XLP Options History — June 2013

In June 2013, XLP traded between $39.15 and $41.22. ATM implied volatility averaged 15.2%, placing in the 81.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.6% (HV 20d: 15.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2013-06-20: Highest Volume — 223,632 contracts
  • 2013-06-13: Largest IV drop — 23.1% change
  • 2013-06-12: Highest IV Rank — 100.0%
  • 2013-06-20: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.21$39.15$41.22$40.49$39.67
Max Pain$40.20$40.00$41.00$40.00$40.00
ATM IV15.2%12.7%17.3%17.2%12.7%
Expected Move4.2%3.6%5.0%4.9%3.6%
HV 20d15.8%13.8%19.3%14.1%17.6%
HV 60d13.2%12.1%14.6%12.1%14.5%
IV Rank81.8%61.2%100.0%96.0%61.2%
IV Percentile93.7%77.4%100.0%99.6%77.4%
Term Structure-0.2%-2.8%1.0%-2.5%0.7%
VWIV15.2%13.2%18.7%18.7%14.2%
Skew 25d3.5%2.6%4.0%3.9%3.2%
Skew 10d7.3%5.2%9.3%6.9%6.8%
Call IV 25d13.4%12.1%16.0%14.3%12.3%
Put IV 25d17.0%15.5%19.3%18.2%15.6%
Bid-Ask Spread %34.739.1387.7712.7787.77
Gamma HHI0.240.220.340.250.24
Net GEX-47.8M-57.7M-34.0M-51.3M-39.3M
Net DEX64.1M-304.0M461.9M57.4M182.8M
Net VEX-3.7M-4.4M-3.2M-4.3M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.3011.022.981.73
Total Volume36,437.15,920223,63231,6175,920
Total OI806,725.5518,636924,574879,260527,892

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$40.49$40.0017.2%4.9%14.1%96.0%18.7%3.9%-2.5%-51.3M57.4M-4.3M2.9812.777,95023,667339,034540,226
2013-06-04$40.49$40.0016.8%4.8%13.8%92.9%16.4%3.5%-2.4%-53.0M48.8M-4.3M1.259.1319,71524,575338,703550,529
2013-06-05$40.01$40.0016.7%4.8%14.0%92.0%17.0%3.2%-2.4%-53.7M209.0M-4.3M4.7412.014,61521,867355,333550,008
2013-06-06$40.19$40.0016.7%4.8%14.1%96.0%17.0%2.6%-2.8%-53.1M129.0M-4.2M3.7768.124,54517,133355,225553,180
2013-06-07$40.67$40.0014.7%3.7%14.7%78.8%14.4%3.8%0.7%-50.5M-69.9M-4.4M11.0285.632,26424,946357,275563,935
2013-06-10$40.68$40.0015.6%3.9%14.6%86.5%14.4%3.9%0.7%-47.5M-99.0M-4.2M6.7022.862,58117,295357,734562,117
2013-06-11$40.59$40.0016.0%3.9%14.6%89.7%14.3%3.5%0.3%-51.5M-43.0M-4.2M0.4933.4434,59016,903358,411566,163
2013-06-12$40.38$40.0017.2%4.3%13.9%100.0%15.2%4.0%0.5%-55.2M48.9M-4.1M0.3037.8022,3836,770344,988565,509
2013-06-13$40.80$40.0013.3%3.8%13.9%66.4%13.7%3.9%1.0%-49.6M-130.2M-3.7M1.5152.8711,83017,805325,339560,221
2013-06-14$40.70$40.0013.4%3.9%13.8%68.1%14.3%3.8%0.8%-54.9M-97.1M-3.8M2.8032.987,83121,948332,823562,948
2013-06-17$41.06$41.0013.6%3.9%14.3%69.5%13.9%3.9%0.8%-46.8M-214.7M-3.6M3.4835.135,12917,847338,913568,321
2013-06-18$41.22$41.0013.6%3.9%13.9%69.2%13.5%4.0%0.9%-44.4M-304.0M-3.6M1.6524.3911,21618,497340,970570,980
2013-06-19$40.47$41.0014.6%4.2%15.3%78.2%13.9%3.2%0.3%-57.7M-10.3M-3.5M2.2424.086,60614,816344,942566,425
2013-06-20$39.15$41.0017.3%5.0%19.0%100.0%17.3%3.3%-0.9%-53.6M461.9M-3.4M0.8419.92121,246102,386342,044546,423
2013-06-21$39.43$40.0015.5%4.4%19.3%84.6%16.3%3.4%-0.1%-51.6M360.7M-3.3M2.6665.8218,31848,681312,224552,233
2013-06-24$39.27$40.0016.2%4.7%18.9%90.7%16.7%4.0%-0.2%-34.6M247.0M-3.2M3.0417.874,26412,959192,343327,150
2013-06-25$39.30$40.0015.6%4.5%18.8%85.6%14.5%3.9%-0.2%-36.8M241.7M-3.2M2.4218.722,1985,325193,590328,629
2013-06-26$39.74$40.0013.2%3.8%18.5%65.0%15.5%2.9%0.5%-37.2M154.9M-3.2M4.0518.412,2519,125194,396324,240
2013-06-27$39.92$40.0013.3%3.8%18.6%66.4%13.2%3.3%0.4%-34.0M107.4M-3.2M4.1414.982,0908,655195,782327,312
2013-06-28$39.67$40.0012.7%3.6%17.6%61.2%14.2%3.2%0.7%-39.3M182.8M-3.2M1.7387.772,1693,751196,988330,904