XLP Options History — July 2024

In July 2024, XLP traded between $76.12 and $78.77. ATM implied volatility averaged 11.2%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.3% (HV 20d: 9.0%). Max pain ranged from $77.00 to $78.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.57.

Notable Days

  • 2024-07-12: Highest Volume — 27,963 contracts
  • 2024-07-03: Largest IV spike — 33.4% change
  • 2024-07-19: Highest IV Rank — 51.3%
  • 2024-07-29: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.60$76.12$78.77$76.12$77.95
Max Pain$77.36$77.00$78.00$77.00$78.00
ATM IV11.2%9.2%12.5%11.7%12.4%
Expected Move3.1%2.5%3.5%2.8%3.3%
HV 20d9.0%8.0%9.6%8.7%9.2%
HV 60d9.6%9.3%9.9%9.4%9.8%
IV Rank35.6%9.4%51.3%41.9%50.3%
IV Percentile58.7%6.7%83.7%76.2%82.9%
Term Structure-0.0%-4.8%4.8%-4.1%-2.3%
VWIV11.3%8.8%12.6%9.4%11.4%
Skew 25d1.1%-0.1%3.8%0.9%1.7%
Skew 10d1.9%-4.7%5.3%1.3%4.1%
Call IV 25d10.6%8.6%11.8%10.0%10.9%
Put IV 25d11.6%9.6%12.8%10.9%12.6%
Bid-Ask Spread %55.4327.2683.8560.9960.75
Gamma HHI0.160.100.350.100.13
Net GEX13.9M-7.6M71.4M-2.8M-1.0M
Net DEX-146.9M-304.8M-25.8M-25.8M-139.1M
Net VEX-2.4M-2.5M-2.2M-2.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.570.1014.322.040.50
Total Volume12,967.5915,45727,96313,2237,578
Total OI289,247.364258,497322,553258,497289,442

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$76.12$77.0011.7%2.8%8.7%41.9%9.4%0.9%-4.1%-2.8M-25.8M-2.3M2.0460.994,3448,879104,304154,193
2024-07-02$76.44$77.009.2%2.5%8.7%9.4%8.8%1.3%-0.3%1.4M-34.6M-2.4M3.2139.262,2937,358107,582160,577
2024-07-03$76.41$77.0012.3%2.5%8.0%48.8%9.9%-0.1%-4.8%3.1M-54.9M-2.4M5.9483.851,1636,903108,756163,896
2024-07-05$77.34$77.0010.6%2.9%9.1%27.8%10.6%1.3%4.8%22.5M-154.1M-2.4M1.6765.262,2173,711109,691169,341
2024-07-08$77.19$77.0010.3%3.0%8.8%23.4%10.1%0.9%0.0%19.7M-146.3M-2.2M0.4067.7717,5387,075106,888166,675
2024-07-09$77.10$77.0011.9%3.0%8.6%43.7%11.0%1.1%0.0%13.6M-129.7M-2.3M2.2153.681,6983,759111,645171,839
2024-07-10$77.25$77.0010.6%3.0%8.6%27.2%11.7%1.8%0.0%22.2M-143.5M-2.3M14.3260.545958,518114,436175,335
2024-07-11$77.02$77.0010.5%3.0%8.6%26.1%10.9%1.1%0.1%-7.6M-89.2M-2.4M1.1878.527,9929,465114,816184,783
2024-07-12$77.59$77.0011.2%3.0%8.2%35.5%10.7%0.7%-0.0%47.9M-189.2M-2.3M3.6671.476,00021,963115,585186,569
2024-07-15$77.16$77.0010.5%3.0%8.5%26.4%11.3%0.5%0.9%9.8M-126.0M-2.3M6.7359.702,98620,105113,069171,860
2024-07-16$77.63$77.0010.5%3.0%8.7%26.7%12.6%0.8%-0.0%19.6M-171.9M-2.3M2.7267.134,83913,185114,156186,952
2024-07-17$78.77$77.0011.5%3.3%9.3%38.7%11.6%0.8%1.2%35.5M-304.8M-2.4M0.4647.758,1303,772116,106194,661
2024-07-18$78.44$77.0012.2%3.4%9.5%47.3%12.0%1.4%-0.3%32.4M-268.0M-2.4M1.4063.717,73410,834119,254194,939
2024-07-19$78.12$77.0012.5%3.3%9.6%51.3%12.3%1.2%3.7%71.4M-240.1M-2.4M2.2069.674,5129,914121,909200,644
2024-07-22$78.13$78.0011.1%3.2%9.5%33.8%11.4%3.8%-2.4%8.9M-157.2M-2.5M1.8128.682,2964,156102,238182,700
2024-07-23$77.87$78.0011.1%3.2%9.6%33.4%11.3%0.6%0.7%4.7M-124.0M-2.4M0.1038.3723,8402,484103,572186,378
2024-07-24$77.81$78.0010.8%3.3%9.2%30.6%12.5%0.6%2.4%-42.3K-123.8M-2.5M2.4434.401,6874,119101,268187,747
2024-07-25$77.95$78.0011.8%3.4%9.2%43.1%12.1%0.8%-0.5%829.6K-130.8M-2.5M0.5635.233,5921,995101,568190,080
2024-07-26$78.35$78.0011.7%3.3%9.1%41.4%11.6%-0.1%0.2%2.0M-172.5M-2.5M1.5251.594,4476,77299,084190,582
2024-07-29$78.63$78.0011.3%3.5%8.9%36.2%12.2%1.2%0.7%3.2M-181.2M-2.5M0.4527.263,9741,80697,972185,980
2024-07-30$77.97$78.0011.6%3.5%9.3%40.1%12.5%0.8%-0.3%-2.1M-125.7M-2.5M0.9553.854,6504,40997,927186,443
2024-07-31$77.95$78.0012.4%3.3%9.2%50.3%11.4%1.7%-2.3%-1.0M-139.1M-2.4M0.5060.755,0642,514100,338189,104