XLP Options History — January 2012

In January 2012, XLP traded between $32.03 and $32.56. ATM implied volatility averaged 12.5%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.4% (HV 20d: 10.1%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.18.

Notable Days

  • 2012-01-20: Highest Volume — 60,270 contracts
  • 2012-01-26: Largest IV spike — 23.7% change
  • 2012-01-03: Highest IV Rank — 35.9%
  • 2012-01-03: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.28$32.03$32.56$32.46$32.03
Max Pain$31.85$31.00$32.00$31.00$32.00
ATM IV12.5%10.5%15.0%15.0%12.2%
Expected Move3.7%3.0%4.3%4.3%3.5%
HV 20d10.1%6.6%12.8%12.5%7.3%
HV 60d14.4%13.4%15.0%14.9%13.4%
IV Rank24.1%15.2%35.9%35.9%22.9%
IV Percentile37.5%19.4%59.5%59.5%32.5%
Term Structure1.1%0.5%2.1%0.8%0.9%
VWIV12.7%11.4%14.5%13.0%12.1%
Skew 25d3.3%2.4%4.5%3.9%2.4%
Skew 10d8.9%6.5%11.9%7.3%7.2%
Call IV 25d11.2%9.6%12.7%12.7%11.2%
Put IV 25d14.5%12.9%16.6%16.6%13.6%
Bid-Ask Spread %34.9421.7750.0630.8441.03
Gamma HHI0.330.200.470.460.32
Net GEX3.2M-14.3M16.4M16.4M-14.2M
Net DEX-100.4M-185.5M19.7M-172.4M12.9M
Net VEX-1.0M-1.2M-822.8K-935.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.1312.870.460.55
Total Volume10,604.351,27860,2701,8411,449
Total OI406,270.95223,833512,673465,141253,351

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$32.46$31.0015.0%4.3%12.5%35.9%13.0%3.9%0.8%16.4M-172.4M-935.8K0.4630.841,264577236,124229,017
2012-01-04$32.29$31.0014.0%4.0%12.6%31.2%13.9%4.1%2.0%15.8M-155.6M-855.1K1.9821.772,4104,766235,946229,139
2012-01-05$32.37$31.0013.2%3.8%12.6%27.7%12.0%2.8%1.5%13.9M-141.3M-928.1K0.4230.701,949809237,038231,715
2012-01-06$32.16$32.0011.9%4.0%12.8%21.5%13.0%4.1%0.9%10.5M-126.2M-822.8K1.1849.6314,02216,504235,862232,214
2012-01-09$32.11$32.0011.5%3.9%12.2%19.8%13.5%4.5%0.7%10.9M-128.3M-1.0M1.4650.063,7035,408247,989247,347
2012-01-10$32.34$32.0011.5%3.8%12.1%19.6%13.2%3.6%0.8%14.7M-153.0M-1.0M0.1345.753,132412250,235248,720
2012-01-11$32.15$32.0011.0%3.8%12.0%17.3%11.9%3.5%0.8%9.8M-129.5M-1.0M1.6539.37482796252,629249,009
2012-01-12$32.16$32.0013.0%3.7%12.0%26.6%12.4%3.3%0.9%9.9M-134.7M-970.7K2.7439.617241,987253,011249,035
2012-01-13$32.14$32.0013.1%3.8%11.9%26.9%13.9%3.3%0.8%8.9M-144.4M-944.9K4.1334.721,0564,356251,877247,760
2012-01-17$32.26$32.0013.2%3.8%11.6%27.7%14.5%3.6%0.9%9.2M-152.8M-927.5K0.3724.252,028745252,629250,033
2012-01-18$32.33$32.0013.2%3.8%10.8%27.4%12.0%3.1%1.2%7.5M-161.5M-905.3K0.3623.637,3302,662253,202250,572
2012-01-19$32.39$32.0012.8%3.7%10.5%25.5%12.4%3.1%1.4%6.3M-174.1M-927.4K2.7423.741,1943,274258,199252,703
2012-01-20$32.41$32.0012.4%3.6%7.4%23.7%13.0%3.8%1.9%8.0M-185.5M-992.0K12.8737.674,34555,925258,483254,190
2012-01-23$32.45$32.0011.8%3.4%6.6%20.8%12.1%2.7%2.1%-8.7M-24.5M-1.1M2.1027.134,6669,781102,236121,597
2012-01-24$32.26$32.0011.6%3.3%7.0%19.9%11.4%3.3%1.5%-10.4M-4.4M-1.1M1.0427.974,8255,023106,529130,006
2012-01-25$32.56$32.0010.5%3.0%7.2%15.2%12.7%3.6%0.5%-6.3M-37.7M-1.1M3.2831.881,8876,188109,905135,321
2012-01-26$32.48$32.0013.0%3.7%7.2%26.7%12.8%3.2%0.6%-10.0M-27.0M-1.2M3.4241.982,8849,864111,166141,571
2012-01-27$32.19$32.0012.1%3.5%7.6%22.6%12.1%2.6%0.9%-13.6M12.5M-1.1M2.0934.894,2228,836113,761146,974
2012-01-30$32.09$32.0012.3%3.5%7.4%23.1%12.4%2.4%1.1%-14.3M19.7M-1.2M0.7042.106,2474,355114,486143,838
2012-01-31$32.03$32.0012.2%3.5%7.3%22.9%12.1%2.4%0.9%-14.2M12.9M-1.1M0.5541.03932517114,395138,956