XLP Options History — June 2012

In June 2012, XLP traded between $33.16 and $34.77. ATM implied volatility averaged 12.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.4% (HV 20d: 12.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.93.

Notable Days

  • 2012-06-14: Highest Volume — 172,851 contracts
  • 2012-06-11: Largest IV spike — 30.9% change
  • 2012-06-01: Highest IV Rank — 45.8%
  • 2012-06-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.97$33.16$34.77$33.16$34.77
Max Pain$33.57$33.00$34.00$33.00$34.00
ATM IV12.7%8.8%17.7%17.7%8.8%
Expected Move3.5%2.5%5.1%5.1%2.5%
HV 20d12.3%10.5%13.9%10.6%12.2%
HV 60d10.0%9.1%11.1%9.3%11.1%
IV Rank22.0%3.3%45.8%45.8%3.3%
IV Percentile37.1%4.8%71.8%71.8%4.8%
Term Structure0.9%-1.3%1.8%-1.3%1.0%
VWIV13.2%9.1%20.7%20.7%9.1%
Skew 25d3.8%2.0%5.4%4.9%2.8%
Skew 10d8.7%5.0%11.9%10.5%6.0%
Call IV 25d10.8%7.8%16.1%16.1%7.8%
Put IV 25d14.7%10.6%21.0%21.0%10.6%
Bid-Ask Spread %36.1428.7555.8755.8744.47
Gamma HHI0.140.120.180.130.14
Net GEX2.8M-8.0M14.8M1.0M6.1M
Net DEX-29.4M-150.5M58.7M11.4M-64.4M
Net VEX-1.9M-2.2M-1.7M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.930.0822.791.705.85
Total Volume18,780.811,173172,85118,52716,888
Total OI401,996.143329,153447,929412,638387,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$33.16$33.0017.7%5.1%10.6%45.8%20.7%4.9%-1.3%1.0M11.4M-1.9M1.7055.876,85911,668212,034200,604
2012-06-04$33.27$33.0016.7%4.5%10.6%41.4%13.9%5.4%1.0%2.3M-523.1K-1.9M1.7045.614,0656,892215,026208,275
2012-06-05$33.23$34.0015.8%4.2%10.5%37.0%15.5%4.5%1.3%-317.5K26.5M-1.8M2.3831.624,37410,429214,277209,184
2012-06-06$33.68$33.0013.0%3.5%11.7%23.6%12.7%4.6%1.3%6.4M-37.9M-1.9M1.4931.581,5822,359217,413216,398
2012-06-07$33.80$33.0012.8%3.4%11.6%22.5%13.9%4.7%1.8%7.4M-48.3M-1.7M1.2029.381,5491,854218,089218,013
2012-06-08$34.09$33.0011.6%3.4%11.7%16.6%14.7%3.7%1.5%11.0M-78.0M-1.9M1.7228.751,0431,790219,260219,704
2012-06-11$33.93$33.0015.1%3.6%11.7%33.7%12.5%4.5%1.4%9.6M-67.7M-1.9M1.8531.612,1864,054219,682220,423
2012-06-12$34.10$33.0014.0%3.6%11.8%28.5%14.5%4.2%1.4%11.1M-107.8M-1.9M0.8939.381,116990220,543223,933
2012-06-13$34.00$33.0014.3%3.7%11.8%29.7%13.5%4.8%1.4%10.8M-88.2M-1.9M5.1935.438264,283221,461224,191
2012-06-14$34.50$33.0012.7%3.6%12.9%21.8%12.0%3.8%1.5%14.8M-150.5M-1.9M0.0838.38160,71612,135221,690226,239
2012-06-15$34.32$34.0012.5%3.6%12.8%21.1%20.5%4.9%1.1%700.3K-64.7M-1.9M1.0236.8329,20229,913190,698230,951
2012-06-18$34.42$34.0011.6%3.3%12.8%16.7%11.5%4.1%0.6%4.7M-63.2M-1.9M3.4233.031,1393,899167,961161,192
2012-06-19$34.49$34.0011.6%3.3%12.8%16.8%10.4%3.7%0.5%3.1M-49.5M-1.9M8.2031.943,09225,365168,309164,099
2012-06-20$34.22$34.0011.3%3.2%13.2%15.1%11.2%3.3%0.6%169.9K-12.4M-2.0M4.0140.712,76711,085171,003189,236
2012-06-21$33.81$34.0011.5%3.3%13.9%16.2%12.5%3.2%0.8%-4.7M33.9M-2.2M1.4632.261,2411,809172,244199,183
2012-06-22$33.91$34.0010.9%3.1%13.3%13.6%10.9%3.0%0.4%-4.5M24.4M-2.1M14.2930.763825,460172,240200,347
2012-06-25$33.70$34.0011.3%3.3%13.5%15.5%11.6%3.0%0.6%-7.7M58.7M-2.1M0.5130.25775398172,332205,377
2012-06-26$33.84$34.0011.0%3.2%13.2%14.0%11.9%2.7%0.6%-8.0M48.2M-2.1M0.9431.762,8932,711172,339204,046
2012-06-27$33.98$34.0011.3%3.2%12.7%15.1%12.1%3.0%0.7%-3.3M13.8M-2.1M1.8343.833,2375,923174,721205,187
2012-06-28$34.13$34.0011.0%3.2%12.8%14.0%11.1%2.0%0.5%-2.4M-225.6K-2.1M22.7935.552295,219177,217209,487
2012-06-29$34.77$34.008.8%2.5%12.2%3.3%9.1%2.8%1.0%6.1M-64.4M-2.1M5.8544.472,46714,421177,240210,071