XLP Options History — September 2024

In September 2024, XLP traded between $82.69 and $84.22. ATM implied volatility averaged 12.2%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.0% (HV 20d: 8.2%). Max pain ranged from $80.00 to $83.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.74.

Notable Days

2024-09-05: Highest Volume — 82,152 contracts
2024-09-13: Largest IV drop — 17.3% change
2024-09-06: Highest IV Rank — 70.2%
2024-09-06: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.16	$82.69	$84.22	$82.93	$83.06
Max Pain	$82.70	$80.00	$83.00	$80.00	$83.00
ATM IV	12.2%	10.4%	15.1%	12.1%	11.9%
Expected Move	3.5%	3.1%	3.8%	3.5%	3.5%
HV 20d	8.2%	6.7%	9.1%	8.2%	8.2%
HV 60d	9.9%	9.6%	10.1%	9.9%	9.6%
IV Rank	39.6%	20.9%	70.2%	38.1%	36.1%
IV Percentile	71.9%	32.1%	93.3%	77.4%	72.2%
Term Structure	-0.0%	-1.2%	2.3%	0.8%	0.3%
VWIV	12.6%	11.1%	15.4%	12.4%	12.5%
Skew 25d	2.6%	-1.0%	7.1%	0.1%	3.8%
Skew 10d	5.3%	-1.3%	14.4%	-1.1%	6.9%
Call IV 25d	11.4%	9.7%	16.4%	13.5%	9.9%
Put IV 25d	13.9%	12.2%	19.5%	13.6%	13.7%
Bid-Ask Spread %	51.19	5.29	65.68	61.47	53.98
Gamma HHI	0.18	0.10	0.63	0.21	0.11
Net GEX	-419.9K	-218.9M	68.5M	29.8M	-6.2M
Net DEX	-409.1M	-729.3M	-185.9M	-506.2M	-244.8M
Net VEX	-2.8M	-3.1M	-2.1M	-2.1M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.74	0.40	8.82	0.78	4.21
Total Volume	34,012.15	10,302	82,152	42,466	13,599
Total OI	454,676.15	336,256	591,761	336,256	412,107

Daily Data (20 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
2024-09-03	$82.93	$80.00	12.1%	3.5%	8.2%	38.1%	12.4%	0.1%	0.8%	29.8M	-506.2M	-2.1M	0.78	61.47	23,909	18,557	124,199	212,057
2024-09-04	$83.32	$80.00	12.3%	3.4%	7.0%	40.4%	14.8%	5.1%	-0.9%	30.2M	-559.4M	-2.2M	5.01	65.68	5,422	27,163	133,257	226,291
2024-09-05	$83.10	$83.00	13.7%	3.7%	7.2%	55.5%	12.6%	4.6%	-1.2%	-506.8K	-470.7M	-2.4M	1.27	61.38	36,252	45,900	136,235	249,731
2024-09-06	$82.94	$83.00	15.1%	3.8%	7.3%	70.2%	15.4%	7.1%	-0.6%	-218.9M	-408.3M	-2.7M	5.47	56.30	6,234	34,084	162,423	268,033
2024-09-09	$83.50	$83.00	12.7%	3.7%	7.5%	44.7%	14.1%	0.3%	1.2%	28.6M	-548.8M	-2.6M	2.43	61.75	11,614	28,174	159,608	259,466
2024-09-10	$83.56	$83.00	12.1%	3.7%	6.7%	38.4%	12.9%	0.8%	2.3%	34.0M	-566.6M	-2.7M	0.53	58.38	17,536	9,249	172,752	282,708
2024-09-11	$82.69	$83.00	13.4%	3.6%	8.2%	51.8%	13.1%	-1.0%	-0.9%	22.2M	-383.0M	-3.0M	1.50	59.39	16,372	24,578	183,033	288,610
2024-09-12	$83.40	$83.00	12.6%	3.5%	8.3%	44.0%	12.7%	3.5%	-0.9%	54.2M	-563.6M	-2.8M	1.79	56.21	4,838	8,669	193,787	290,029
2024-09-13	$83.85	$83.00	10.4%	3.3%	7.8%	20.9%	11.4%	2.5%	0.3%	65.5M	-670.0M	-2.7M	0.40	59.14	24,653	9,761	195,613	296,835
2024-09-16	$84.22	$83.00	11.8%	3.4%	7.8%	35.0%	12.7%	2.2%	0.5%	68.5M	-729.3M	-2.7M	3.13	55.89	5,725	17,921	204,157	294,298
2024-09-17	$83.45	$83.00	12.9%	3.7%	8.8%	46.6%	12.8%	2.6%	-0.7%	45.9M	-521.8M	-2.8M	2.88	57.14	11,007	31,660	206,830	300,854
2024-09-18	$83.06	$83.00	12.9%	3.7%	9.1%	46.4%	13.1%	2.7%	0.4%	24.7M	-402.9M	-2.9M	4.47	61.50	10,858	48,570	210,212	322,614
2024-09-19	$82.72	$83.00	11.5%	3.3%	9.0%	32.4%	12.2%	1.7%	0.3%	-20.9M	-215.4M	-3.1M	3.72	54.05	16,858	62,686	211,601	351,889
2024-09-20	$82.81	$83.00	10.9%	3.1%	9.0%	25.9%	11.1%	1.9%	-0.0%	-78.9M	-317.1M	-3.0M	1.75	13.04	6,573	11,519	220,610	371,151
2024-09-23	$83.06	$83.00	11.1%	3.3%	9.0%	28.2%	11.9%	2.3%	-0.1%	-8.2M	-244.1M	-2.9M	1.86	41.39	6,392	11,912	162,382	254,415
2024-09-24	$82.84	$83.00	11.2%	3.3%	8.7%	29.0%	11.3%	2.7%	-0.8%	-24.5M	-188.7M	-3.0M	1.53	5.29	5,200	7,980	164,981	256,466
2024-09-25	$82.80	$83.00	11.5%	3.3%	8.7%	31.7%	11.3%	2.6%	-0.0%	-28.4M	-185.9M	-3.0M	1.53	54.75	4,070	6,232	168,632	262,359
2024-09-26	$82.85	$83.00	11.8%	3.4%	8.6%	35.0%	11.8%	3.1%	-0.8%	-29.5M	-194.8M	-3.1M	8.82	55.01	3,291	29,026	171,443	265,146
2024-09-27	$83.10	$83.00	12.3%	3.4%	8.4%	41.0%	11.8%	2.9%	-0.0%	4.1M	-260.2M	-3.0M	1.68	32.03	6,045	10,154	172,735	273,974
2024-09-30	$83.06	$83.00	11.9%	3.5%	8.2%	36.1%	12.5%	3.8%	0.3%	-6.2M	-244.8M	-3.0M	4.21	53.98	2,611	10,988	165,435	246,672