XLP Options History — December 2024

In December 2024, XLP traded between $78.38 and $83.07. ATM implied volatility averaged 11.2%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.7% (HV 20d: 9.5%). Max pain ranged from $76.00 to $80.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2024-12-19: Highest Volume — 32,450 contracts
  • 2024-12-24: Largest IV drop — 37.1% change
  • 2024-12-23: Highest IV Rank — 49.9%
  • 2024-12-19: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.09$78.38$83.07$83.07$78.38
Max Pain$78.05$76.00$80.00$80.00$79.00
ATM IV11.2%8.3%13.2%11.1%11.1%
Expected Move3.3%2.9%3.8%3.2%3.3%
HV 20d9.5%9.1%10.5%10.1%9.1%
HV 60d9.2%8.8%9.7%9.2%9.5%
IV Rank29.4%0.0%49.9%27.4%28.8%
IV Percentile53.3%0.0%90.1%50.0%49.6%
Term Structure-0.0%-3.7%1.0%0.1%0.6%
VWIV11.5%9.1%13.3%11.3%11.2%
Skew 25d1.9%-1.5%5.5%4.9%1.8%
Skew 10d3.8%-3.0%15.4%15.4%4.5%
Call IV 25d10.3%7.2%13.0%7.2%10.5%
Put IV 25d12.2%6.2%14.7%12.0%12.3%
Bid-Ask Spread %11.483.6175.1975.196.05
Gamma HHI0.120.090.150.140.10
Net GEX-6.9M-27.9M11.8M10.2M-19.2M
Net DEX-153.8M-416.8M200.8M-415.8M188.4M
Net VEX-2.1M-2.4M-1.9M-2.3M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.182.930.450.65
Total Volume11,060.7622,11632,4503,4712,116
Total OI401,434.476315,275454,094421,464321,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$83.07$80.0011.1%3.2%10.1%27.4%11.3%4.9%0.1%10.2M-415.8M-2.3M0.4575.192,3861,085142,801278,663
2024-12-03$82.77$80.0010.6%3.1%10.3%22.3%11.0%5.5%0.3%11.8M-416.8M-2.2M0.4771.9910,9885,188143,670278,932
2024-12-04$82.31$80.0010.9%3.2%10.5%25.7%12.8%2.4%0.5%1.4M-332.1M-2.3M1.334.002,5453,379142,312281,928
2024-12-05$82.91$76.0010.4%3.0%9.2%20.1%11.4%2.7%0.2%8.4M-394.5M-2.3M2.935.601,7935,252143,539284,440
2024-12-06$82.47$76.0010.7%3.2%9.5%23.2%12.5%1.6%1.0%-1.5M-327.5M-2.4M0.845.815,3894,547143,532288,947
2024-12-09$82.28$76.0011.0%3.2%9.1%26.6%12.0%2.1%0.6%-6.7M-306.8M-2.3M0.884.744,8404,253142,716282,698
2024-12-10$82.66$77.0010.8%3.2%9.1%24.6%11.0%1.7%0.6%2.5M-394.8M-2.1M0.205.157,2351,411143,630282,225
2024-12-11$82.03$77.0011.5%3.3%9.6%32.2%11.6%0.9%0.4%-7.1M-297.0M-2.2M0.183.6111,8032,184146,125282,301
2024-12-12$82.28$77.0011.2%3.3%9.6%28.6%11.5%1.7%0.5%460.4K-364.7M-2.2M0.623.916,7344,156153,165283,884
2024-12-13$82.19$77.0010.9%3.2%9.6%26.1%11.3%1.8%0.3%671.2K-357.2M-2.2M0.403.898,0123,184157,476285,401
2024-12-16$81.70$77.0011.2%3.2%9.2%29.3%11.5%1.3%0.5%-4.2M-295.4M-2.1M0.823.653,6723,000157,563284,669
2024-12-17$81.47$77.0012.0%3.5%9.1%37.7%11.8%1.6%-0.1%-10.4M-248.8M-2.1M0.224.706,6961,482158,105284,754
2024-12-18$80.56$78.0013.1%3.7%10.0%48.4%13.3%1.5%-2.3%-23.7M-56.9M-2.2M2.218.503,8948,624159,361285,663
2024-12-19$80.07$78.0013.0%3.8%10.0%47.5%13.1%1.8%-0.2%-27.9M34.3M-2.2M1.754.7811,79020,660158,934282,792
2024-12-20$80.09$78.0011.8%3.3%9.1%34.6%11.7%1.4%0.1%-10.3M25.4M-2.1M0.275.0122,4116,024167,372286,722
2024-12-23$78.91$80.0013.2%3.3%9.5%49.9%13.1%1.9%-3.7%-17.2M200.4M-2.1M1.244.636,5208,079121,065200,828
2024-12-24$79.35$79.008.3%2.9%9.6%0.0%9.7%-1.5%-0.1%-12.2M107.6M-2.0M1.073.891,1941,283121,411197,591
2024-12-26$79.61$79.0010.9%3.0%9.4%27.3%9.1%1.2%-0.7%-8.6M97.6M-2.0M2.254.631,8354,127121,882197,632
2024-12-27$79.17$79.0011.4%3.3%9.5%31.8%11.5%1.4%0.6%-12.7M124.1M-1.9M0.465.152,8651,316122,439196,649
2024-12-30$78.53$79.0010.7%3.1%9.1%24.9%9.7%1.7%0.4%-19.0M200.8M-1.9M2.086.185,94012,384120,986194,289
2024-12-31$78.38$79.0011.1%3.3%9.1%28.8%11.2%1.8%0.6%-19.2M188.4M-1.9M0.656.051,281835125,395195,637