XLP Options History — August 2024

In August 2024, XLP traded between $77.50 and $82.47. ATM implied volatility averaged 12.0%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.2% (HV 20d: 11.8%). Max pain ranged from $78.00 to $80.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2024-08-02: Highest Volume — 41,674 contracts
  • 2024-08-05: Largest IV spike — 33.0% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.29$77.50$82.47$78.69$82.37
Max Pain$78.50$78.00$80.00$78.00$80.00
ATM IV12.0%9.3%17.9%12.1%11.1%
Expected Move3.4%2.6%5.3%3.7%2.8%
HV 20d11.8%8.9%12.7%9.7%11.6%
HV 60d10.3%9.6%10.8%9.9%9.9%
IV Rank38.3%8.3%100.0%46.1%27.9%
IV Percentile58.6%7.1%100.0%78.2%56.3%
Term Structure0.5%-1.8%4.3%-1.8%0.9%
VWIV12.1%9.4%18.2%13.2%11.0%
Skew 25d2.7%1.2%6.3%1.5%3.9%
Skew 10d4.2%-4.1%13.9%1.3%2.7%
Call IV 25d11.3%8.7%18.6%11.5%8.7%
Put IV 25d13.9%10.1%22.8%13.0%12.6%
Bid-Ask Spread %63.4551.6071.6359.0356.74
Gamma HHI0.180.080.430.130.16
Net GEX34.3M-4.0M107.5M4.2M19.8M
Net DEX-357.6M-599.0M-45.8M-213.2M-456.5M
Net VEX-2.4M-3.0M-2.0M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.153.071.740.92
Total Volume16,749.9098,72341,6749,8139,888
Total OI334,910.136293,494373,067293,494345,464

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$78.69$78.0012.1%3.7%9.7%46.1%13.2%1.5%-1.8%4.2M-213.2M-2.4M1.7459.033,5876,226102,869190,625
2024-08-02$79.07$78.0013.5%4.2%8.9%64.4%14.9%3.0%-0.3%-4.0M-214.5M-2.5M0.2551.7233,3988,276104,510199,767
2024-08-05$77.50$78.0017.9%5.3%11.6%100.0%18.2%4.2%2.0%-2.8M-45.8M-3.0M1.9067.166,91413,125127,969188,981
2024-08-06$78.66$78.0016.0%4.4%12.7%79.2%15.5%2.5%1.1%11.9M-175.5M-2.9M0.7564.336,6594,996129,726197,750
2024-08-07$78.59$78.0014.2%4.2%12.7%60.9%14.7%2.5%-0.8%11.4M-179.0M-2.9M1.2958.455,2466,792132,463200,335
2024-08-08$78.94$78.0014.1%4.1%12.7%60.0%14.8%1.8%-0.9%18.1M-221.7M-2.7M1.8169.393,1055,618134,163204,167
2024-08-09$79.07$78.0012.9%3.7%12.5%46.4%12.6%3.4%0.0%22.2M-250.6M-2.6M0.9368.288,7598,116135,428207,127
2024-08-12$78.56$78.0013.1%3.6%12.6%48.7%12.9%1.9%-0.6%13.0M-182.0M-2.6M0.7270.315,4643,935136,120200,988
2024-08-13$78.91$78.0012.8%3.5%12.5%45.6%12.4%6.3%-1.0%21.3M-233.7M-2.5M1.0370.816,1616,339138,565201,837
2024-08-14$79.55$78.0010.9%3.1%11.7%25.5%11.2%5.2%0.2%38.4M-332.5M-2.4M2.2170.309,70621,423142,244202,660
2024-08-15$80.37$78.0010.2%2.9%12.1%18.2%10.1%1.9%-0.1%46.3M-476.7M-2.2M1.7768.555,2749,355146,515223,322
2024-08-16$80.47$78.009.8%2.9%11.9%14.3%10.3%1.3%0.2%54.1M-481.7M-2.2M3.0766.343,2239,905146,593226,474
2024-08-19$80.75$78.009.3%2.6%11.9%8.3%9.4%1.2%2.5%62.3M-447.3M-2.1M0.1571.6332,3234,714135,471191,327
2024-08-20$81.05$78.009.8%2.8%11.8%14.1%9.8%1.5%0.8%85.7M-448.5M-2.2M0.9960.254,4984,457138,166192,510
2024-08-21$81.56$78.0010.3%2.9%11.9%19.2%10.8%1.7%0.8%100.8M-544.1M-2.1M1.7759.616,30611,179138,424195,517
2024-08-22$81.55$79.0011.2%3.1%11.9%28.8%11.1%1.9%4.3%107.5M-519.9M-2.1M0.8354.635,6084,635139,500201,491
2024-08-23$81.75$79.0010.4%2.9%11.8%20.0%10.9%1.9%0.5%72.2M-599.0M-2.1M1.3966.804,1955,849142,473203,690
2024-08-26$82.43$79.0010.4%3.0%12.0%20.0%10.5%4.0%-0.2%29.4M-525.8M-2.0M0.6461.4421,81014,023116,398197,052
2024-08-27$82.47$80.0010.3%3.0%11.4%18.9%11.0%2.5%0.1%22.6M-481.7M-2.1M1.6163.685,4728,826120,200209,352
2024-08-28$82.20$80.0012.2%3.2%11.5%38.9%10.9%2.4%-0.3%15.3M-442.4M-2.2M2.9864.733,53510,543122,575214,857
2024-08-29$81.84$80.0012.0%3.0%11.5%37.1%11.0%2.3%4.2%5.7M-395.5M-2.2M1.3551.603,8525,183123,176219,182
2024-08-30$82.37$80.0011.1%2.8%11.6%27.9%11.0%3.9%0.9%19.8M-456.5M-2.2M0.9256.745,1484,740124,465220,999