XLP Options History — May 2012

In May 2012, XLP traded between $33.60 and $34.32. ATM implied volatility averaged 12.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.9% (HV 20d: 8.7%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.77.

Notable Days

  • 2012-05-08: Highest Volume — 64,730 contracts
  • 2012-05-21: Largest IV drop — 7.1% change
  • 2012-05-30: Highest IV Rank — 28.8%
  • 2012-05-30: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.95$33.60$34.32$34.27$33.78
Max Pain$33.14$33.00$34.00$34.00$33.00
ATM IV12.6%10.9%14.1%11.2%14.1%
Expected Move3.6%3.1%4.0%3.2%4.0%
HV 20d8.7%6.7%10.1%10.0%8.6%
HV 60d8.0%7.7%8.6%7.8%8.4%
IV Rank22.5%16.8%28.8%18.3%28.6%
IV Percentile40.1%18.7%56.7%24.2%56.3%
Term Structure0.6%-0.6%1.7%0.9%-0.0%
VWIV14.5%10.7%19.9%11.2%14.1%
Skew 25d4.1%2.5%5.7%2.6%4.7%
Skew 10d8.7%4.4%12.3%5.8%9.2%
Call IV 25d11.5%9.5%12.9%10.3%12.8%
Put IV 25d15.6%12.0%17.7%12.9%17.5%
Bid-Ask Spread %33.2325.8244.3234.2637.86
Gamma HHI0.170.110.320.300.14
Net GEX14.0M5.0M29.0M22.7M6.9M
Net DEX-84.7M-147.2M-32.6M-131.7M-46.4M
Net VEX-1.8M-2.0M-1.6M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.770.0322.690.031.61
Total Volume10,116.13675864,73032,79812,460
Total OI371,112.682299,780406,074299,780406,074

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$34.27$34.0011.2%3.2%10.0%18.3%11.2%2.6%0.9%22.7M-131.7M-1.6M0.0334.2631,7841,014170,741129,039
2012-05-02$34.30$34.0011.2%3.2%9.8%18.2%11.1%2.6%1.0%27.2M-145.3M-1.8M0.2134.162,210462200,781128,875
2012-05-03$34.32$34.0010.9%3.1%9.8%16.8%10.7%2.5%1.4%29.0M-147.2M-1.7M0.1444.322,035294202,102128,952
2012-05-04$34.07$33.0011.1%3.4%10.1%17.9%14.3%3.7%0.6%21.2M-115.2M-1.6M0.1936.133,169599201,378129,003
2012-05-07$34.13$33.0011.9%3.5%9.5%21.4%12.5%3.8%0.1%21.9M-123.8M-1.8M2.7232.566841,862201,427129,357
2012-05-08$34.05$33.0011.5%3.5%8.9%19.4%19.9%3.7%0.6%20.0M-114.6M-1.7M1.0134.2232,28132,449199,792130,522
2012-05-09$33.84$33.0011.8%3.6%9.2%19.6%14.0%4.0%0.5%16.3M-91.3M-1.7M3.4829.385441,892229,173154,212
2012-05-10$34.12$33.0012.2%3.5%9.6%19.8%13.0%3.5%0.6%20.8M-116.6M-1.7M0.9327.214,5224,196229,143154,405
2012-05-11$34.02$33.0012.3%3.5%9.7%20.2%18.9%4.0%0.7%15.9M-91.1M-1.7M0.5630.082,3341,310228,970156,641
2012-05-14$33.89$33.0012.9%3.7%9.7%23.0%15.2%4.3%0.6%14.9M-86.7M-1.7M22.6925.8232726230,485157,351
2012-05-15$33.94$33.0013.2%3.8%9.0%24.6%13.8%4.0%0.8%12.7M-75.3M-1.7M18.0526.182885,199230,492157,789
2012-05-16$33.95$33.0012.8%3.7%9.0%22.6%13.2%3.6%1.1%14.6M-91.1M-1.8M1.3430.741,7602,350230,582159,577
2012-05-17$33.72$33.0013.3%3.8%9.2%25.0%14.2%5.0%1.7%11.8M-70.7M-1.8M3.4934.011,1484,012230,892159,720
2012-05-18$33.69$33.0013.5%3.9%8.5%25.7%14.2%4.8%1.6%9.5M-54.7M-1.8M0.6634.723,5092,319231,161163,519
2012-05-21$33.65$33.0012.5%3.6%6.9%21.1%15.1%5.2%0.4%5.3M-40.7M-1.7M2.1531.994,90410,537198,231162,188
2012-05-22$33.71$33.0012.8%3.7%6.9%22.3%13.2%5.0%0.4%5.0M-32.6M-1.8M6.8832.877074,863202,452170,430
2012-05-23$33.60$33.0013.5%3.9%6.7%25.9%18.2%5.7%0.5%5.5M-44.1M-1.8M3.6432.244,34015,814201,694174,003
2012-05-24$33.97$33.0013.5%3.9%7.2%25.9%14.6%4.8%0.2%6.7M-56.3M-1.8M2.8533.463,4219,741205,108185,242
2012-05-25$33.89$33.0013.2%3.8%7.2%24.6%14.3%5.2%-0.0%5.6M-50.7M-2.0M3.4835.773731,299207,050194,448
2012-05-29$34.16$33.0013.4%3.8%7.7%25.2%18.7%4.3%-0.0%9.3M-84.9M-1.9M6.6933.184863,250205,144194,134
2012-05-30$33.78$33.0014.1%4.0%8.6%28.8%14.0%4.3%-0.6%6.4M-52.5M-1.9M0.1039.914,882494206,273195,927
2012-05-31$33.78$33.0014.1%4.0%8.6%28.6%14.1%4.7%-0.0%6.9M-46.4M-1.9M1.6137.864,7657,695209,907196,167