XLP Options History — December 2012

In December 2012, XLP traded between $34.28 and $36.17. ATM implied volatility averaged 12.9%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.3% (HV 20d: 10.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 6.54.

Notable Days

  • 2012-12-20: Highest Volume — 114,934 contracts
  • 2012-12-13: Largest IV drop — 23.0% change
  • 2012-12-28: Highest IV Rank — 65.6%
  • 2012-12-28: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.62$34.28$36.17$35.90$34.83
Max Pain$35.30$35.00$36.00$35.00$36.00
ATM IV12.9%10.9%15.3%13.9%12.1%
Expected Move3.5%3.1%4.1%4.0%3.5%
HV 20d10.6%8.3%12.5%12.5%12.5%
HV 60d10.4%9.7%11.5%11.1%11.5%
IV Rank38.1%21.5%65.6%38.2%40.2%
IV Percentile75.7%37.7%96.4%89.7%68.7%
Term Structure-0.1%-2.5%1.1%-2.5%-0.2%
VWIV13.7%11.3%22.1%14.7%13.0%
Skew 25d3.3%2.1%4.2%2.3%2.9%
Skew 10d7.1%4.3%10.2%4.6%6.8%
Call IV 25d11.3%10.0%13.1%12.7%11.7%
Put IV 25d14.6%13.0%16.0%15.0%14.6%
Bid-Ask Spread %36.693.9294.3794.3722.47
Gamma HHI0.200.160.250.230.25
Net GEX3.7M-33.5M28.0M21.3M-22.1M
Net DEX-36.3M-157.8M132.7M-111.1M73.7M
Net VEX-1.4M-1.7M-1.2M-1.7M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.540.0154.212.120.45
Total Volume12,930.31,165114,9343,6163,857
Total OI767,533661,746819,633782,058684,958

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$35.90$35.0013.9%4.0%12.5%38.2%14.7%2.3%-2.5%21.3M-111.1M-1.7M2.1294.371,1602,456443,339338,719
2012-12-04$35.81$35.0014.2%4.1%12.4%39.9%14.5%2.2%-1.8%13.8M-77.9M-1.6M10.5936.051471,557443,658339,877
2012-12-05$35.89$35.0014.2%4.1%12.2%39.9%13.6%2.1%-2.0%16.1M-85.0M-1.7M3.6036.577942,855443,608339,995
2012-12-06$35.85$35.0013.5%3.9%11.3%35.4%14.0%2.1%-2.0%22.1M-103.4M-1.7M9.8139.416526,395444,205342,076
2012-12-07$36.17$35.0013.0%3.2%10.6%32.0%11.3%3.0%0.8%20.3M-138.6M-1.4M54.2137.8944123,906444,469340,161
2012-12-10$36.13$35.0014.8%3.4%10.7%44.4%13.6%3.5%0.3%14.5M-112.9M-1.5M22.8046.241944,424444,421360,532
2012-12-11$36.17$35.0014.0%3.4%10.7%39.0%11.6%3.8%0.4%28.0M-157.8M-1.5M1.7541.298731,529444,563362,888
2012-12-12$36.08$35.0015.3%3.4%10.7%47.3%12.2%3.6%0.6%16.3M-108.2M-1.4M1.7740.74501885444,155361,621
2012-12-13$36.00$35.0011.8%3.4%9.9%23.3%13.4%3.9%0.7%10.4M-71.3M-1.6M1.0833.20795858444,125361,742
2012-12-14$35.96$35.0011.8%3.4%9.9%23.3%13.6%4.2%1.1%15.1M-93.5M-1.5M1.8837.381,3252,495444,779361,858
2012-12-17$36.03$35.0011.5%3.3%9.8%21.5%14.4%3.9%1.1%17.7M-113.0M-1.4M0.1138.071,052113444,385362,198
2012-12-18$36.01$35.0011.2%3.2%8.3%30.1%13.2%4.1%0.9%14.0M-96.1M-1.4M3.6227.593,57112,939444,116362,294
2012-12-19$35.68$35.0011.3%3.2%9.1%31.8%12.6%4.0%1.0%-1.0M-22.1M-1.3M0.7229.745,4153,885445,029372,425
2012-12-20$35.88$35.0010.9%3.1%9.2%27.8%22.1%3.8%1.0%3.1M-51.2M-1.3M0.0129.04114,094840446,806372,827
2012-12-21$35.14$36.0012.4%3.5%10.6%43.2%12.4%3.3%-0.9%-33.5M132.4M-1.2M3.0372.114,94214,992408,989372,886
2012-12-24$35.06$36.0012.8%3.7%10.4%47.4%13.2%3.3%-0.4%-18.7M78.9M-1.2M9.323.924063,783395,289266,457
2012-12-26$34.78$36.0012.9%3.7%10.7%48.9%12.5%2.9%-0.5%-18.2M105.8M-1.2M0.7922.665,9704,696395,611269,120
2012-12-27$34.81$36.0012.4%3.6%10.0%43.5%12.6%3.1%-0.1%-21.1M91.7M-1.2M0.8622.7310,2758,812400,261270,422
2012-12-28$34.28$36.0014.5%4.1%10.8%65.6%14.6%3.7%-0.4%-25.1M132.7M-1.3M2.3222.311,4223,300409,431276,365
2012-12-31$34.83$36.0012.1%3.5%12.5%40.2%13.0%2.9%-0.2%-22.1M73.7M-1.2M0.4522.472,6511,206409,442275,516