XLP Options History — December 2010

In December 2010, XLP traded between $28.74 and $29.57. ATM implied volatility averaged 12.2%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.5% (HV 20d: 9.7%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 4.74.

Notable Days

  • 2010-12-16: Highest Volume — 436,394 contracts
  • 2010-12-16: Largest IV spike — 66.4% change
  • 2010-12-16: Highest IV Rank — 66.5%
  • 2010-12-16: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.18$28.74$29.57$28.78$29.31
Max Pain$28.05$27.00$29.00$28.00$29.00
ATM IV12.2%10.1%17.9%14.1%11.6%
Expected Move3.3%3.0%5.1%4.0%3.3%
HV 20d9.7%5.9%11.9%11.9%5.9%
HV 60d9.4%8.9%9.9%9.9%8.9%
IV Rank34.5%22.5%66.5%44.9%31.0%
IV Percentile35.2%5.6%91.7%61.5%29.8%
Term Structure1.9%-0.7%7.6%-0.7%1.3%
VWIV12.3%7.7%17.6%14.7%11.5%
Skew 25d3.3%1.6%8.6%2.9%3.9%
Skew 10d9.0%3.5%48.3%7.1%8.2%
Call IV 25d10.0%5.6%13.1%13.1%9.4%
Put IV 25d13.3%11.5%16.0%16.0%13.4%
Bid-Ask Spread %71.284.38123.9888.714.38
Gamma HHI0.210.170.310.170.19
Net GEX13.6M2.8M24.1M14.2M7.7M
Net DEX-218.5M-385.9M-31.9M-263.4M-91.7M
Net VEX-1.0M-1.3M-829.4K-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.740.0317.824.852.90
Total Volume25,984.5451,031436,3943,0785,499
Total OI445,863.864378,900516,064473,421391,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$28.78$28.0014.1%4.0%11.9%44.9%14.7%2.9%-0.7%14.2M-263.4M-1.3M4.8588.715262,552252,122221,299
2010-12-02$28.80$28.0013.2%3.8%11.9%39.8%16.4%4.0%-0.6%14.1M-273.3M-1.2M7.6183.032021,537252,641223,781
2010-12-03$28.81$28.0012.7%3.6%11.0%36.9%12.4%3.5%-0.6%14.2M-283.9M-1.1M3.5290.609553,365252,822224,432
2010-12-06$28.74$27.0013.2%3.3%10.9%40.2%13.1%2.6%1.7%17.6M-285.2M-1.0M3.12100.271,1053,451253,494226,695
2010-12-07$28.90$27.0012.9%3.3%11.1%38.3%13.6%2.7%2.6%18.6M-307.6M-1.0M13.4244.807329,822254,544229,649
2010-12-08$29.01$27.0010.1%3.1%11.0%22.5%11.7%1.7%2.0%22.0M-321.5M-1.0M3.1667.561,2203,860255,244239,291
2010-12-09$29.09$27.0012.4%3.1%11.0%35.7%12.8%1.9%2.5%21.6M-345.7M-956.3K2.51107.781,4893,733255,199237,797
2010-12-10$29.14$27.0012.8%3.1%11.0%38.0%10.7%1.6%2.1%23.4M-348.3M-948.8K7.4294.369276,878256,543240,850
2010-12-13$29.14$27.0014.8%3.1%10.8%48.7%10.7%1.9%2.4%24.1M-352.9M-943.0K0.36107.317,0762,540257,310245,932
2010-12-14$29.28$27.0014.4%3.1%10.9%46.7%7.7%6.7%5.4%20.8M-372.0M-1.0M8.5197.221,1079,422261,458242,503
2010-12-15$29.31$27.0010.8%3.1%9.9%26.3%13.8%3.1%3.3%21.1M-367.4M-925.2K17.82104.6864311,457259,953251,030
2010-12-16$29.57$27.0017.9%5.1%10.2%66.5%17.6%8.6%7.6%14.9M-385.9M-829.4K0.03123.98424,91311,481255,549260,515
2010-12-17$29.36$29.0010.6%3.0%9.8%25.4%11.0%2.9%2.3%2.8M-31.9M-1.0M0.3623.2718,2006,544155,083270,186
2010-12-20$29.33$29.0010.4%3.0%9.8%24.1%10.2%2.7%1.3%8.4M-96.3M-1.0M3.7193.231,3765,107159,184219,716
2010-12-21$29.26$29.0010.5%3.0%9.9%24.8%10.3%3.3%1.1%5.4M-84.7M-1.0M1.5343.018781,347160,164219,795
2010-12-22$29.39$29.0010.5%3.0%8.8%24.8%10.3%2.9%1.2%8.6M-101.9M-1.0M5.1094.788524,349160,565218,618
2010-12-23$29.40$29.0010.6%3.0%8.5%25.6%8.9%3.1%1.7%9.2M-107.0M-1.1M0.0694.043,041168161,074220,681
2010-12-27$29.26$29.0012.0%3.4%8.3%33.0%16.4%3.7%1.0%6.9M-94.4M-1.1M11.7725.616167,251163,969222,338
2010-12-28$29.34$29.0011.4%3.3%8.2%29.8%12.2%3.3%1.3%6.9M-96.9M-1.1M0.4628.421,129518164,340227,555
2010-12-29$29.35$29.0011.2%3.2%7.9%28.6%13.2%2.7%1.3%9.0M-98.5M-1.0M5.7427.16153878164,286227,626
2010-12-30$29.30$29.0011.0%3.2%5.9%27.6%10.7%2.9%1.6%8.4M-97.6M-1.1M0.3623.922,029732164,343227,293
2010-12-31$29.31$29.0011.6%3.3%5.9%31.0%11.5%3.9%1.3%7.7M-91.7M-1.1M2.904.381,4104,089163,550227,986