XLV Options History — September 2020

In September 2020, XLV traded between $101.38 and $109.59. ATM implied volatility averaged 21.3%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.8% (HV 20d: 20.5%). Max pain ranged from $103.00 to $107.33. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2020-09-04: Highest Volume — 38,482 contracts
  • 2020-09-03: Largest IV spike — 17.1% change
  • 2020-09-08: Highest IV Rank — 23.1%
  • 2020-09-08: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.92$101.38$109.59$107.06$105.31
Max Pain$105.90$103.00$107.33$103.00$103.50
ATM IV21.3%19.0%23.9%20.4%21.8%
Expected Move6.0%5.4%6.9%5.7%5.9%
HV 20d20.5%11.3%23.9%11.3%23.8%
HV 60d17.4%16.3%20.4%18.7%17.3%
IV Rank18.7%14.8%23.1%17.1%19.5%
IV Percentile63.0%53.6%74.2%61.9%63.9%
Term Structure0.6%-0.9%3.3%-0.1%2.5%
VWIV22.5%18.3%27.8%20.9%22.0%
Skew 25d5.6%4.6%7.3%5.5%5.5%
Skew 10d10.5%7.7%13.4%11.1%10.3%
Call IV 25d19.0%17.2%21.6%18.1%19.3%
Put IV 25d24.7%21.8%28.9%23.6%24.8%
Bid-Ask Spread %8.403.7816.673.956.65
Gamma HHI0.050.040.110.050.04
Net GEX-16.6M-43.5M25.4M5.2M-9.3M
Net DEX-90.0M-613.0M322.2M-356.1M-213.9M
Net VEX-5.3M-5.7M-4.9M-5.1M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.554.870.601.63
Total Volume18,262.4293,89338,4829,27717,944
Total OI427,129.81372,207470,818412,471438,109

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$107.06$103.0020.4%5.7%11.3%17.1%20.9%5.5%-0.1%5.2M-356.1M-5.1M0.603.95N/AN/A5,7943,483159,334253,137
2020-09-02$109.59$104.0020.3%5.4%13.9%17.0%21.9%5.1%-0.7%25.4M-613.0M-5.0M0.933.78N/AN/A11,49310,634161,929255,726
2020-09-03$106.09$107.0023.8%6.9%18.3%22.9%25.7%6.7%0.5%-16.2M-193.3M-5.5M1.4111.49N/AN/A10,59514,924165,902263,667
2020-09-04$105.94$107.3323.6%6.7%18.2%22.6%27.8%6.1%-0.3%-43.5M-149.5M-5.5M2.9116.67N/AN/A9,84228,640169,827273,094
2020-09-08$104.31$107.3323.9%6.9%19.0%23.1%26.0%7.3%0.5%-17.6M-920.7K-5.5M1.859.37N/AN/A5,71210,594167,295271,191
2020-09-09$106.19$107.3321.6%6.0%20.1%19.2%24.9%5.5%-0.9%-893.8K-223.3M-5.3M1.0111.84N/AN/A9,3529,417168,104272,681
2020-09-10$104.38$107.3321.4%6.2%19.8%18.9%22.9%5.6%0.3%-22.8M-10.0M-5.4M1.9310.51N/AN/A3,8897,490171,112278,369
2020-09-11$104.62$107.3320.3%5.9%19.8%17.1%21.7%5.4%0.1%-29.2M-36.5M-5.2M1.0310.14N/AN/A4,4754,606170,283279,854
2020-09-14$106.34$107.3319.0%5.5%20.7%14.8%19.7%5.0%0.5%-1.6M-264.4M-5.0M0.728.79N/AN/A5,7074,108167,181276,625
2020-09-15$106.19$107.3319.3%5.5%20.5%15.3%19.7%4.8%0.4%-2.7M-255.1M-5.0M2.497.94N/AN/A2,2335,553171,257279,560
2020-09-16$106.37$107.0019.0%5.5%20.5%14.9%18.3%4.6%-0.2%-4.9M-267.9M-4.9M0.749.42N/AN/A2,2361,657171,026282,444
2020-09-17$105.40$107.0020.2%5.8%20.7%16.8%23.1%5.4%0.2%-18.0M-136.3M-5.1M4.877.31N/AN/A3,42016,650172,317284,373
2020-09-18$105.59$107.0019.6%5.6%20.7%15.9%20.2%5.3%0.5%-25.4M-121.3M-5.2M1.227.77N/AN/A6,6768,166173,577297,241
2020-09-21$102.70$107.0022.8%6.5%22.9%21.2%23.9%6.7%0.4%-27.3M172.6M-5.5M1.046.41N/AN/A14,39615,031146,201229,133
2020-09-22$103.17$107.0021.4%6.0%23.0%18.9%23.7%5.8%0.6%-30.2M138.5M-5.3M2.928.94N/AN/A7,15420,924140,975231,232
2020-09-23$102.01$106.3322.4%6.4%23.0%20.5%21.7%6.0%0.5%-34.1M247.5M-5.4M0.795.92N/AN/A12,97310,202146,416239,605
2020-09-24$101.38$103.5022.9%6.4%23.0%21.3%22.3%5.9%0.3%-36.5M322.2M-5.5M1.839.85N/AN/A5,94910,877156,562244,649
2020-09-25$102.88$103.3321.3%5.8%23.4%18.7%20.3%5.3%1.0%-26.6M121.4M-5.6M1.296.72N/AN/A4,2505,485160,025249,070
2020-09-28$103.98$103.3320.6%5.7%23.9%17.5%21.6%5.3%3.3%-18.0M-7.0M-5.4M0.557.75N/AN/A22,37912,418156,470247,090
2020-09-29$103.92$103.5021.3%6.0%23.6%18.6%23.3%5.5%3.3%-15.2M-44.5M-5.7M2.325.16N/AN/A4,87111,312176,377250,706
2020-09-30$105.31$103.5021.8%5.9%23.8%19.5%22.0%5.5%2.5%-9.3M-213.9M-5.7M1.636.65N/AN/A6,81311,131178,724259,385