XLP Options History — June 2011

In June 2011, XLP traded between $30.58 and $31.93. ATM implied volatility averaged 13.3%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.0% (HV 20d: 11.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.38.

Notable Days

  • 2011-06-16: Highest Volume — 284,572 contracts
  • 2011-06-03: Largest IV spike — 16.3% change
  • 2011-06-03: Highest IV Rank — 56.4%
  • 2011-06-16: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.13$30.58$31.93$31.93$31.23
Max Pain$31.86$31.00$32.00$31.00$31.00
ATM IV13.3%11.9%15.8%13.3%12.3%
Expected Move3.7%3.4%4.0%3.8%3.5%
HV 20d11.3%9.3%12.7%9.3%11.8%
HV 60d9.1%8.6%9.8%8.6%9.8%
IV Rank41.7%32.4%56.4%40.2%44.2%
IV Percentile66.2%50.0%88.5%67.1%54.8%
Term Structure0.8%-1.2%1.8%-1.2%0.6%
VWIV13.1%11.1%16.5%16.5%12.3%
Skew 25d3.6%2.3%5.4%2.3%3.6%
Skew 10d8.3%5.3%12.7%6.5%5.3%
Call IV 25d11.8%10.2%13.4%13.0%10.3%
Put IV 25d15.3%14.0%17.2%15.3%14.0%
Bid-Ask Spread %16.758.1044.868.8942.48
Gamma HHI0.180.120.290.160.23
Net GEX139.3K-13.5M15.1M5.7M-8.8M
Net DEX15.3M-140.0M86.6M-140.0M12.4M
Net VEX-1.9M-2.1M-1.8M-2.0M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0027.341.160.05
Total Volume23,184.682624284,5723,4039,536
Total OI438,131.227365,694490,779449,212412,529

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$31.93$31.0013.3%3.8%9.3%40.2%16.5%2.3%-1.2%5.7M-140.0M-2.0M1.168.891,5761,827241,672207,540
2011-06-02$31.59$31.0013.6%3.9%10.1%41.8%14.3%4.4%-0.9%4.3M-65.7M-2.0M27.349.3896526,382242,098208,905
2011-06-03$31.31$32.0015.8%3.9%10.5%56.4%14.7%3.8%0.8%2.1M-9.6M-2.1M1.0730.613,8984,173242,589222,396
2011-06-06$31.15$32.0015.1%3.8%10.6%52.3%12.7%3.8%0.9%5.4M23.0M-1.9M0.298.911,281373245,629220,889
2011-06-07$31.22$32.0014.4%3.6%10.6%49.2%12.4%3.0%1.3%5.2M18.6M-1.9M0.3210.7412,4293,998246,241221,115
2011-06-08$31.07$32.0014.3%3.6%10.3%49.1%11.4%3.6%1.6%4.6M23.4M-1.9M0.7210.691,070767257,146221,605
2011-06-09$31.27$32.0012.2%3.5%10.6%34.4%12.5%3.2%1.4%5.0M-3.5M-1.9M5.099.191,3176,702257,582221,868
2011-06-10$30.84$32.0011.9%3.4%10.3%32.4%11.1%3.2%1.4%3.6M65.1M-1.9M0.9136.762,2432,050257,857227,644
2011-06-13$31.00$32.0012.4%3.6%10.6%35.7%14.5%3.7%1.4%7.8M31.9M-1.8M4.1512.394231,756259,920224,137
2011-06-14$31.26$32.0012.1%3.5%11.2%33.7%12.1%4.2%1.8%6.7M-15.8M-1.8M2.4444.863,1367,647260,154225,858
2011-06-15$30.95$32.0012.8%3.7%11.4%38.6%13.4%3.3%1.2%7.2M63.0M-1.8M1.3010.9516,18021,105262,475228,304
2011-06-16$31.22$32.0014.0%4.0%12.0%46.4%14.1%3.6%0.9%15.1M9.4M-1.9M0.0014.58283,4061,166262,129222,493
2011-06-17$31.12$32.0013.3%3.8%11.7%41.9%13.1%4.5%1.4%-4.7M46.3M-1.8M7.069.672,07814,662231,001221,933
2011-06-20$31.37$32.0013.1%3.8%12.2%40.7%13.2%4.3%0.5%-505.8K-29.5M-1.8M2.9029.263,1899,261213,297152,397
2011-06-21$31.32$32.0012.6%3.6%11.9%37.0%11.2%3.9%1.1%-1.9M-9.2M-1.8M0.0612.4359034215,474155,451
2011-06-22$31.11$32.0012.1%3.5%12.1%33.6%12.3%2.3%1.2%-2.6M2.5M-1.8M2.4411.559312,275215,800152,982
2011-06-23$30.86$32.0013.3%3.8%12.3%42.1%13.7%3.3%0.6%-3.4M28.5M-1.8M12.588.102,36929,808216,562153,432
2011-06-24$30.58$32.0013.6%3.9%12.4%43.7%13.8%3.9%0.2%-10.1M86.6M-1.8M3.038.841,1533,495218,531180,054
2011-06-27$30.78$32.0013.7%3.9%12.7%44.7%13.7%5.4%-0.1%-11.8M74.1M-1.9M0.398.471,164453219,495183,468
2011-06-28$30.77$32.0013.6%3.9%12.0%44.2%13.7%2.6%0.0%-12.2M68.5M-1.8M0.368.793,6091,300219,788183,692
2011-06-29$30.99$32.0012.4%3.6%11.9%35.8%12.4%3.0%0.6%-13.5M56.7M-1.8M0.6220.9311,3176,969219,911184,844
2011-06-30$31.23$31.0012.3%3.5%11.8%44.2%12.3%3.6%0.6%-8.8M12.4M-1.8M0.0542.489,104432226,426186,103