XLP Options History — October 2010

In October 2010, XLP traded between $27.85 and $28.88. ATM implied volatility averaged 12.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.0% (HV 20d: 9.1%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 45.91.

Notable Days

  • 2010-10-13: Highest Volume — 36,863 contracts
  • 2010-10-12: Largest IV spike — 44.7% change
  • 2010-10-12: Highest IV Rank — 58.9%
  • 2010-10-05: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.45$27.85$28.88$27.93$28.77
Max Pain$27.95$27.00$28.00$27.00$28.00
ATM IV12.1%10.8%16.6%12.0%12.2%
Expected Move3.5%3.1%4.0%3.4%3.5%
HV 20d9.1%8.0%9.9%9.3%8.3%
HV 60d10.7%9.9%11.5%11.3%9.9%
IV Rank33.5%26.8%58.9%33.0%34.1%
IV Percentile31.7%15.5%86.9%27.4%33.7%
Term Structure1.8%1.5%2.3%1.5%1.6%
VWIV12.7%11.5%15.5%12.0%12.1%
Skew 25d3.6%0.3%4.8%0.3%3.9%
Skew 10d8.8%2.4%11.7%2.4%8.2%
Call IV 25d10.8%8.5%12.1%9.8%11.0%
Put IV 25d14.4%10.1%16.5%10.1%14.9%
Bid-Ask Spread %63.7721.45108.5821.94100.58
Gamma HHI0.230.140.380.340.15
Net GEX16.7M10.0M22.5M14.0M15.1M
Net DEX-204.1M-265.4M-126.3M-132.5M-245.3M
Net VEX-1.9M-2.0M-1.7M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio45.910.00862.670.380.59
Total Volume8,112.33374136,8634,789741
Total OI469,607.429431,155505,085431,155476,543

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$27.93$27.0012.0%3.4%9.3%33.0%12.0%0.3%1.5%14.0M-132.5M-2.0M0.3821.943,4761,313230,674200,481
2010-10-04$27.85$28.0011.3%3.9%9.2%29.0%15.5%4.5%1.8%15.0M-126.3M-2.0M1.4852.58423625233,848201,607
2010-10-05$28.11$28.0011.7%4.0%9.5%31.6%14.1%4.1%1.8%17.6M-158.8M-1.9M0.8721.458,7727,656233,928201,922
2010-10-06$28.23$28.0011.7%3.9%9.5%31.7%0.0%4.1%2.0%18.4M-166.6M-2.0M0.0021.7425,769117240,677209,275
2010-10-07$28.13$28.0011.7%4.0%9.6%31.6%11.8%3.9%2.0%20.8M-160.6M-2.0M25.6836.681082,773266,385205,775
2010-10-08$28.19$28.0011.1%3.8%9.6%28.1%12.3%3.4%2.2%21.2M-187.7M-2.0M0.3235.21713230266,378208,146
2010-10-11$28.22$28.0011.5%3.9%9.6%30.2%13.3%3.3%1.8%22.5M-183.3M-2.0M0.8223.852,6092,144266,708206,730
2010-10-12$28.29$28.0016.6%3.8%9.6%58.9%0.0%3.0%1.8%19.5M-203.2M-1.9M0.3741.4112,9464,829269,187208,848
2010-10-13$28.53$28.0014.8%3.2%9.7%49.0%12.1%4.8%2.3%20.3M-265.4M-1.8M0.6577.1122,32914,534269,735209,403
2010-10-14$28.54$28.0011.9%3.4%9.7%32.4%12.0%3.3%1.8%20.4M-254.1M-2.0M0.8167.241,169946288,572215,451
2010-10-15$28.61$28.0011.3%3.2%8.8%29.1%13.1%2.9%2.3%21.4M-259.0M-2.0M3.8977.684571,777289,202215,883
2010-10-18$28.71$28.0010.8%3.1%8.2%26.8%11.5%4.2%1.8%15.1M-237.0M-1.8M2.5371.742,8147,122259,865203,400
2010-10-19$28.36$28.0013.7%3.9%9.5%42.8%13.6%4.2%1.6%10.0M-160.7M-2.0M0.8758.953,3422,900261,519207,779
2010-10-20$28.61$28.0011.3%3.2%9.9%29.2%11.6%4.5%1.9%11.5M-202.8M-1.9M2.28108.585,03011,462264,707210,400
2010-10-21$28.71$28.0011.2%3.2%9.4%28.5%11.7%4.4%1.7%15.7M-240.8M-1.8M10.98103.272743,008265,221204,999
2010-10-22$28.81$28.0011.1%3.2%8.5%28.2%13.1%4.4%1.6%17.0M-258.9M-1.8M862.67104.0032,588265,343207,903
2010-10-25$28.88$28.0011.7%3.3%8.0%31.4%13.6%2.4%1.6%15.1M-231.5M-1.8M9.5093.423963,763265,346208,184
2010-10-26$28.72$28.0011.9%3.4%8.2%32.7%13.6%3.2%1.6%13.6M-210.7M-1.9M0.4392.542,132917265,534208,104
2010-10-27$28.57$28.0012.0%3.4%8.4%33.3%12.0%3.6%1.5%12.2M-194.5M-1.9M36.7559.50401,470265,592208,522
2010-10-28$28.67$28.0011.8%3.4%8.3%32.1%11.8%3.4%1.6%13.5M-206.1M-1.8M2.1769.792,0964,546265,614208,366
2010-10-29$28.77$28.0012.2%3.5%8.3%34.1%12.1%3.9%1.6%15.1M-245.3M-1.7M0.59100.58467274263,729212,814