV Rank — 42.2%
  • 2024-02-13: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.89$72.66$74.91$74.22$74.70
Max Pain$70.40$69.00$71.00$69.00$71.00
ATM IV11.2%10.4%12.6%10.8%12.6%
Expected Move3.1%2.7%3.3%3.2%2.8%
HV 20d11.2%10.5%12.4%10.7%10.6%
HV 60d10.7%10.5%11.0%10.6%10.5%
IV Rank25.1%15.8%42.2%21.4%42.2%
IV Percentile41.7%20.6%71.4%32.1%71.4%
Term Structure-0.1%-5.9%1.8%0.3%-5.9%
VWIV11.1%9.6%14.1%11.1%10.1%
Skew 25d1.9%1.4%2.6%2.4%1.4%
Skew 10d4.3%3.2%6.4%5.6%3.2%
Call IV 25d10.2%9.5%11.2%9.5%9.8%
Put IV 25d12.0%11.2%13.4%11.9%11.2%
Bid-Ask Spread %67.1742.8784.7178.7265.31
Gamma HHI0.160.100.400.140.17
Net GEX28.8M7.6M75.6M35.7M33.9M
Net DEX-316.8M-441.4M-167.1M-403.3M-390.1M
Net VEX-2.2M-2.4M-2.0M-2.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.404.060.770.95
Total Volume9,343.052,32117,7299,9574,417
Total OI284,665.25270,190294,245271,439291,859

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$74.22$69.0010.8%3.2%10.7%21.4%11.1%2.4%0.3%35.7M-403.3M-2.2M0.7778.725,6134,344120,853150,586
2024-02-02$74.35$69.0010.5%3.2%10.7%17.6%11.8%2.0%0.1%32.0M-404.9M-2.3M2.3777.685,26512,464122,923154,461
2024-02-05$73.90$70.0010.9%3.2%10.7%21.9%11.0%2.1%-0.1%25.6M-335.5M-2.3M1.1280.053,4423,857120,128158,585
2024-02-06$73.77$70.0010.8%3.2%10.5%20.4%11.3%2.0%0.3%23.9M-301.0M-2.4M1.6879.112,9154,907122,182160,015
2024-02-07$73.80$70.0010.5%3.0%10.5%17.4%10.9%1.8%0.0%25.9M-326.7M-2.3M0.8081.644,8493,875123,671162,405
2024-02-08$73.69$70.0010.8%3.1%10.5%20.5%10.7%1.8%-0.2%24.8M-308.7M-2.4M0.8084.711,2911,030127,177164,416
2024-02-09$73.00$70.0011.0%3.2%11.1%23.6%11.3%1.4%0.4%36.3M-193.4M-2.4M1.5184.554,6407,021127,554164,906
2024-02-12$73.59$70.0010.9%3.1%11.4%22.6%11.3%1.5%1.2%21.4M-289.3M-2.3M0.7771.707,3655,658122,002162,274
2024-02-13$72.66$70.0011.5%3.3%12.1%29.7%11.6%1.7%1.6%7.9M-176.6M-2.3M1.0169.624,3544,408125,045162,639
2024-02-14$72.66$70.0010.8%3.1%12.1%21.1%10.5%1.7%1.7%7.6M-167.1M-2.3M1.6857.242,1523,612126,134164,410
2024-02-15$73.13$71.0011.3%3.2%12.3%26.4%11.4%2.1%1.8%14.9M-224.5M-2.3M1.2965.742,7913,594126,459165,331
2024-02-16$73.25$71.0011.7%3.3%12.3%31.7%12.0%1.7%1.4%21.8M-229.6M-2.3M2.3042.873,0236,957127,398166,847
2024-02-20$73.94$71.0011.8%3.3%12.4%33.4%13.0%2.6%-0.5%29.0M-330.0M-2.2M1.4350.066,9339,944118,804151,386
2024-02-21$74.10$71.0012.3%3.2%11.9%38.1%14.1%2.0%-1.0%29.7M-314.2M-2.3M4.0654.043,09212,544119,878158,544
2024-02-22$74.55$71.0011.3%3.0%11.1%26.8%11.3%2.3%-0.5%36.1M-388.4M-2.1M0.8760.344,4023,812121,712159,154
2024-02-23$74.91$71.0010.4%2.7%11.1%15.8%9.7%1.6%-0.1%75.6M-441.4M-2.0M0.9645.696,2356,006122,990160,271
2024-02-26$74.63$71.0012.0%2.9%11.1%35.3%10.2%2.5%-2.2%31.8M-386.9M-2.0M0.9968.121,4281,417121,510161,973
2024-02-27$74.44$71.0010.5%2.8%11.1%17.4%9.9%1.4%-0.0%30.6M-351.4M-2.2M2.3667.602,1605,100122,008162,562
2024-02-28$74.47$71.0010.6%2.8%10.9%18.7%9.6%1.5%0.7%31.7M-372.5M-2.1M0.4058.687,0892,855126,524165,729
2024-02-29$74.70$71.0012.6%2.8%10.6%42.2%10.1%1.4%-5.9%33.9M-390.1M-2.1M0.9565.312,2602,157125,742166,117