XLP Options History — August 2010

In August 2010, XLP traded between $26.46 and $27.29. ATM implied volatility averaged 15.3%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.0% (HV 20d: 12.3%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2010-08-18: Highest Volume — 48,285 contracts
  • 2010-08-30: Largest IV spike — 26.9% change
  • 2010-08-31: Highest IV Rank — 67.9%
  • 2010-08-31: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.87$26.46$27.29$27.29$26.48
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV15.3%13.5%18.2%14.5%18.2%
Expected Move4.5%4.1%5.2%4.2%5.2%
HV 20d12.3%10.1%14.8%14.1%10.1%
HV 60d16.0%13.8%17.9%17.8%13.8%
IV Rank51.8%41.6%67.9%47.1%67.9%
IV Percentile71.5%44.4%92.5%62.7%92.5%
Term Structure1.1%-1.3%2.5%1.1%-1.3%
VWIV16.4%12.0%20.3%12.0%20.3%
Skew 25d4.8%3.8%6.5%3.9%4.5%
Skew 10d10.5%7.6%13.5%7.6%11.1%
Call IV 25d13.6%12.2%14.8%12.2%14.8%
Put IV 25d18.4%16.1%20.1%16.1%19.3%
Bid-Ask Spread %18.7512.1444.5314.3537.38
Gamma HHI0.230.190.290.200.29
Net GEX-12.2M-16.7M-7.6M-8.4M-16.3M
Net DEX78.3M10.9M133.6M24.6M125.0M
Net VEX-2.0M-2.1M-1.8M-1.9M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.1124.162.720.79
Total Volume10,549.40918648,2855,33930,715
Total OI459,171.818422,283486,578422,283486,377

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$27.29$27.0014.5%4.2%14.1%47.1%12.0%3.9%1.1%-8.4M24.6M-1.9M2.7214.351,4373,902147,026275,257
2010-08-03$27.05$27.0014.6%4.2%14.8%47.6%18.0%3.9%1.0%-10.0M56.3M-1.9M5.2212.1472376148,243278,911
2010-08-04$27.15$27.0014.5%4.1%13.5%47.0%14.8%4.0%1.6%-9.6M46.6M-1.9M0.2016.864,9811,007148,191279,159
2010-08-05$27.03$27.0014.3%4.1%12.7%45.9%14.3%4.7%1.6%-9.6M57.2M-1.9M0.8044.533,3402,660152,307278,930
2010-08-06$27.09$27.0013.5%4.4%12.7%41.6%17.8%4.5%1.6%-9.1M41.6M-1.9M2.9014.763,72210,789155,182281,040
2010-08-09$27.23$27.0013.9%4.4%12.8%43.8%16.0%4.6%1.4%-7.6M23.8M-1.9M0.4914.69842414158,760286,487
2010-08-10$27.29$27.0013.9%4.3%12.5%43.7%13.5%4.4%1.4%-7.6M10.9M-1.8M1.7616.063,0245,319157,241287,879
2010-08-11$26.84$27.0014.9%4.6%13.9%49.3%17.7%4.6%1.5%-12.3M92.3M-1.9M1.3534.482,0122,726157,763292,508
2010-08-12$26.81$27.0016.1%4.6%13.9%56.3%18.3%5.3%1.5%-12.5M92.5M-1.9M1.2520.476,5628,178159,512295,078
2010-08-13$26.80$27.0016.1%4.6%12.9%56.4%15.7%5.2%2.0%-12.9M97.7M-2.0M1.0019.4712,30512,359162,262302,582
2010-08-16$26.77$27.0015.9%4.6%12.9%55.0%16.0%5.1%2.2%-13.6M103.5M-2.1M0.1117.071,793206174,411312,165
2010-08-17$27.03$27.0015.5%4.4%12.6%52.8%17.8%4.3%2.1%-10.7M54.8M-2.1M0.6414.433,6812,345172,247304,235
2010-08-18$27.05$27.0015.8%4.5%11.9%54.7%17.8%3.9%1.6%-10.4M48.8M-2.1M2.9815.3112,14536,140174,269304,236
2010-08-19$26.73$27.0016.1%4.6%12.1%56.5%16.6%5.1%1.9%-12.5M97.3M-2.0M2.2415.491,6673,733170,973295,680
2010-08-20$26.73$27.0015.4%4.4%11.6%52.5%16.7%4.6%2.5%-13.2M102.4M-2.0M1.7412.4968118170,979295,589
2010-08-23$26.79$27.0014.6%4.2%11.4%47.7%15.1%3.8%0.3%-14.2M86.8M-2.0M4.6614.561,6857,850163,754290,760
2010-08-24$26.66$27.0015.9%4.6%11.3%55.1%15.1%6.5%0.2%-14.8M111.3M-2.0M0.2615.929,6412,467165,086296,654
2010-08-25$26.72$27.0015.3%4.4%11.3%51.5%16.4%6.3%0.1%-14.7M95.2M-2.0M0.7518.2610,2927,733172,505296,935
2010-08-26$26.52$27.0015.8%4.5%10.8%54.6%17.4%6.1%0.1%-14.8M124.1M-2.1M4.8214.154582,206182,742303,836
2010-08-27$26.69$27.0014.2%4.1%11.0%45.8%18.5%5.0%0.6%-15.8M96.3M-2.0M0.7712.804,8213,730178,111299,795
2010-08-30$26.46$27.0018.1%5.2%10.4%67.4%15.4%5.2%-1.1%-16.7M133.6M-2.0M24.1616.941022,464182,875303,248
2010-08-31$26.48$27.0018.2%5.2%10.1%67.9%20.3%4.5%-1.3%-16.3M125.0M-2.0M0.7937.3817,13413,581182,951303,426