XLP Options History — September 2011

In September 2011, XLP traded between $29.36 and $30.90. ATM implied volatility averaged 22.0%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.1% (HV 20d: 19.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.92.

Notable Days

  • 2011-09-15: Highest Volume — 99,114 contracts
  • 2011-09-09: Largest IV spike — 30.9% change
  • 2011-09-09: Highest IV Rank — 85.4%
  • 2011-09-22: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.23$29.36$30.90$30.75$29.66
Max Pain$30.33$30.00$31.00$30.00$30.00
ATM IV22.0%17.8%25.8%17.8%24.3%
Expected Move6.1%5.1%7.3%5.1%7.0%
HV 20d19.0%17.1%23.9%23.9%20.7%
HV 60d19.0%18.0%20.4%18.0%20.4%
IV Rank68.1%48.8%85.4%48.8%78.5%
IV Percentile94.8%87.3%99.2%91.7%97.2%
Term Structure-0.1%-1.6%0.9%0.1%-0.5%
VWIV22.0%17.2%29.7%18.1%23.7%
Skew 25d7.8%5.8%9.2%6.9%8.7%
Skew 10d16.8%12.1%19.2%14.5%17.2%
Call IV 25d18.6%16.1%21.9%16.1%21.9%
Put IV 25d26.3%22.7%30.6%23.0%30.6%
Bid-Ask Spread %27.5713.4046.5942.1624.51
Gamma HHI0.150.120.190.130.13
Net GEX-3.1M-8.7M6.6M-1.0M-4.3M
Net DEX85.5M6.4M146.5M35.1M131.2M
Net VEX-2.2M-2.4M-2.1M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.1424.340.850.21
Total Volume8,844.42974199,1144,050741
Total OI503,301.905464,307532,784518,342491,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$30.75$30.0017.8%5.1%23.9%48.8%18.1%6.9%0.1%-1.0M35.1M-2.3M0.8542.162,1911,859285,720232,622
2011-09-02$30.34$30.0021.1%6.1%23.6%64.1%23.1%6.7%-1.6%-4.9M94.8M-2.3M24.3446.59832,020287,223233,809
2011-09-06$30.22$31.0024.0%6.0%17.2%77.2%19.2%8.1%-0.2%-5.0M97.5M-2.3M0.8727.454,1003,564287,233234,673
2011-09-07$30.71$31.0019.2%5.2%17.9%55.2%18.9%7.7%0.3%-2.8M53.1M-2.2M1.2923.75579746287,926236,726
2011-09-08$30.69$31.0019.7%5.3%17.6%57.4%17.2%7.4%0.3%-3.4M58.7M-2.2M1.4125.96377532288,147237,412
2011-09-09$30.07$31.0025.8%6.4%18.2%85.4%22.9%8.1%-0.4%-6.2M119.8M-2.3M2.7229.044351,184288,397237,695
2011-09-12$30.00$31.0025.1%6.5%18.1%82.2%21.7%8.7%-0.5%-7.6M118.8M-2.2M1.5726.642,5143,935288,385238,176
2011-09-13$30.14$30.0024.0%6.4%17.5%77.1%28.3%8.3%-0.4%-8.7M121.0M-2.2M6.0413.403091,866289,531240,028
2011-09-14$30.50$30.0025.2%6.3%17.9%82.6%29.7%7.8%-0.1%-4.8M71.9M-2.2M2.5629.181,1793,023289,628241,718
2011-09-15$30.86$30.0018.4%5.3%18.3%51.6%20.9%5.8%0.5%6.6M6.4M-2.3M0.1433.5386,91612,198290,412242,372
2011-09-16$30.90$30.0018.0%5.2%17.1%49.5%18.8%6.7%0.7%6.6M12.9M-2.4M2.8739.002,4467,030284,516242,232
2011-09-19$30.58$30.0018.3%5.2%17.6%50.8%18.5%7.3%0.7%-904.0K39.5M-2.3M0.8123.921,6771,350252,436211,871
2011-09-20$30.64$30.0017.9%5.1%17.6%49.2%20.1%7.0%0.9%-317.5K33.0M-2.3M3.7724.981,4165,341253,852212,351
2011-09-21$30.01$31.0021.3%6.1%18.1%64.6%21.2%8.3%0.2%-3.7M96.2M-2.2M1.6024.78344549254,767217,132
2011-09-22$29.48$31.0025.4%7.3%18.9%83.8%23.6%9.2%-1.0%-4.5M146.5M-2.1M1.3726.038841,211255,004217,337
2011-09-23$29.36$30.0025.3%7.3%18.2%83.3%23.5%8.8%-0.6%-4.8M144.2M-2.1M1.7123.625,2278,944255,304217,624
2011-09-26$30.09$30.0022.7%6.5%20.1%71.1%23.1%7.8%-0.1%-3.9M100.9M-2.2M1.3824.242,9374,065258,041225,112
2011-09-27$30.25$30.0022.8%6.5%19.0%71.5%21.8%7.8%-0.2%-2.5M77.6M-2.3M2.6323.108032,109259,811226,836
2011-09-28$29.66$30.0023.4%6.7%20.1%74.3%23.2%8.1%-0.4%-4.6M131.2M-2.1M0.6926.261,051720260,096227,444
2011-09-29$29.97$30.0023.0%6.6%20.5%72.4%24.4%8.0%-0.2%-4.0M104.5M-2.2M2.4320.922,1215,157260,871227,667
2011-09-30$29.66$30.0024.3%7.0%20.7%78.5%23.7%8.7%-0.5%-4.3M131.2M-2.2M0.2124.51611130262,983228,220