XLP Options History — July 2010

In July 2010, XLP traded between $25.45 and $27.39. ATM implied volatility averaged 14.4%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.1% (HV 20d: 15.5%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.48.

Notable Days

  • 2010-07-29: Highest Volume — 40,786 contracts
  • 2010-07-15: Largest IV spike — 18.0% change
  • 2010-07-02: Highest IV Rank — 70.7%
  • 2010-07-02: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.63$25.45$27.39$25.55$26.98
Max Pain$26.19$26.00$27.00$26.00$27.00
ATM IV14.4%12.3%18.7%16.5%13.9%
Expected Move4.3%3.9%5.4%4.7%4.0%
HV 20d15.5%13.4%18.1%18.1%14.0%
HV 60d18.0%17.1%18.5%17.1%18.4%
IV Rank46.9%34.9%70.7%58.5%43.7%
IV Percentile55.7%24.6%92.5%78.6%48.8%
Term Structure1.4%0.6%2.0%2.0%1.8%
VWIV15.7%13.5%20.6%20.6%15.5%
Skew 25d5.4%3.5%7.1%6.0%3.5%
Skew 10d11.2%8.4%14.9%9.9%8.4%
Call IV 25d12.9%11.0%16.9%16.9%13.0%
Put IV 25d18.3%15.6%22.9%22.9%16.5%
Bid-Ask Spread %15.035.3224.1612.0622.69
Gamma HHI0.200.180.220.210.19
Net GEX-6.8M-10.8M-2.7M-9.8M-10.8M
Net DEX75.9M-7.2M206.0M206.0M60.2M
Net VEX-1.9M-1.9M-1.8M-1.9M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.480.0435.583.841.03
Total Volume6,369.95237640,7868854,426
Total OI379,554.619364,531418,167378,597418,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$25.55$26.0016.5%4.7%18.1%58.5%20.6%6.0%2.0%-9.8M206.0M-1.9M3.8412.06183702138,778239,819
2010-07-02$25.45$26.0018.7%5.4%15.7%70.7%19.1%5.6%1.6%-9.7M204.8M-1.9M2.2112.01316699138,835237,608
2010-07-06$25.60$26.0016.1%4.9%15.7%56.0%18.3%7.1%1.3%-10.0M199.6M-1.8M0.1910.954,994940139,049237,914
2010-07-07$26.09$26.0014.8%4.7%16.1%48.8%16.5%6.0%0.9%-7.6M137.1M-1.9M12.1816.353424,164143,502238,628
2010-07-08$26.48$26.0015.0%4.7%17.0%50.3%14.7%6.2%1.1%-5.9M79.9M-1.9M0.577.983,5932,040143,679239,798
2010-07-09$26.48$26.0012.8%4.6%15.8%37.8%18.5%5.9%1.4%-6.1M73.8M-1.9M1.1121.621,0981,216145,635237,796
2010-07-12$26.57$26.0014.3%3.9%15.6%46.2%14.5%5.7%1.2%-5.8M70.3M-1.9M0.1915.763,604697145,651237,864
2010-07-13$26.81$26.0014.5%4.0%15.8%47.1%13.5%5.9%1.6%-4.0M40.4M-1.9M0.0414.791,18853144,313237,381
2010-07-14$26.82$26.0012.3%4.1%15.3%34.9%14.4%5.9%1.4%-3.1M35.5M-1.9M0.6114.247,1504,358144,902237,390
2010-07-15$26.90$26.0014.5%4.2%15.2%47.4%15.3%5.7%1.1%-2.7M13.2M-1.8M0.585.32858494150,685238,703
2010-07-16$26.52$26.0014.0%4.0%15.7%44.2%14.1%6.0%1.5%-7.3M61.8M-1.9M3.4715.749033,131148,730242,154
2010-07-19$26.57$26.0013.5%3.9%15.2%41.5%14.8%7.1%1.9%-8.6M98.5M-1.9M1.1823.28479567132,966231,565
2010-07-20$26.89$26.0013.4%3.9%15.8%41.3%14.1%4.4%1.5%-7.0M61.3M-1.8M1.097.32742807133,275231,822
2010-07-21$26.60$26.0013.7%3.9%15.8%42.7%13.8%5.1%1.4%-7.9M89.4M-1.8M35.5824.1630810,960133,853232,247
2010-07-22$26.90$26.0014.2%4.1%16.1%45.5%14.2%5.1%1.4%-7.0M59.4M-1.8M0.9615.31688660134,037236,344
2010-07-23$27.15$26.0014.3%4.1%15.6%46.1%15.9%4.5%0.6%-5.7M27.2M-1.8M1.717.39139237134,553236,205
2010-07-26$27.29$26.0013.9%4.0%14.9%43.9%13.9%4.5%1.7%-5.9M9.3M-1.8M0.4817.074,8682,353134,636236,345
2010-07-27$27.39$27.0014.0%4.0%14.8%44.2%15.0%4.3%1.7%-5.5M-7.2M-1.8M1.2222.227,7529,471135,495237,417
2010-07-28$27.24$27.0014.5%4.2%13.4%47.2%15.4%4.8%1.3%-6.2M11.8M-1.8M1.3612.952,4593,344139,953242,788
2010-07-29$26.91$27.0014.5%4.1%14.0%47.1%16.9%4.6%1.5%-7.2M61.7M-1.8M3.5316.419,01031,776138,546241,619
2010-07-30$26.98$27.0013.9%4.0%14.0%43.7%15.5%3.5%1.8%-10.8M60.2M-1.9M1.0322.692,1812,245145,069273,098