XLP Options History — January 2011

In January 2011, XLP traded between $28.88 and $29.64. ATM implied volatility averaged 10.8%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 5.1% (HV 20d: 5.7%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.75.

Notable Days

  • 2011-01-03: Highest Volume — 25,683 contracts
  • 2011-01-27: Largest IV spike — 31.9% change
  • 2011-01-31: Highest IV Rank — 34.1%
  • 2011-01-31: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.28$28.88$29.64$29.35$28.88
Max Pain$29.10$29.00$30.00$29.00$30.00
ATM IV10.8%8.1%12.2%11.5%12.2%
Expected Move3.2%2.3%3.5%3.3%3.5%
HV 20d5.7%4.8%7.0%5.9%7.0%
HV 60d8.5%8.2%8.9%8.8%8.6%
IV Rank26.2%11.4%34.1%30.1%34.1%
IV Percentile19.6%0.4%41.3%28.6%41.3%
Term Structure1.1%0.2%1.9%1.4%0.2%
VWIV11.0%8.2%15.1%9.7%15.1%
Skew 25d3.6%2.5%6.2%2.8%5.8%
Skew 10d7.4%5.4%11.6%7.0%11.6%
Call IV 25d9.4%7.8%10.7%9.9%9.3%
Put IV 25d12.9%11.2%15.2%12.8%15.2%
Bid-Ask Spread %48.8620.9488.6121.6036.42
Gamma HHI0.190.160.260.220.18
Net GEX5.2M889.5K7.9M6.8M889.5K
Net DEX-81.5M-102.4M-22.6M-95.9M-22.6M
Net VEX-1.1M-1.2M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.750.0223.370.110.64
Total Volume5,707.4551625,68325,6831,242
Total OI366,073.65230,281429,209393,283250,342

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$29.35$29.0011.5%3.3%5.9%30.1%9.7%2.8%1.4%6.8M-95.9M-1.0M0.1121.6023,1152,568162,516230,767
2011-01-04$29.27$29.0011.8%3.4%5.9%32.1%11.9%4.1%1.1%4.6M-86.4M-1.1M1.9120.941,5893,027182,632232,693
2011-01-05$29.28$29.0011.7%3.4%5.6%31.5%11.0%3.3%1.0%6.8M-95.9M-1.2M0.2046.61817166183,216232,915
2011-01-06$29.18$29.0011.6%3.3%5.7%30.8%11.8%4.0%1.0%5.0M-86.2M-1.2M0.6833.80379257183,908232,978
2011-01-07$29.03$29.0010.6%3.5%5.9%25.5%12.3%3.6%1.2%2.9M-73.2M-1.2M3.0571.061,9465,931183,980232,986
2011-01-10$29.05$29.0010.7%3.5%5.9%25.7%13.3%3.3%1.1%3.6M-72.4M-1.2M23.3784.593147,337185,492236,442
2011-01-11$29.03$29.009.9%3.3%5.9%21.5%12.4%3.3%1.2%3.3M-66.5M-1.1M9.4952.374564,329185,501239,115
2011-01-12$29.27$29.009.9%3.2%6.4%21.2%11.3%3.1%1.2%7.2M-92.6M-1.1M3.4088.613031,030185,506236,480
2011-01-13$29.33$29.0011.2%3.2%6.4%28.7%11.4%3.0%1.4%7.9M-99.8M-1.1M4.9375.5987429185,521237,009
2011-01-14$29.33$29.0010.9%3.1%5.5%27.3%10.9%3.1%1.1%7.2M-94.1M-1.1M0.6385.002,0771,300185,589237,282
2011-01-18$29.35$29.0011.1%3.2%4.9%28.1%10.7%3.0%1.2%6.9M-94.1M-1.1M2.0130.761,2902,591185,116238,063
2011-01-19$29.29$29.0011.3%3.3%4.9%29.5%11.3%3.3%0.9%7.0M-95.6M-1.1M14.7769.744356,423185,724238,235
2011-01-20$29.44$29.0011.3%3.2%5.2%29.1%9.8%2.5%0.7%5.4M-100.9M-1.1M0.3141.07452138185,756243,453
2011-01-21$29.49$29.0011.6%3.3%5.0%30.8%9.8%3.4%1.0%4.8M-102.4M-1.1M0.0228.705,542103185,133243,821
2011-01-24$29.54$29.008.8%2.5%5.0%15.3%10.8%3.1%1.9%5.5M-84.2M-1.0M1.3921.28444615131,69298,589
2011-01-25$29.64$29.008.1%2.3%4.8%11.4%8.2%3.4%1.8%5.9M-86.5M-1.1M0.1730.475,526913131,85498,929
2011-01-26$29.56$29.008.3%2.4%4.8%12.6%9.5%3.0%1.7%6.9M-86.5M-1.1M1.9041.704,9959,477135,67199,616
2011-01-27$29.26$29.0011.0%3.2%6.1%27.6%8.4%3.8%1.0%3.9M-64.1M-1.1M1.6464.103,2885,380137,624108,088
2011-01-28$28.98$30.0011.7%3.4%7.0%31.5%11.0%6.2%0.3%1.7M-30.6M-1.2M4.4132.821,4486,390139,304111,935
2011-01-31$28.88$30.0012.2%3.5%7.0%34.1%15.1%5.8%0.2%889.5K-22.6M-1.1M0.6436.42758484140,276110,066