XLP Options History — June 2010

In June 2010, XLP traded between $25.50 and $26.95. ATM implied volatility averaged 16.7%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 3.7% (HV 20d: 20.4%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.25.

Notable Days

  • 2010-06-17: Highest Volume — 158,395 contracts
  • 2010-06-04: Largest IV spike — 34.0% change
  • 2010-06-01: Highest IV Rank — 91.7%
  • 2010-06-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.36$25.50$26.95$26.29$25.50
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV16.7%12.0%22.4%22.4%21.7%
Expected Move4.7%3.4%6.4%6.4%6.2%
HV 20d20.4%18.1%22.3%21.2%18.1%
HV 60d16.0%13.9%17.1%13.9%17.1%
IV Rank59.7%33.3%91.7%91.7%87.9%
IV Percentile67.7%22.2%98.4%98.4%96.8%
Term Structure1.2%-2.2%3.2%-2.2%-0.0%
VWIV17.1%11.3%23.4%23.4%19.7%
Skew 25d5.8%3.0%9.3%6.8%6.7%
Skew 10d11.5%6.3%19.1%11.7%12.0%
Call IV 25d14.5%10.9%19.2%19.2%17.7%
Put IV 25d20.3%15.3%26.9%25.9%24.5%
Bid-Ask Spread %11.426.5224.6512.8411.19
Gamma HHI0.300.210.430.340.21
Net GEX-11.5M-18.3M-7.0M-13.1M-9.5M
Net DEX130.1M24.3M220.3M162.4M203.1M
Net VEX-1.9M-2.1M-1.9M-2.0M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.250.0120.701.025.56
Total Volume16,276.091362158,3956,96413,422
Total OI405,815.136358,204473,208403,001369,629

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$26.29$26.0022.4%6.4%21.2%91.7%23.4%6.8%-2.2%-13.1M162.4M-2.0M1.0212.843,4413,523149,901253,100
2010-06-02$26.74$26.0016.9%4.9%22.1%60.9%19.9%7.7%-0.7%-11.0M93.2M-2.0M0.9613.071,2061,158148,384251,005
2010-06-03$26.78$26.0016.7%4.8%22.1%59.7%16.2%3.0%-0.7%-11.6M82.1M-2.0M0.819.614,9073,960149,267251,569
2010-06-04$26.07$26.0022.4%5.8%22.3%91.7%20.2%9.1%0.1%-13.8M193.2M-2.0M9.9013.739028,931151,788251,697
2010-06-07$25.87$26.0022.3%5.8%22.3%90.9%19.1%9.3%0.3%-14.6M220.3M-1.9M5.9812.0559353151,646248,247
2010-06-08$26.29$26.0020.8%5.5%20.4%82.4%19.1%7.0%0.9%-17.4M168.2M-1.9M1.048.779,1589,480151,496248,222
2010-06-09$26.24$26.0020.8%5.2%20.4%82.9%18.2%7.0%1.6%-15.3M170.2M-1.9M6.6810.058,46056,547160,365257,150
2010-06-10$26.69$26.0013.9%4.0%21.3%43.7%16.8%4.9%2.7%-18.3M116.8M-2.1M0.6317.369,9056,236162,086300,742
2010-06-11$26.47$26.0016.9%4.8%21.4%60.8%16.9%6.2%1.8%-16.2M136.9M-2.1M1.9124.658111,545167,473286,401
2010-06-14$26.62$26.0013.4%3.8%21.4%41.1%15.7%4.7%2.7%-15.6M110.8M-2.0M5.4010.221,1216,053168,121284,030
2010-06-15$26.89$26.0012.6%3.6%21.3%36.8%15.5%4.2%3.2%-13.3M32.8M-1.9M0.406.52845342168,440288,830
2010-06-16$26.71$26.0012.7%3.6%21.3%37.2%14.4%6.1%2.8%-12.1M93.7M-2.0M5.818.93106616168,840288,610
2010-06-17$26.95$26.0012.1%3.5%21.6%33.7%11.3%3.8%3.2%-7.3M24.3M-1.9M0.0112.74156,8761,519169,405303,803
2010-06-18$26.66$26.0012.0%3.4%19.1%33.3%13.1%4.5%2.7%-8.2M115.7M-2.0M1.058.199,66710,123155,672303,016
2010-06-21$26.59$26.0012.4%3.6%19.1%35.7%13.5%4.1%1.4%-7.0M89.4M-2.0M0.428.55642272133,527226,230
2010-06-22$26.30$26.0016.2%4.6%19.3%56.6%13.8%5.3%0.6%-7.6M117.6M-2.0M6.9311.282161,497133,739226,373
2010-06-23$26.47$26.0015.8%4.5%19.0%54.4%19.5%4.7%1.1%-7.4M101.3M-2.0M6.4910.5270454133,737224,467
2010-06-24$26.15$26.0016.5%4.7%19.3%58.7%15.0%5.3%1.3%-8.0M133.0M-1.9M20.709.511853,829133,792224,883
2010-06-25$25.88$26.0015.5%4.5%18.2%53.0%15.5%5.1%1.8%-9.1M169.6M-1.9M6.7010.3380536133,796227,095
2010-06-28$26.10$26.0015.6%4.5%18.4%53.5%15.6%4.6%1.8%-8.9M146.1M-1.9M1.819.27129233133,791227,496
2010-06-29$25.68$26.0017.9%5.1%19.3%66.2%22.8%6.7%0.7%-8.7M181.8M-1.9M3.2011.874,44614,213133,609226,463
2010-06-30$25.50$26.0021.7%6.2%18.1%87.9%19.7%6.7%-0.0%-9.5M203.1M-1.9M5.5611.192,04511,377137,971231,658