XLP Options History — September 2010

In September 2010, XLP traded between $26.95 and $28.06. ATM implied volatility averaged 11.7%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 0.7% (HV 20d: 11.0%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.35.

Notable Days

  • 2010-09-16: Highest Volume — 174,922 contracts
  • 2010-09-10: Largest IV drop — 27.9% change
  • 2010-09-01: Highest IV Rank — 46.9%
  • 2010-09-01: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.62$26.95$28.06$26.95$27.88
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV11.7%9.0%14.4%14.4%11.5%
Expected Move3.4%2.6%4.1%4.1%3.3%
HV 20d11.0%9.5%12.3%12.0%9.5%
HV 60d12.8%11.7%13.9%13.8%11.7%
IV Rank31.5%16.4%46.9%46.9%30.3%
IV Percentile25.6%2.8%61.9%61.9%25.0%
Term Structure2.2%-0.4%3.6%-0.2%2.0%
VWIV12.8%10.9%15.5%15.1%12.4%
Skew 25d4.6%3.0%6.4%5.8%3.5%
Skew 10d10.0%7.6%19.8%19.8%8.7%
Call IV 25d9.9%7.5%11.9%11.2%9.7%
Put IV 25d14.5%13.2%17.0%17.0%13.2%
Bid-Ask Spread %18.1612.2927.9919.4526.94
Gamma HHI0.350.210.540.300.34
Net GEX4.6M-10.3M17.5M-10.3M13.7M
Net DEX-91.4M-175.0M34.4M34.4M-125.6M
Net VEX-2.0M-2.1M-1.9M-2.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.0013.975.127.63
Total Volume14,742.85771174,9221,0953,477
Total OI466,073.476378,706543,054510,673432,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$26.95$27.0014.4%4.1%12.0%46.9%15.1%5.8%-0.2%-10.3M34.4M-2.1M5.1219.45179916196,569314,104
2010-09-02$27.12$27.0014.1%4.0%12.1%44.9%14.9%6.4%-0.4%-8.8M3.9M-2.1M1.5818.28540854195,143314,523
2010-09-03$27.29$27.0012.8%3.8%12.3%37.8%0.0%3.8%2.7%-7.5M-38.6M-2.0M0.1018.372,327224195,053314,763
2010-09-07$27.18$27.0014.4%3.9%12.2%46.7%0.0%4.0%2.4%-10.1M-29.1M-2.0M0.4517.444922196,899314,756
2010-09-08$27.30$27.0012.2%3.9%12.3%34.3%13.8%4.1%2.5%-2.8M-55.4M-1.9M1.0617.553,9024,121196,938314,753
2010-09-09$27.39$27.0013.3%3.8%10.7%40.7%12.7%3.9%2.6%-980.6K-67.2M-1.9M0.8423.903,1122,605200,385317,702
2010-09-10$27.52$27.009.6%2.8%10.7%19.8%13.1%3.8%3.6%3.4M-106.4M-1.9M3.1818.95262832203,352315,904
2010-09-13$27.55$27.0010.4%3.0%10.7%24.3%10.9%3.5%3.1%1.1M-89.0M-1.9M0.0015.7820,64178203,507316,097
2010-09-14$27.60$27.0010.5%3.0%10.7%24.9%11.4%3.0%2.8%9.8M-123.7M-2.0M0.3917.003,2241,272221,285316,099
2010-09-15$27.79$27.0011.0%3.1%10.4%27.4%11.4%4.4%2.5%17.5M-159.0M-1.9M0.2112.6711,0002,346223,165316,305
2010-09-16$27.82$27.0010.7%3.1%10.4%25.8%15.5%3.9%3.2%10.8M-175.0M-1.9M0.0114.39172,3612,561224,523318,531
2010-09-17$27.55$27.009.0%2.6%10.1%16.4%14.0%5.2%3.3%5.4M-66.0M-2.0M13.9722.836178,621200,688321,052
2010-09-20$27.85$27.0010.8%3.1%10.6%26.5%10.9%4.8%1.9%8.5M-113.5M-1.9M0.0512.293,187147181,021197,685
2010-09-21$27.80$27.0011.3%3.2%10.7%29.0%12.6%5.0%1.7%8.6M-110.0M-2.0M11.1514.333123,478183,728199,749
2010-09-22$27.85$27.0011.1%3.2%10.4%28.1%11.3%5.1%2.0%8.6M-98.4M-2.0M2.2314.988241,841182,395201,066
2010-09-23$27.67$27.0011.9%3.4%10.8%32.4%15.2%4.8%1.7%6.9M-86.6M-2.0M0.6117.54732445182,766200,883
2010-09-24$28.04$27.0011.5%3.3%11.0%30.1%12.1%5.5%1.9%9.8M-136.1M-2.0M0.0117.748,05072183,436202,398
2010-09-27$27.88$27.0012.0%3.5%11.3%33.4%12.0%5.9%1.5%9.7M-108.3M-2.0M0.0114.904,13631191,412202,401
2010-09-28$28.06$27.0011.7%3.3%10.6%31.3%11.8%6.2%2.2%11.4M-137.9M-2.0M0.7218.012,2981,648192,934202,422
2010-09-29$27.98$27.0011.3%3.2%10.8%29.4%11.6%4.3%2.4%12.4M-131.3M-2.0M0.0127.9935,858398195,125203,425
2010-09-30$27.88$27.0011.5%3.3%9.5%30.3%12.4%3.5%2.0%13.7M-125.6M-2.0M7.6326.944033,074230,348202,253