XLP Options History — May 2011

In May 2011, XLP traded between $31.44 and $32.42. ATM implied volatility averaged 11.2%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.9% (HV 20d: 7.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-05-27: Highest Volume — 42,583 contracts
  • 2011-05-09: Largest IV drop — 43.4% change
  • 2011-05-31: Highest IV Rank — 36.2%
  • 2011-05-06: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.92$31.44$32.42$31.54$32.31
Max Pain$30.48$30.00$31.00$30.00$31.00
ATM IV11.2%7.2%12.8%8.7%12.7%
Expected Move3.3%2.5%3.9%2.5%3.6%
HV 20d7.3%6.5%8.1%6.5%8.1%
HV 60d8.4%8.1%8.6%8.5%8.2%
IV Rank24.3%0.0%36.2%8.4%36.2%
IV Percentile38.8%0.0%60.7%5.2%60.7%
Term Structure1.1%-1.4%2.6%0.9%-1.4%
VWIV12.5%9.4%15.4%10.2%13.1%
Skew 25d3.6%2.2%5.1%2.9%3.4%
Skew 10d8.6%6.5%10.6%7.7%8.5%
Call IV 25d10.5%9.1%11.8%9.2%11.3%
Put IV 25d14.1%12.2%15.6%12.2%14.7%
Bid-Ask Spread %16.196.8450.9913.186.84
Gamma HHI0.180.140.230.230.15
Net GEX8.2M3.3M12.9M9.1M7.3M
Net DEX-184.7M-244.3M-122.4M-158.0M-189.5M
Net VEX-1.7M-2.0M-1.4M-1.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.115.560.151.49
Total Volume12,535.8571,26042,5836,18710,673
Total OI366,832.81316,423449,268316,423449,268

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$31.54$30.008.7%2.5%6.5%8.4%10.2%2.9%0.9%9.1M-158.0M-1.4M0.1513.185,400787167,681148,742
2011-05-03$31.64$30.009.2%2.6%6.5%11.7%9.4%3.2%1.1%9.8M-171.8M-1.5M0.3937.112,322901171,211149,289
2011-05-04$31.60$30.009.5%2.7%6.6%13.5%10.1%3.4%1.1%10.2M-174.0M-1.5M0.7612.621,033785173,108149,801
2011-05-05$31.48$30.0011.8%3.4%6.9%27.0%10.7%2.2%2.4%9.7M-155.9M-1.4M0.9550.991,6981,613173,074150,138
2011-05-06$31.44$30.0012.8%3.9%7.0%33.1%12.2%5.1%0.6%8.9M-148.1M-1.5M0.9127.221,012920171,979151,386
2011-05-09$31.55$30.007.2%3.1%6.8%0.0%14.1%4.5%2.6%10.6M-168.7M-1.5M5.568.191921,068172,718151,680
2011-05-10$31.77$30.007.6%3.0%6.8%2.0%13.3%4.2%2.4%11.9M-186.9M-1.4M0.458.447,8553,565172,746151,988
2011-05-11$31.68$30.008.4%3.2%7.0%7.0%13.5%3.4%2.1%12.6M-188.8M-1.5M0.1111.6921,8662,344179,638154,761
2011-05-12$32.10$30.0011.0%3.2%8.1%22.6%11.7%4.5%2.5%12.9M-225.8M-1.6M0.948.987,8737,399200,901156,699
2011-05-13$32.06$30.0011.4%3.3%8.0%24.8%11.4%3.6%2.2%10.3M-228.2M-1.6M0.4323.1014,9586,502197,915163,173
2011-05-16$32.08$30.0012.4%3.6%7.9%31.4%13.3%4.1%1.4%9.2M-224.3M-1.7M0.9426.216,8156,381207,410169,102
2011-05-17$32.19$31.0012.8%3.7%7.0%33.7%13.2%4.4%1.3%7.9M-229.5M-1.8M5.4830.932,55714,018210,569175,213
2011-05-18$32.24$31.0012.5%3.6%7.0%31.9%12.1%3.6%1.3%3.6M-220.9M-1.8M1.0014.89743745210,740188,663
2011-05-19$32.42$31.0012.4%3.6%6.9%31.1%12.4%3.0%1.0%6.1M-244.3M-1.8M0.919.085,2594,782210,374186,438
2011-05-20$32.32$31.0012.5%3.6%7.1%31.4%14.2%3.8%1.3%5.8M-236.8M-1.8M2.989.782,0546,128213,086189,067
2011-05-23$32.06$31.0012.8%3.7%7.8%33.6%15.4%3.2%-0.4%6.3M-164.1M-1.8M0.229.7623,5445,122199,968172,430
2011-05-24$32.02$31.0012.4%3.6%7.8%31.0%12.7%3.4%0.2%6.8M-164.9M-1.8M0.736.936,0674,421221,433176,283
2011-05-25$31.85$31.0012.5%3.6%7.7%34.7%12.4%3.5%0.1%5.7M-128.5M-1.8M0.328.4319,2566,090222,389179,875
2011-05-26$31.93$31.0012.4%3.6%7.5%34.1%14.1%3.1%-0.1%3.3M-122.4M-1.8M0.497.483,9641,958219,188184,939
2011-05-27$32.00$31.0012.1%3.5%7.5%32.2%13.2%3.0%-0.2%3.8M-147.7M-1.8M1.158.1119,80522,778222,196186,230
2011-05-31$32.31$31.0012.7%3.6%8.1%36.2%13.1%3.4%-1.4%7.3M-189.5M-2.0M1.496.844,2956,378241,356207,912