XLP Options History — July 2013

In July 2013, XLP traded between $39.93 and $41.74. ATM implied volatility averaged 11.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 2.3% (HV 20d: 13.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.05.

Notable Days

  • 2013-07-02: Highest Volume — 48,653 contracts
  • 2013-07-29: Largest IV spike — 15.4% change
  • 2013-07-08: Highest IV Rank — 62.3%
  • 2013-07-05: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.12$39.93$41.74$40.05$41.45
Max Pain$40.50$40.00$41.00$40.00$41.00
ATM IV11.4%9.5%12.8%12.5%10.9%
Expected Move3.3%2.7%3.8%3.6%3.1%
HV 20d13.8%8.1%17.8%17.5%8.1%
HV 60d14.1%13.6%14.6%14.6%13.6%
IV Rank50.4%34.9%62.3%59.5%45.9%
IV Percentile56.3%19.4%78.6%76.6%46.8%
Term Structure1.1%0.8%1.7%0.9%1.7%
VWIV12.3%10.1%16.5%12.5%10.4%
Skew 25d2.2%1.7%3.6%2.1%1.8%
Skew 10d4.9%2.2%7.3%5.8%2.9%
Call IV 25d10.9%9.6%12.0%12.0%10.1%
Put IV 25d13.1%11.6%15.4%14.1%11.9%
Bid-Ask Spread %32.556.5099.8415.2228.72
Gamma HHI0.190.150.270.270.17
Net GEX-10.6M-39.4M3.4M-39.4M834.2K
Net DEX-179.9M-363.3M86.8M67.7M-234.0M
Net VEX-2.7M-3.3M-2.3M-2.9M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.050.3941.973.681.20
Total Volume11,743.4551,37548,65316,7352,107
Total OI532,572.364460,550607,998520,613463,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$40.05$40.0012.5%3.6%17.5%59.5%12.5%2.1%0.9%-39.4M67.7M-2.9M3.6815.223,57813,157198,088322,525
2013-07-02$40.04$40.0012.5%3.6%17.5%59.7%13.3%2.5%0.9%-36.2M72.1M-3.1M1.216.5021,99126,662200,110326,328
2013-07-03$39.93$40.0012.4%3.5%17.0%58.6%12.4%2.3%1.0%-36.3M86.8M-3.3M10.7910.929279,998221,264346,828
2013-07-05$40.01$40.0011.9%3.8%17.0%54.3%14.0%3.6%1.0%-31.6M52.5M-3.3M1.1063.6611,68112,821221,806339,288
2013-07-08$40.43$40.0012.8%3.8%16.8%62.3%12.5%3.2%0.8%-26.7M-56.9M-3.0M1.8926.192,8755,439222,712341,992
2013-07-09$40.78$40.0011.2%3.4%17.1%48.8%12.2%2.9%1.2%-19.8M-147.0M-2.9M3.2920.492,3117,614217,631336,094
2013-07-10$40.78$40.0010.8%3.4%17.1%45.6%15.2%2.8%1.1%-21.2M-136.7M-3.0M1.6514.547,05911,643218,664339,144
2013-07-11$41.43$40.0012.0%3.4%17.8%55.7%14.5%2.2%1.1%-5.9M-298.8M-2.7M1.3811.979,36312,938225,223345,723
2013-07-12$41.38$40.0012.3%3.5%17.5%58.1%16.5%2.5%0.9%-6.7M-279.5M-2.8M1.4278.127,58310,762228,807354,010
2013-07-15$41.49$40.0012.4%3.6%17.5%58.8%12.2%2.1%0.9%-2.3M-304.5M-2.8M1.4111.773,1424,434234,160358,952
2013-07-16$41.34$40.0012.5%3.6%17.3%59.8%14.3%2.0%0.9%-5.4M-286.3M-2.6M3.3032.074,04713,337234,218362,319
2013-07-17$41.42$41.0012.3%3.5%17.3%58.2%13.6%2.1%0.8%-3.1M-299.5M-2.6M1.6123.842,0903,358236,688371,310
2013-07-18$41.56$41.0011.0%3.2%15.8%47.2%12.3%1.9%1.2%-1.2M-313.4M-2.5M0.8726.621,9351,682236,388358,548
2013-07-19$41.74$41.0010.3%2.9%9.2%40.9%10.1%1.7%1.4%3.4M-363.3M-2.4M1.6499.841,1381,868237,090358,910
2013-07-22$41.71$41.0010.2%2.9%9.2%40.3%10.8%1.7%1.3%2.0M-221.8M-2.7M3.1926.581,1673,722195,025268,770
2013-07-23$41.67$41.0010.1%2.9%8.9%39.1%10.7%1.7%1.4%126.6K-227.0M-2.6M2.3921.915221,249195,752271,452
2013-07-24$41.44$41.0011.3%3.3%9.4%50.0%11.1%2.2%1.4%-3.5M-193.0M-2.7M0.3927.573,5011,382195,981271,474
2013-07-25$41.58$41.009.8%2.8%8.9%36.9%11.3%1.9%1.6%-1.3M-222.3M-2.6M0.5626.25884491196,156272,317
2013-07-26$41.53$41.009.5%2.7%8.9%34.9%10.5%2.0%1.5%-177.0K-242.3M-2.3M41.9784.3951021,404196,553272,717
2013-07-29$41.44$41.0011.0%3.2%8.5%47.2%10.5%1.7%1.1%1.9M-200.6M-2.5M2.6824.829332,502196,850263,700
2013-07-30$41.39$41.0011.0%3.2%8.1%47.4%10.5%1.9%1.3%407.2K-210.1M-2.5M1.5734.039931,556197,085264,857
2013-07-31$41.45$41.0010.9%3.1%8.1%45.9%10.4%1.8%1.7%834.2K-234.0M-2.3M1.2028.729561,151197,685265,398