XLP Options History — January 2013

In January 2013, XLP traded between $35.48 and $36.99. ATM implied volatility averaged 8.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 6.0% (HV 20d: 14.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-01-29: Highest Volume — 26,310 contracts
  • 2013-01-09: Largest IV drop — 31.3% change
  • 2013-01-08: Highest IV Rank — 23.7%
  • 2013-01-08: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.22$35.48$36.99$35.82$36.88
Max Pain$35.19$35.00$36.00$36.00$36.00
ATM IV8.9%7.3%10.6%9.2%9.3%
Expected Move2.6%2.1%3.1%2.6%2.7%
HV 20d14.9%5.8%16.6%16.3%5.8%
HV 60d12.6%12.2%12.9%12.9%12.2%
IV Rank13.4%0.0%23.7%9.5%19.2%
IV Percentile8.7%0.0%28.6%9.5%15.9%
Term Structure0.5%-0.3%1.2%0.7%0.3%
VWIV9.7%8.1%11.9%10.3%9.3%
Skew 25d2.7%1.9%4.1%4.1%2.1%
Skew 10d6.1%4.1%9.2%9.2%7.4%
Call IV 25d8.2%7.1%9.6%7.7%8.9%
Put IV 25d10.9%9.5%12.1%11.7%11.0%
Bid-Ask Spread %42.7321.66100.3935.0748.14
Gamma HHI0.260.170.440.200.17
Net GEX3.6M-10.1M11.9M-1.1M11.5M
Net DEX-118.9M-221.7M-18.7M-42.6M-201.3M
Net VEX-941.1K-1.2M-707.8K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.012.330.560.01
Total Volume5,936.52419426,31012,65310,744
Total OI513,289.571202,123704,941686,231242,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$35.82$36.009.2%2.6%16.3%9.5%10.3%4.1%0.7%-1.1M-42.6M-1.1M0.5635.078,1294,524410,350275,881
2013-01-03$35.71$36.009.2%2.6%16.3%9.5%11.8%3.3%0.5%-3.9M-37.5M-1.0M2.3330.821,3823,218413,074278,737
2013-01-04$35.83$35.008.6%2.7%16.3%3.0%10.2%2.8%0.0%-173.0K-62.9M-972.9K1.5621.66170266414,163276,924
2013-01-07$35.57$35.009.7%2.7%16.5%14.2%10.2%2.4%0.2%-7.3M-25.3M-1.0M0.9435.98323303414,187277,017
2013-01-08$35.48$35.0010.6%3.1%16.2%23.7%10.5%3.5%0.5%-10.1M-18.7M-939.1K2.0723.563,3837,001414,115276,904
2013-01-09$35.56$35.007.3%2.7%16.2%0.0%10.6%3.8%0.7%-8.1M-31.3M-945.5K0.9636.303,6313,496414,007276,448
2013-01-10$35.78$35.009.2%2.6%16.4%18.8%11.9%2.5%0.8%-2.7M-60.8M-929.1K0.5925.67958564415,976279,425
2013-01-11$35.89$35.009.0%2.6%16.4%17.2%9.0%2.8%1.2%3.0M-79.7M-983.7K0.0485.8783635416,597279,963
2013-01-14$35.97$35.009.2%2.6%16.4%18.3%9.2%2.6%0.8%5.3M-104.1M-869.5K0.8322.76699579416,644279,977
2013-01-15$36.13$35.009.0%2.6%16.5%16.8%9.0%2.5%1.1%9.7M-123.2M-828.2K0.3637.707,2112,588416,614279,974
2013-01-16$36.09$35.009.1%2.6%16.5%17.7%9.9%2.4%0.9%11.9M-144.4M-733.3K0.4738.86620289422,292279,850
2013-01-17$36.32$35.009.6%2.8%16.6%22.7%8.3%3.1%0.6%7.0M-152.2M-938.6K0.3744.086,9432,555421,274279,533
2013-01-18$36.48$35.008.9%2.5%16.3%15.5%8.8%2.4%0.3%7.4M-198.3M-707.8K0.06100.393,490196425,388279,553
2013-01-22$36.49$35.009.0%2.6%16.2%17.1%10.0%2.4%0.4%4.1M-132.4M-920.1K1.5940.3257290797,622104,501
2013-01-23$36.48$35.009.3%2.7%14.1%19.4%9.0%2.9%0.1%4.8M-138.8M-864.4K0.0139.964,1654497,696104,784
2013-01-24$36.58$35.007.4%2.1%14.0%1.1%8.8%2.1%-0.3%6.3M-160.0M-907.2K0.7544.212,3211,740101,719104,828
2013-01-25$36.79$35.007.5%2.2%13.5%2.8%9.9%2.1%0.5%6.9M-168.1M-901.9K0.0143.3112,26795103,892106,397
2013-01-28$36.78$35.007.6%2.2%13.5%3.0%8.1%1.9%0.5%9.6M-192.4M-1.0M1.6847.047161,203114,749104,868
2013-01-29$36.96$35.009.0%2.6%11.7%16.5%9.5%3.4%0.0%9.5M-200.3M-1.0M0.7048.5715,47910,831115,043105,522
2013-01-30$36.99$36.008.9%2.5%10.9%15.7%8.9%2.4%0.6%11.3M-221.7M-953.7K0.8047.0310886129,472110,417
2013-01-31$36.88$36.009.3%2.7%5.8%19.2%9.3%2.1%0.3%11.5M-201.3M-1.2M0.0148.1410,637107129,910112,794