XLP Options History — May 2013

In May 2013, XLP traded between $40.08 and $42.13. ATM implied volatility averaged 11.9%, placing in the 53.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.5% (HV 20d: 11.4%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.45.

Notable Days

  • 2013-05-31: Highest Volume — 113,103 contracts
  • 2013-05-14: Largest IV drop — 25.1% change
  • 2013-05-31: Highest IV Rank — 91.5%
  • 2013-05-31: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.32$40.08$42.13$40.90$40.08
Max Pain$40.05$39.00$41.00$41.00$40.00
ATM IV11.9%9.2%16.6%11.8%16.6%
Expected Move3.5%3.0%4.8%3.4%4.8%
HV 20d11.4%9.1%13.6%12.3%13.6%
HV 60d10.4%9.8%11.9%10.0%11.9%
IV Rank53.5%31.0%91.5%52.7%91.5%
IV Percentile64.6%14.3%99.2%71.4%99.2%
Term Structure-0.2%-1.7%1.0%0.3%-1.5%
VWIV13.1%9.5%17.3%11.8%17.3%
Skew 25d4.1%3.2%5.7%3.5%4.9%
Skew 10d8.0%5.5%10.0%7.0%9.2%
Call IV 25d10.7%9.3%14.2%10.7%14.2%
Put IV 25d14.8%12.9%19.1%14.2%19.1%
Bid-Ask Spread %31.879.74105.5312.8890.65
Gamma HHI0.230.150.330.300.22
Net GEX-20.9M-40.3M-2.2M-31.3M-40.3M
Net DEX-388.6M-664.1M153.9M-321.1M153.9M
Net VEX-3.6M-4.3M-3.4M-3.8M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.450.8110.822.3010.82
Total Volume33,546.8184,465113,10312,132113,103
Total OI760,637.455676,500829,800714,381823,377

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$40.90$41.0011.8%3.4%12.3%52.7%11.8%3.5%0.3%-31.3M-321.1M-3.8M2.3012.883,6788,454331,646382,735
2013-05-02$41.05$41.0011.6%3.3%12.3%50.5%10.2%3.3%0.4%-28.7M-367.6M-3.6M1.5113.816,75010,172328,228382,980
2013-05-03$41.25$41.0011.4%3.3%12.0%49.4%9.5%3.3%0.6%-24.8M-437.8M-3.5M3.24105.534,20413,618329,226382,057
2013-05-06$40.91$39.0011.1%3.4%12.0%46.4%14.8%4.2%-0.1%-33.0M-324.3M-3.5M5.2312.0914,59576,284326,737384,853
2013-05-07$41.25$39.0011.2%3.4%12.3%47.2%14.4%4.6%-0.1%-33.0M-401.0M-3.6M7.6613.922,01915,456327,960444,291
2013-05-08$41.29$40.0010.9%3.4%12.2%45.5%12.5%4.5%-0.3%-30.8M-414.3M-3.6M2.4613.984,47111,018328,691435,591
2013-05-09$41.01$40.0010.6%3.4%12.4%42.4%11.7%4.7%0.0%-38.5M-320.3M-3.7M2.3011.667,05116,198332,474440,182
2013-05-10$41.13$40.0010.8%3.4%12.4%44.0%12.2%4.4%0.1%-32.6M-388.4M-3.6M4.9586.207513,714335,341448,097
2013-05-13$41.22$40.0012.2%3.4%11.5%55.9%12.6%4.4%-0.0%-28.5M-411.6M-3.5M1.0314.105,1715,327335,113449,479
2013-05-14$41.72$40.009.2%3.0%11.3%31.0%12.3%4.0%1.0%-9.2M-577.8M-3.5M2.6044.085,20513,551337,382449,210
2013-05-15$42.13$40.0010.1%3.2%11.3%38.7%12.3%3.7%0.3%-2.2M-664.1M-3.4M1.4415.3420,43029,407339,417456,774
2013-05-16$41.88$40.0011.2%3.2%11.5%47.7%11.5%3.8%0.6%-12.2M-587.7M-3.4M7.7311.736,95053,741349,003473,858
2013-05-17$41.94$40.0010.7%3.1%10.3%43.2%12.5%3.6%1.0%-34.6M-584.9M-3.4M0.8114.336,0304,861350,002479,798
2013-05-20$41.51$40.0011.3%3.2%11.1%48.3%12.1%4.1%-0.4%-5.2M-427.6M-3.5M2.1211.8615,50732,902310,118366,382
2013-05-21$41.55$40.0011.2%3.2%10.7%47.7%12.3%4.1%-0.1%-2.8M-431.3M-3.6M3.3575.363,93413,197323,942389,239
2013-05-22$41.53$40.0012.0%3.5%9.1%54.3%12.9%3.5%-0.9%-3.1M-443.1M-3.6M2.3116.848,41119,462324,272394,277
2013-05-23$41.31$40.0013.3%3.8%9.3%64.9%14.1%4.0%-0.9%-8.7M-349.9M-3.8M3.4116.116,53922,319324,847407,601
2013-05-24$41.67$40.0012.0%3.4%9.8%53.8%13.7%3.2%-0.6%-3.5M-475.2M-3.7M3.5088.404,87417,050327,473424,024
2013-05-28$41.77$40.0013.0%3.7%9.8%62.0%14.2%4.2%-1.3%-4.5M-457.4M-3.8M2.949.745,36415,755330,764438,751
2013-05-29$41.00$40.0015.3%4.4%12.0%80.7%16.4%5.7%-1.7%-19.0M-205.6M-3.9M2.4810.9426,36565,275329,289444,347
2013-05-30$40.84$40.0015.0%4.3%12.0%78.8%16.4%5.4%-1.2%-33.6M-111.7M-4.0M1.7611.596,84112,026327,549486,647
2013-05-31$40.08$40.0016.6%4.8%13.6%91.5%17.3%4.9%-1.5%-40.3M153.9M-4.3M10.8290.659,566103,537333,276490,101