XLP Options History — December 2011

In December 2011, XLP traded between $31.36 and $32.67. ATM implied volatility averaged 16.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.7% (HV 20d: 15.5%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2011-12-15: Highest Volume — 331,683 contracts
  • 2011-12-15: Largest IV drop — 40.4% change
  • 2011-12-14: Highest IV Rank — 72.4%
  • 2011-12-02: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.03$31.36$32.67$31.94$32.49
Max Pain$30.57$30.00$31.00$31.00$31.00
ATM IV16.2%11.3%22.9%16.9%14.8%
Expected Move4.2%3.2%5.2%4.8%4.2%
HV 20d15.5%12.6%18.2%18.2%12.8%
HV 60d16.5%15.0%17.8%17.7%15.1%
IV Rank41.3%18.8%72.4%44.6%34.9%
IV Percentile64.2%29.4%93.3%70.6%59.1%
Term Structure1.4%-1.4%2.8%-1.0%1.1%
VWIV15.4%12.5%19.2%18.2%13.5%
Skew 25d4.6%3.5%6.0%3.7%4.3%
Skew 10d10.7%8.2%13.5%8.3%9.8%
Call IV 25d13.5%11.3%15.9%15.4%12.7%
Put IV 25d18.1%14.8%21.7%19.1%17.0%
Bid-Ask Spread %30.9112.8354.5554.5512.83
Gamma HHI0.270.180.440.200.42
Net GEX5.6M-9.4M14.8M5.3M13.2M
Net DEX-94.9M-173.6M4.8M-80.4M-144.5M
Net VEX-1.3M-1.6M-978.9K-1.6M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.048.482.261.16
Total Volume18,882.571396331,6831,0211,312
Total OI494,722.714449,906527,926517,113464,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$31.94$31.0016.9%4.8%18.2%44.6%18.2%3.7%-1.0%5.3M-80.4M-1.6M2.2654.55313708265,415251,698
2011-12-02$31.74$31.0018.0%5.2%18.0%49.7%19.2%4.5%-1.4%3.3M-59.8M-1.6M3.7942.629133,457265,541251,833
2011-12-05$31.88$30.0017.6%4.5%17.8%47.7%15.0%5.6%1.9%4.8M-89.3M-1.4M0.3935.862,8021,105265,910252,625
2011-12-06$31.97$30.0017.4%4.5%17.5%47.0%15.5%5.8%2.0%4.0M-87.9M-1.5M0.3223.231,159370265,754253,315
2011-12-07$32.05$30.0019.1%4.7%17.3%54.6%15.7%5.9%1.6%5.2M-98.6M-1.5M0.2224.891,713383266,538253,271
2011-12-08$31.70$30.0020.1%4.8%15.4%59.1%17.2%6.0%1.5%2.8M-63.0M-1.5M0.6424.47681433266,523253,445
2011-12-09$31.96$30.0017.1%4.5%15.3%45.6%17.8%5.5%1.8%6.3M-105.7M-1.3M1.1232.68515578266,671253,711
2011-12-12$31.75$30.0020.2%4.3%15.0%59.5%16.1%5.7%2.5%1.8M-61.8M-1.4M1.3330.161,6612,204267,112253,841
2011-12-13$31.69$30.0020.9%4.2%14.7%62.8%16.0%4.5%2.2%-141.7K-62.4M-1.3M8.4832.066475,486267,983254,426
2011-12-14$31.56$30.0022.9%4.1%14.7%72.4%14.5%4.6%2.4%-3.8M-42.8M-1.3M0.9030.771,7741,604267,709257,767
2011-12-15$31.84$30.0013.7%3.9%14.5%29.7%16.7%4.5%2.8%4.9M-106.5M-1.4M0.0445.98317,93313,750268,793259,133
2011-12-16$31.50$31.0015.6%4.5%15.1%38.7%14.4%4.8%2.2%-9.4M4.8M-1.2M1.6827.651,3162,206244,772272,650
2011-12-19$31.36$31.0015.7%4.5%15.2%38.8%16.8%4.1%1.2%-6.0M-4.5M-1.2M0.8032.914,4173,543227,436222,470
2011-12-20$32.05$31.0013.3%3.8%15.6%27.7%14.5%4.1%1.4%5.8M-83.0M-1.2M1.8236.153,5496,448231,631222,631
2011-12-21$32.35$31.0013.1%3.8%15.7%27.0%12.7%3.5%1.5%12.3M-138.5M-1.1M0.5732.561,340766234,620226,671
2011-12-22$32.36$31.0013.5%3.9%15.3%28.8%14.4%3.5%1.2%11.0M-129.9M-1.1M2.9627.729552,826234,034226,178
2011-12-23$32.61$31.0011.3%3.2%15.4%18.8%12.5%3.8%1.3%13.0M-159.6M-1.1M1.9528.19478932234,601228,027
2011-12-27$32.67$31.0012.1%3.5%14.7%22.4%13.3%3.6%1.2%14.8M-173.6M-978.9K0.1827.363,441630234,694228,323
2011-12-28$32.47$31.0014.9%4.3%14.7%35.4%15.5%4.4%0.6%13.0M-141.0M-1.0M0.3020.321,374416234,755228,186
2011-12-29$32.63$31.0012.3%3.5%12.6%23.5%14.9%4.4%1.1%14.7M-165.7M-1.0M0.4626.07271125235,856228,272
2011-12-30$32.49$31.0014.8%4.2%12.8%34.9%13.5%4.3%1.1%13.2M-144.5M-1.0M1.1612.83607705235,972228,384