XLP Options History — June 2024

In June 2024, XLP traded between $76.53 and $78.09. ATM implied volatility averaged 10.1%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 0.5% (HV 20d: 10.5%). Max pain ranged from $75.00 to $77.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.54.

Notable Days

2024-06-24: Highest Volume — 26,215 contracts
2024-06-04: Largest IV spike — 21.7% change
2024-06-04: Highest IV Rank — 58.3%
2024-06-03: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.37	$76.53	$78.09	$77.22	$76.53
Max Pain	$76.58	$75.00	$77.00	$75.00	$77.00
ATM IV	10.1%	8.8%	13.0%	10.7%	10.4%
Expected Move	2.8%	2.6%	3.1%	3.1%	2.7%
HV 20d	10.5%	9.3%	11.7%	11.5%	9.4%
HV 60d	9.6%	9.4%	9.9%	9.4%	9.4%
IV Rank	20.6%	3.9%	58.3%	28.6%	24.5%
IV Percentile	26.6%	0.4%	88.5%	46.4%	34.9%
Term Structure	0.3%	-2.6%	4.6%	-0.6%	3.8%
VWIV	10.2%	9.2%	13.5%	11.1%	9.2%
Skew 25d	1.8%	0.6%	2.9%	2.0%	1.7%
Skew 10d	2.4%	-3.9%	5.8%	4.1%	1.1%
Call IV 25d	9.2%	8.4%	10.7%	9.0%	9.0%
Put IV 25d	11.0%	10.1%	12.8%	11.0%	10.7%
Bid-Ask Spread %	71.17	59.93	92.71	63.52	68.09
Gamma HHI	0.23	0.12	0.41	0.19	0.12
Net GEX	45.4M	-17.3M	92.6M	36.5M	-12.7M
Net DEX	-296.8M	-543.0M	-5.9M	-350.9M	-5.9M
Net VEX	-2.5M	-2.7M	-2.2M	-2.7M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.20	3.57	1.53	0.20
Total Volume	10,589.632	4,150	26,215	9,507	9,639
Total OI	356,559.947	249,000	406,994	395,520	264,945

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$77.22	$75.00	10.7%	3.1%	11.5%	28.6%	11.1%	2.0%	-0.6%	36.5M	-350.9M	-2.7M	1.53	63.52	3,765	5,742	160,606	234,914
2024-06-04	$77.90	$75.00	13.0%	3.0%	11.7%	58.3%	11.5%	2.9%	-0.0%	50.2M	-473.7M	-2.7M	0.94	59.93	8,605	8,077	161,906	237,361
2024-06-05	$77.56	$75.00	10.6%	3.0%	11.0%	27.4%	10.4%	2.5%	0.3%	38.1M	-407.4M	-2.7M	0.87	69.74	3,018	2,621	162,275	240,486
2024-06-06	$78.09	$76.00	10.6%	2.9%	11.2%	27.9%	10.4%	2.3%	-1.0%	60.2M	-543.0M	-2.5M	2.13	62.72	1,324	2,826	164,168	241,411
2024-06-07	$77.63	$76.00	11.0%	2.8%	11.3%	32.3%	9.6%	2.5%	-2.6%	58.2M	-452.6M	-2.6M	0.59	63.05	6,526	3,868	164,430	242,564
2024-06-10	$77.63	$77.00	10.1%	2.8%	10.9%	21.5%	10.4%	1.6%	-0.5%	57.9M	-414.0M	-2.6M	1.44	62.11	2,561	3,697	164,355	222,517
2024-06-11	$77.48	$77.00	9.4%	2.9%	10.9%	12.2%	10.4%	2.0%	0.9%	59.0M	-404.0M	-2.4M	0.39	61.77	5,447	2,113	165,185	223,509
2024-06-12	$76.70	$77.00	10.0%	2.8%	11.4%	20.1%	9.8%	1.7%	-0.1%	39.5M	-232.2M	-2.6M	0.73	65.51	3,305	2,428	166,002	224,610
2024-06-13	$76.80	$77.00	8.8%	2.8%	11.5%	3.9%	9.7%	2.2%	0.9%	54.2M	-256.8M	-2.4M	3.57	66.39	2,635	9,411	167,026	225,073
2024-06-14	$76.81	$77.00	9.2%	2.7%	9.8%	9.0%	9.7%	1.5%	0.5%	63.5M	-239.2M	-2.5M	0.85	87.20	4,045	3,457	167,301	230,445
2024-06-17	$77.69	$77.00	9.5%	2.7%	10.7%	13.5%	10.0%	1.1%	-0.0%	87.0M	-409.0M	-2.4M	0.68	86.40	5,121	3,489	161,022	214,225
2024-06-18	$77.65	$77.00	9.7%	2.7%	10.4%	15.4%	10.0%	1.1%	0.3%	92.6M	-379.6M	-2.4M	2.13	88.85	1,966	4,190	160,639	215,074
2024-06-20	$77.47	$77.00	10.4%	3.0%	10.3%	24.5%	13.5%	1.9%	-2.1%	84.3M	-288.1M	-2.5M	1.52	92.71	7,787	11,813	161,175	216,544
2024-06-21	$77.63	$77.00	9.4%	2.6%	10.3%	12.5%	9.5%	0.8%	0.4%	68.2M	-325.2M	-2.3M	1.99	89.16	6,393	12,751	163,691	225,648
2024-06-24	$77.87	$77.00	8.9%	2.6%	9.5%	5.5%	9.2%	2.8%	0.5%	25.9M	-187.4M	-2.3M	0.38	65.64	18,962	7,253	97,788	151,212
2024-06-25	$77.28	$77.00	9.6%	2.7%	9.9%	15.0%	9.6%	1.1%	0.6%	13.6M	-112.4M	-2.3M	2.23	67.11	3,607	8,034	99,504	152,394
2024-06-26	$77.23	$77.00	10.0%	2.7%	9.3%	19.6%	9.6%	0.8%	0.7%	3.1M	-108.2M	-2.3M	3.52	68.40	1,386	4,880	102,262	158,394
2024-06-27	$76.85	$77.00	10.0%	2.6%	9.3%	19.2%	10.3%	0.6%	4.6%	-17.3M	-48.7M	-2.3M	3.47	63.92	1,893	6,568	102,741	161,237
2024-06-28	$76.53	$77.00	10.4%	2.7%	9.4%	24.5%	9.2%	1.7%	3.8%	-12.7M	-5.9M	-2.2M	0.20	68.09	8,045	1,594	103,387	161,558