XLP Options History — May 2024

In May 2024, XLP traded between $75.31 and $78.44. ATM implied volatility averaged 9.9%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 0.6% (HV 20d: 9.3%). Max pain ranged from $73.00 to $75.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2024-05-28: Highest Volume — 66,377 contracts
  • 2024-05-14: Largest IV spike — 35.7% change
  • 2024-05-14: Highest IV Rank — 62.7%
  • 2024-05-29: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.91$75.31$78.44$75.31$76.91
Max Pain$74.34$73.00$75.00$74.50$75.00
ATM IV9.9%8.5%13.5%9.9%10.3%
Expected Move2.8%2.4%3.1%3.0%2.7%
HV 20d9.3%7.9%11.5%8.1%11.5%
HV 60d8.8%8.2%9.5%8.6%9.5%
IV Rank15.8%0.0%62.7%14.8%24.0%
IV Percentile19.5%0.0%89.7%13.5%31.7%
Term Structure-0.1%-7.8%2.3%0.2%-0.6%
VWIV9.9%8.2%11.9%10.8%10.2%
Skew 25d1.6%0.8%2.8%1.7%2.1%
Skew 10d4.1%1.8%5.8%3.9%4.6%
Call IV 25d8.9%8.1%10.2%9.3%9.1%
Put IV 25d10.5%9.0%12.6%11.0%11.2%
Bid-Ask Spread %60.6141.4671.8067.5257.63
Gamma HHI0.170.130.220.150.19
Net GEX30.1M-18.1M57.1M27.5M-9.1M
Net DEX-316.0M-600.5M-57.6M-195.4M-255.3M
Net VEX-2.6M-2.8M-2.4M-2.4M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.236.830.843.27
Total Volume19,400.55,71366,3776,94136,516
Total OI347,653.727308,900401,648312,562401,648

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$75.31$74.509.9%3.0%8.1%14.8%10.8%1.7%0.2%27.5M-195.4M-2.4M0.8467.523,7633,178131,389181,173
2024-05-02$75.66$74.509.9%3.0%7.9%13.8%10.7%1.1%0.2%35.6M-215.1M-2.6M1.2753.333,2394,116134,017182,872
2024-05-03$75.97$74.509.3%2.8%8.0%6.1%10.3%1.4%0.2%43.0M-257.6M-2.4M0.2341.468,3341,952133,761184,857
2024-05-06$75.69$73.009.7%2.9%8.1%11.4%9.9%1.5%0.1%31.4M-224.9M-2.6M1.3751.872,4103,303131,943176,957
2024-05-07$76.66$73.009.8%2.7%9.1%12.3%10.0%1.9%-1.4%43.5M-372.0M-2.4M1.4854.522,3033,418132,840179,213
2024-05-08$76.57$73.009.2%2.7%9.1%4.8%9.2%1.2%0.3%43.7M-338.6M-2.5M0.2858.9232,5439,034132,833180,456
2024-05-09$77.09$73.009.0%2.8%9.2%1.6%9.7%1.8%0.7%44.0M-405.4M-2.5M0.4856.5710,3654,973139,416187,800
2024-05-10$77.66$74.008.9%2.6%8.1%1.3%9.6%1.5%0.3%47.0M-490.7M-2.4M1.5060.642,8324,240140,914190,732
2024-05-13$77.34$74.0010.0%3.0%7.9%14.9%11.0%1.7%0.3%41.2M-412.4M-2.5M2.9465.283,0488,974139,535186,530
2024-05-14$77.19$74.0013.5%2.8%8.1%62.7%10.1%2.0%-7.8%38.2M-397.6M-2.4M0.5956.255,5903,274140,209193,785
2024-05-15$77.22$74.0010.2%2.9%8.1%17.8%10.1%1.6%-0.2%40.0M-405.6M-2.4M2.2669.698,80119,929144,075195,509
2024-05-16$78.44$74.009.0%2.6%9.3%2.0%9.3%0.8%-0.1%44.6M-600.5M-2.4M0.4167.1634,46714,024151,210216,307
2024-05-17$78.20$75.008.5%2.4%9.4%0.0%8.2%0.8%-0.4%57.1M-599.8M-2.5M4.4070.973,28714,455163,944222,270
2024-05-20$77.66$75.008.9%2.5%9.6%5.7%8.9%1.4%2.0%29.4M-335.9M-2.7M3.2462.823,88612,602151,778202,614
2024-05-21$77.98$75.008.9%2.5%9.6%5.8%9.0%1.4%1.5%22.2M-405.2M-2.7M2.0864.202,1724,514153,628213,226
2024-05-22$77.78$75.008.9%2.6%9.4%6.2%9.2%1.6%0.8%14.7M-348.7M-2.7M2.2962.702,0294,642154,686214,392
2024-05-23$76.91$75.009.9%2.8%10.2%18.0%9.5%1.7%1.4%20.4M-164.9M-2.7M1.9971.803,0856,125155,839217,519
2024-05-24$77.13$75.009.8%2.6%10.3%17.0%9.1%1.8%2.3%35.0M-200.2M-2.7M4.9763.782,99014,852156,899215,367
2024-05-28$76.44$75.0010.4%2.9%10.8%25.0%10.2%2.8%-0.1%19.7M-166.8M-2.5M0.2358.6053,87112,506155,491204,822
2024-05-29$76.07$75.0011.8%3.1%11.0%43.3%11.1%2.7%-0.6%10.3M-101.7M-2.8M6.8358.234,82732,960152,782211,224
2024-05-30$76.06$75.0011.5%3.0%10.9%38.7%11.9%1.8%-0.7%-18.1M-57.6M-2.7M1.4759.475,4267,956155,550236,370
2024-05-31$76.91$75.0010.3%2.7%11.5%24.0%10.2%2.1%-0.6%-9.1M-255.3M-2.8M3.2757.638,55627,960158,522243,126