XLP Options History — July 2012

In July 2012, XLP traded between $34.62 and $35.70. ATM implied volatility averaged 10.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.5% (HV 20d: 10.9%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 6.55.

Notable Days

  • 2012-07-20: Highest Volume — 62,344 contracts
  • 2012-07-27: Largest IV drop — 15.9% change
  • 2012-07-31: Highest IV Rank — 15.1%
  • 2012-07-31: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.11$34.62$35.70$34.97$35.63
Max Pain$34.62$34.00$35.00$34.00$34.00
ATM IV10.4%9.2%11.5%9.2%11.5%
Expected Move3.0%2.6%3.3%2.6%3.3%
HV 20d10.9%9.3%12.3%12.3%9.8%
HV 60d10.7%10.3%11.1%11.1%11.0%
IV Rank10.0%3.9%15.1%5.1%15.1%
IV Percentile16.9%6.3%34.1%6.7%34.1%
Term Structure1.0%-0.0%1.5%0.3%-0.0%
VWIV11.5%9.2%13.4%9.6%12.1%
Skew 25d3.3%2.4%4.7%3.9%2.4%
Skew 10d7.0%0.0%12.5%4.4%0.0%
Call IV 25d9.3%6.3%10.8%7.1%10.8%
Put IV 25d12.7%10.7%14.4%11.0%13.2%
Bid-Ask Spread %34.2218.7645.7318.7642.53
Gamma HHI0.140.120.160.150.12
Net GEX-507.2K-15.5M11.9M7.3M-803.8K
Net DEX-56.9M-133.1M57.1M-67.6M-105.2M
Net VEX-2.2M-2.6M-2.0M-2.1M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.550.3358.210.670.89
Total Volume11,226.1972962,3444,5837,221
Total OI462,488.524400,839502,368400,839496,255

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$34.97$34.009.2%2.6%12.3%5.1%9.6%3.9%0.3%7.3M-67.6M-2.1M0.6718.762,7521,831178,588222,251
2012-07-03$35.13$34.009.2%2.6%12.2%5.2%9.2%4.4%0.6%11.9M-103.5M-2.2M1.9432.621,5302,974180,545223,525
2012-07-05$35.01$34.009.4%2.7%11.7%6.2%9.4%3.9%0.8%10.2M-108.7M-2.0M4.3439.356132,662180,891225,523
2012-07-06$34.95$35.009.2%2.9%11.8%3.9%10.6%2.8%1.5%6.9M-71.6M-2.2M1.1431.011,2841,458180,409226,852
2012-07-09$34.92$35.009.8%3.0%11.5%6.8%12.5%3.3%1.1%4.9M-63.3M-2.1M2.0345.737081,438180,939229,299
2012-07-10$34.96$35.009.6%3.0%11.3%6.3%12.1%3.1%1.2%6.0M-87.6M-2.0M0.3640.704,5281,644180,929229,797
2012-07-11$34.93$35.009.5%3.0%11.3%5.5%10.4%3.0%1.3%4.5M-77.8M-2.1M35.6529.191,16141,392181,249230,886
2012-07-12$34.94$35.0010.5%3.0%11.2%10.6%12.5%3.3%1.2%869.5K-48.2M-2.2M58.2128.6238122,178179,944265,795
2012-07-13$35.33$35.0010.9%3.1%10.7%12.2%11.2%3.3%1.0%4.0M-81.9M-2.2M19.2634.721,53929,635179,890287,422
2012-07-16$35.15$35.0011.1%3.2%10.7%13.1%13.4%3.1%0.9%-2.5M-61.2M-2.2M1.8339.101,2832,351180,793316,616
2012-07-17$35.32$35.0011.0%3.2%10.7%13.0%11.9%2.9%1.1%-3.3M-42.1M-2.5M0.3629.433,2341,175181,314318,240
2012-07-18$35.29$35.0011.0%3.2%10.8%12.8%10.9%3.1%1.1%-1.8M-70.5M-2.1M1.4137.59302427182,954318,881
2012-07-19$35.26$35.0011.0%3.1%10.2%12.7%11.5%3.0%1.2%-4.9M-59.1M-2.3M0.5529.18912498182,995318,954
2012-07-20$35.07$35.0010.6%3.0%9.3%11.0%12.3%2.7%1.5%-2.9M-14.7M-2.4M1.0827.2029,96332,381183,333319,035
2012-07-23$34.75$35.0011.0%3.2%10.1%13.1%11.2%3.4%1.4%-15.5M57.1M-2.6M1.1932.995,1396,113179,613307,123
2012-07-24$34.62$34.0011.2%3.2%9.9%13.9%13.4%3.6%1.3%-13.3M35.6M-2.4M2.6337.415481,440183,914306,378
2012-07-25$34.64$34.0011.1%3.2%9.8%13.1%13.4%3.6%1.3%-14.5M41.5M-2.4M1.7938.357551,353184,312307,302
2012-07-26$35.19$34.0011.2%3.2%11.1%13.9%11.3%3.5%1.2%-6.7M-34.5M-2.4M0.6628.914,2612,817184,600306,813
2012-07-27$35.62$34.009.4%2.7%11.6%5.3%11.4%3.1%1.3%-1.3M-98.5M-2.3M1.1644.583,9914,625187,028305,923
2012-07-30$35.70$35.0010.5%3.0%9.9%10.5%11.6%4.7%0.3%202.1K-133.1M-2.2M0.3330.543,9591,294187,845307,304
2012-07-31$35.63$34.0011.5%3.3%9.8%15.1%12.1%2.4%-0.0%-803.8K-105.2M-2.4M0.8942.533,8173,404190,055306,200