XLP Options History — May 2010

In May 2010, XLP traded between $25.95 and $27.79. ATM implied volatility averaged 18.5%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 16.8%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 8.58.

Notable Days

  • 2010-05-05: Highest Volume — 34,739 contracts
  • 2010-05-06: Largest IV spike — 32.6% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-25: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.04$25.95$27.79$27.79$26.35
Max Pain$26.65$26.00$28.00$28.00$26.00
ATM IV18.5%12.4%23.9%12.4%20.2%
Expected Move5.3%3.6%6.8%3.6%5.8%
HV 20d16.8%9.0%21.4%9.0%21.4%
HV 60d11.5%8.2%14.0%8.2%14.0%
IV Rank66.4%29.3%100.0%29.3%79.2%
IV Percentile79.9%25.8%100.0%25.8%97.2%
Term Structure-0.0%-1.7%1.6%0.9%-1.1%
VWIV20.1%15.2%28.6%15.2%16.5%
Skew 25d6.5%3.8%9.3%5.5%6.6%
Skew 10d13.1%7.3%24.1%11.1%11.1%
Call IV 25d16.2%10.4%21.8%10.4%16.6%
Put IV 25d22.8%15.9%30.6%15.9%23.1%
Bid-Ask Spread %12.878.8636.3210.418.86
Gamma HHI0.270.220.350.220.35
Net GEX-9.1M-13.7M-6.2M-7.2M-13.7M
Net DEX73.6M-17.5M212.4M-16.7M161.5M
Net VEX-2.1M-2.3M-2.0M-2.0M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.580.0297.691.880.02
Total Volume9,020.451,13934,7391,1962,260
Total OI384,735.55361,559408,162361,559408,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$27.79$28.0012.4%3.6%9.0%29.3%15.2%5.5%0.9%-7.2M-16.7M-2.0M1.8810.41416780130,602230,957
2010-05-04$27.51$28.0014.2%4.1%9.6%37.6%15.3%5.3%0.5%-8.0M17.8M-2.1M5.729.204182,393130,872231,077
2010-05-05$27.61$28.0013.8%3.9%9.5%35.3%17.5%4.7%1.1%-7.8M8.2M-2.1M97.6912.0035234,387131,121233,045
2010-05-06$26.92$28.0018.3%5.2%12.9%56.0%20.1%3.8%0.8%-13.5M118.3M-2.3M1.2336.323,5794,409131,387266,834
2010-05-07$26.74$26.0022.5%6.1%12.7%75.4%28.6%6.6%-1.0%-8.9M110.7M-2.2M0.7916.4510,3558,164134,824236,719
2010-05-10$27.52$26.0015.6%4.7%16.8%43.7%19.7%6.5%0.6%-6.4M6.6M-2.2M4.6112.517663,528144,490238,379
2010-05-11$27.51$26.0015.2%4.5%16.8%42.1%16.2%5.8%1.0%-6.6M4.4M-2.1M3.6718.395592,051141,893237,390
2010-05-12$27.70$26.0012.8%4.2%17.0%30.7%18.1%6.2%1.2%-6.2M-17.5M-2.1M3.6212.707992,889142,203239,186
2010-05-13$27.53$26.0014.9%4.3%17.1%40.7%16.9%5.5%1.6%-6.7M-1.4M-2.1M3.6510.52245894142,387240,510
2010-05-14$27.27$26.0019.1%5.5%17.3%79.5%20.7%6.5%-0.5%-7.5M36.7M-2.1M16.8810.733576,025142,344240,742
2010-05-17$27.56$26.0016.4%4.7%17.7%62.8%18.7%6.1%1.2%-7.0M5.3M-2.1M3.0810.271,0313,180142,523243,483
2010-05-18$27.40$26.0020.0%5.7%17.8%84.6%19.9%6.6%-0.8%-7.3M19.9M-2.1M3.459.672,2297,701142,755243,856
2010-05-19$27.33$27.0020.2%5.8%17.8%85.8%24.9%6.5%-0.5%-7.3M36.4M-2.1M8.269.112892,388144,141247,812
2010-05-20$26.52$27.0023.8%6.8%20.5%100.0%25.8%8.8%-1.3%-9.1M145.6M-2.1M0.6915.632,6761,847144,149247,266
2010-05-21$26.62$27.0020.8%6.0%20.6%82.9%23.0%8.4%0.9%-9.4M142.4M-2.1M2.2112.441,3843,062146,006248,013
2010-05-24$26.43$27.0023.3%6.7%20.7%96.9%22.8%8.4%-0.9%-11.3M147.1M-2.1M9.3610.821,37712,886135,377240,573
2010-05-25$26.12$27.0023.9%6.8%20.2%100.0%21.9%9.3%-1.7%-12.9M189.9M-2.1M0.3512.1412,9644,490135,585250,983
2010-05-26$25.95$26.0021.9%6.3%19.9%89.1%19.3%7.0%-1.5%-13.3M212.4M-2.1M0.4310.1414,7166,302147,582254,101
2010-05-27$26.48$26.0019.8%5.7%21.4%77.1%20.0%7.1%-0.9%-12.8M143.8M-2.1M3.979.203,27412,987150,428254,954
2010-05-28$26.35$26.0020.2%5.8%21.4%79.2%16.5%6.6%-1.1%-13.7M161.5M-2.1M0.028.862,20654147,987260,175