XLP Options History — August 2011

In August 2011, XLP traded between $28.71 and $30.89. ATM implied volatility averaged 20.8%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.8% (HV 20d: 22.7%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 2.03.

Notable Days

  • 2011-08-16: Highest Volume — 17,734 contracts
  • 2011-08-08: Largest IV spike — 50.5% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.93$28.71$30.89$30.72$30.89
Max Pain$30.65$30.00$31.00$31.00$30.00
ATM IV20.8%15.2%28.9%15.2%18.6%
Expected Move5.8%4.4%7.1%4.4%5.3%
HV 20d22.7%10.3%27.7%10.3%27.1%
HV 60d16.0%10.7%18.1%10.7%18.0%
IV Rank69.8%50.4%100.0%73.2%52.2%
IV Percentile97.1%89.7%100.0%89.7%94.0%
Term Structure-1.3%-3.5%0.3%-0.3%-0.3%
VWIV21.0%15.9%26.9%17.7%19.4%
Skew 25d7.4%4.0%12.4%4.7%6.9%
Skew 10d15.0%2.7%25.3%9.9%14.6%
Call IV 25d17.5%13.2%21.5%14.5%16.7%
Put IV 25d24.9%17.2%29.7%19.2%23.6%
Bid-Ask Spread %30.999.1642.4029.1234.45
Gamma HHI0.150.120.200.150.13
Net GEX-5.5M-8.3M-326.1K-2.6M-326.1K
Net DEX143.6M25.8M278.1M65.9M25.8M
Net VEX-2.1M-2.3M-1.7M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0513.570.390.83
Total Volume8,797.1741,01817,7342,86611,074
Total OI505,724.391483,642525,507483,642509,500

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$30.72$31.0015.2%4.4%10.3%73.2%17.7%4.7%-0.3%-2.6M65.9M-2.2M0.3929.122,062804279,374204,268
2011-08-02$30.28$31.0017.1%4.9%11.3%90.1%16.4%4.7%-0.2%-6.8M121.3M-2.0M2.5837.153,5169,084281,213204,936
2011-08-03$30.43$31.0016.1%4.6%11.3%80.7%15.9%4.0%0.3%-6.5M109.7M-2.0M0.5634.071,753979284,157210,603
2011-08-04$29.41$31.0023.6%6.8%15.4%100.0%20.1%5.2%-1.4%-7.3M189.7M-2.0M0.2832.356,3661,806284,641209,594
2011-08-05$30.00$31.0019.2%5.5%17.6%73.5%18.0%6.7%-0.7%-4.7M145.9M-2.2M0.4140.8910,6884,435288,058209,704
2011-08-08$28.74$31.0028.9%7.1%22.6%100.0%26.6%8.5%-3.3%-5.6M225.0M-2.0M1.5236.234,1106,232295,334211,003
2011-08-09$28.90$31.0023.3%5.6%22.9%73.9%18.1%6.9%-1.6%-7.1M203.7M-1.9M0.2237.396,3091,412296,658215,509
2011-08-10$28.71$31.0027.5%6.8%22.8%93.1%22.9%8.2%-2.9%-7.6M278.1M-1.7M0.1134.2213,7701,553299,935216,185
2011-08-11$29.32$31.0023.8%6.8%24.6%76.4%23.6%12.4%-3.5%-7.1M223.1M-1.9M0.4328.562,8591,224294,151217,017
2011-08-12$29.54$31.0019.7%5.7%24.8%57.5%22.8%7.8%-1.6%-7.2M199.0M-1.9M3.1229.591,8545,793295,787217,456
2011-08-15$29.96$31.0018.4%5.3%25.4%51.3%18.3%7.3%-0.6%-6.2M159.9M-2.0M1.7925.592,9425,257294,746221,433
2011-08-16$30.02$31.0018.9%5.4%24.9%53.5%18.8%6.4%-0.9%-5.8M153.4M-2.0M10.2242.401,58116,153295,666220,431
2011-08-17$30.21$31.0018.2%5.2%25.1%50.4%18.2%5.8%-0.1%-8.3M145.0M-2.0M1.6428.082,6044,276295,282230,225
2011-08-18$29.74$31.0021.9%6.3%25.2%67.6%26.0%9.0%-1.8%-7.2M179.2M-2.1M1.2331.761,6722,064294,887226,913
2011-08-19$29.62$31.0022.7%6.5%25.2%71.3%25.5%9.0%-1.9%-7.2M189.3M-2.1M13.5730.241,20516,347296,041227,617
2011-08-22$29.64$30.0021.9%6.3%25.1%67.3%22.2%9.0%-0.7%-7.6M165.1M-2.1M2.9824.381,2333,671266,467223,169
2011-08-23$30.20$30.0020.9%6.0%26.2%63.2%17.9%7.8%-1.3%-6.1M110.9M-2.2M0.2831.267,0522,003266,860222,618
2011-08-24$30.38$30.0021.3%6.1%26.1%64.6%20.8%8.5%-1.2%-2.9M88.7M-2.3M0.059.1610,285484272,543223,335
2011-08-25$29.91$30.0023.6%6.8%26.6%75.5%26.9%9.2%-2.2%-3.4M108.7M-2.3M0.9630.675,7455,494281,954223,397
2011-08-26$30.16$30.0021.9%6.3%26.8%67.7%25.2%8.2%-1.6%-5.5M115.2M-2.2M1.2830.213,6874,705279,702227,262
2011-08-29$30.74$30.0018.5%5.3%27.7%52.0%23.1%7.4%-0.5%-2.8M58.0M-2.2M1.6427.84385633280,886226,754
2011-08-30$30.79$30.0018.3%5.2%27.1%51.0%19.3%7.0%-0.4%-1.2M41.6M-2.3M0.6927.193,0572,117281,093227,297
2011-08-31$30.89$30.0018.6%5.3%27.1%52.2%19.4%6.9%-0.3%-326.1K25.8M-2.3M0.8334.456,0445,030281,337228,163