XLP Options History — July 2011

In July 2011, XLP traded between $30.83 and $31.90. ATM implied volatility averaged 12.7%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.9% (HV 20d: 10.8%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 3.25.

Notable Days

  • 2011-07-07: Highest Volume — 46,704 contracts
  • 2011-07-11: Largest IV spike — 52.4% change
  • 2011-07-12: Highest IV Rank — 85.7%
  • 2011-07-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.44$30.83$31.90$31.47$30.83
Max Pain$31.00$31.00$31.00$31.00$31.00
ATM IV12.7%8.1%16.6%13.1%15.7%
Expected Move3.6%3.0%4.5%3.8%4.5%
HV 20d10.8%9.7%11.9%11.7%10.7%
HV 60d10.2%9.9%10.7%9.9%10.7%
IV Rank49.9%8.0%85.7%51.6%77.2%
IV Percentile58.5%3.6%98.0%66.3%92.5%
Term Structure0.9%-0.7%1.6%-0.3%-0.7%
VWIV13.0%10.6%19.0%13.1%19.0%
Skew 25d4.1%2.9%8.5%8.5%5.0%
Skew 10d8.7%6.4%11.4%10.3%9.4%
Call IV 25d10.9%5.2%14.5%5.2%14.5%
Put IV 25d15.0%13.1%19.6%13.7%19.6%
Bid-Ask Spread %32.419.1954.5454.5446.75
Gamma HHI0.180.130.300.190.14
Net GEX-1.7M-16.1M6.2M-3.7M-1.2M
Net DEX-31.5M-113.8M51.3M-39.7M51.3M
Net VEX-2.2M-2.4M-1.9M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.250.0724.260.950.84
Total Volume11,413.8539346,70418,8371,999
Total OI464,049.85420,538516,041420,538482,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$31.47$31.0013.1%3.8%11.7%51.6%13.1%8.5%-0.3%-3.7M-39.7M-2.0M0.9554.549,6849,153234,242186,296
2011-07-05$31.46$31.0013.4%3.7%11.6%55.9%11.7%3.8%1.3%-5.0M-39.9M-1.9M0.3313.123,5501,170243,262195,062
2011-07-06$31.62$31.008.1%3.2%11.7%8.0%11.6%3.3%1.4%-1.1M-81.1M-1.9M1.579.1910,24916,129244,172191,905
2011-07-07$31.90$31.009.5%3.2%11.8%20.7%11.9%3.1%1.2%2.2M-113.8M-2.1M0.3525.3234,50912,195251,008206,747
2011-07-08$31.74$31.009.5%3.1%11.9%20.6%11.2%3.3%1.3%928.0K-84.4M-2.3M0.0728.955,639374283,056216,139
2011-07-11$31.58$31.0014.4%3.3%10.8%66.0%11.4%3.3%1.6%-2.5M-38.3M-2.1M0.2048.832,564514283,456215,258
2011-07-12$31.37$31.0016.6%3.9%11.0%85.7%11.8%3.4%0.9%-7.8M-19.8M-2.1M1.4813.242,6573,932283,752215,602
2011-07-13$31.41$31.0013.6%3.9%10.7%58.0%13.2%3.9%1.0%-11.4M-25.5M-2.2M11.5630.66951,098285,884219,079
2011-07-14$31.27$31.0013.8%3.9%10.1%59.7%13.8%4.4%1.2%-16.1M-4.5M-2.2M9.2531.372,55823,653285,877219,799
2011-07-15$31.36$31.0013.1%3.8%9.7%54.0%14.1%3.9%1.1%-13.0M-24.9M-2.2M2.1811.561,2892,806285,872230,169
2011-07-18$31.16$31.0013.3%3.8%9.9%55.4%12.5%4.1%0.9%824.3K-2.3M-2.1M1.9831.932,7375,427243,790177,196
2011-07-19$31.57$31.0010.8%3.1%10.6%32.9%12.0%5.2%1.4%3.6M-46.3M-2.1M0.8531.33213180243,898178,296
2011-07-20$31.54$31.0010.9%3.1%10.6%33.9%13.0%4.5%1.3%3.3M-40.0M-2.1M24.2643.161814,391243,971178,372
2011-07-21$31.81$31.0011.0%3.2%10.6%34.7%11.4%5.0%1.5%4.5M-60.9M-2.1M0.3133.5417,3295,426243,967181,458
2011-07-22$31.78$31.0010.6%3.0%10.1%31.1%10.6%2.9%1.5%6.2M-59.4M-2.1M1.2937.165,9087,594259,958183,906
2011-07-25$31.45$31.0013.7%3.9%10.3%59.2%14.1%4.1%1.0%3.7M-29.7M-2.2M1.1941.1410,84612,864265,314188,194
2011-07-26$31.37$31.0013.7%3.9%10.2%58.9%13.5%3.6%0.8%3.1M-17.5M-2.3M4.0538.953721,507276,056200,473
2011-07-27$31.00$31.0014.6%4.2%11.1%67.1%14.8%3.6%0.2%251.2K19.4M-2.4M1.9038.41344655276,264201,822
2011-07-28$31.03$31.0014.5%4.2%10.9%66.9%16.1%3.9%0.2%-669.0K27.9M-2.3M0.3739.104,7381,748276,434202,088
2011-07-29$30.83$31.0015.7%4.5%10.7%77.2%19.0%5.0%-0.7%-1.2M51.3M-2.3M0.8446.751,088911279,322203,581