XLP Options History — August 2013

In August 2013, XLP traded between $39.21 and $41.79. ATM implied volatility averaged 11.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 4.3% (HV 20d: 7.5%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.92.

Notable Days

  • 2013-08-05: Highest Volume — 35,787 contracts
  • 2013-08-12: Largest IV spike — 38.8% change
  • 2013-08-30: Highest IV Rank — 91.0%
  • 2013-08-30: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.65$39.21$41.79$41.69$39.48
Max Pain$40.64$39.00$41.00$41.00$39.00
ATM IV11.8%8.7%16.3%9.8%16.3%
Expected Move3.5%2.5%4.3%2.8%4.3%
HV 20d7.5%5.0%9.4%8.0%9.4%
HV 60d13.1%12.3%13.5%13.5%12.3%
IV Rank53.9%27.5%91.0%37.1%91.0%
IV Percentile56.8%6.7%97.2%23.4%97.2%
Term Structure0.6%-1.4%8.5%1.3%8.5%
VWIV12.8%9.8%17.3%10.7%12.4%
Skew 25d3.3%1.3%5.0%1.3%4.0%
Skew 10d7.2%4.3%10.6%4.7%10.6%
Call IV 25d11.0%9.0%12.3%9.9%12.3%
Put IV 25d14.3%10.8%17.1%11.2%16.2%
Bid-Ask Spread %42.7112.63112.9212.63112.92
Gamma HHI0.180.150.220.170.20
Net GEX-15.7M-38.0M7.1M5.1M-36.5M
Net DEX-88.0M-283.8M148.2M-248.3M102.7M
Net VEX-2.2M-2.4M-2.0M-2.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.920.2710.289.482.80
Total Volume8,261.81876635,7877,3351,985
Total OI489,949.682460,114530,179463,803482,684

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$41.69$41.009.8%2.8%8.0%37.1%10.7%1.3%1.3%5.1M-248.3M-2.4M9.4812.637006,635197,976265,827
2013-08-02$41.71$41.008.7%2.5%8.1%27.5%9.8%1.7%1.8%7.1M-283.8M-2.2M1.48104.42523775198,038271,563
2013-08-05$41.79$41.009.2%3.1%7.4%31.8%13.6%2.5%1.1%6.6M-278.3M-2.2M1.0916.1217,09418,693198,184272,113
2013-08-06$41.73$41.008.9%3.2%7.0%30.0%11.2%2.5%1.0%4.6M-267.3M-2.3M0.8814.301,1561,019213,670289,519
2013-08-07$41.54$41.009.6%3.2%7.3%35.7%11.2%2.6%0.9%158.5K-233.0M-2.3M0.2712.668,2932,255213,772289,615
2013-08-08$41.73$41.008.7%3.1%5.0%28.2%11.4%2.8%1.2%6.9M-259.4M-2.4M1.5214.257131,086220,898289,692
2013-08-09$41.54$41.008.8%3.1%5.3%28.7%12.6%2.9%1.2%4.1M-256.2M-2.2M10.2896.367908,118221,191290,449
2013-08-12$41.45$41.0012.2%3.5%5.2%57.2%12.8%3.1%0.4%-444.5K-231.1M-2.2M4.6413.887743,592221,457295,588
2013-08-13$41.48$41.0011.0%3.5%5.1%47.1%11.2%3.0%0.5%-1.1M-219.0M-2.1M1.6514.088,45613,935221,788296,577
2013-08-14$41.19$41.009.7%3.5%5.6%36.2%12.1%3.0%0.5%-10.6M-163.3M-2.4M6.5617.011,0126,637223,329305,188
2013-08-15$40.57$41.0012.6%3.6%7.5%60.7%13.0%3.4%0.7%-22.2M-50.8M-2.3M2.3119.052,4165,583222,929305,496
2013-08-16$40.28$41.0013.2%3.8%7.5%65.3%14.1%3.3%0.2%-23.4M-30.8M-2.2M4.9494.571,4817,315224,750305,429
2013-08-19$40.11$41.0013.2%3.8%7.6%65.4%13.1%4.1%-0.7%-24.5M553.3K-2.2M7.1913.871,1148,008195,287264,827
2013-08-20$40.12$41.0012.9%3.7%7.6%63.0%12.7%3.8%-0.5%-25.9M-10.9M-2.2M5.1114.827593,878195,677267,210
2013-08-21$39.78$41.0013.3%3.8%7.9%65.9%14.4%4.1%-0.8%-31.4M54.0M-2.1M6.1115.111,82611,149196,096268,137
2013-08-22$39.98$41.0013.0%3.7%8.0%63.7%13.8%3.7%-0.3%-32.3M39.8M-2.3M3.2865.475001,642197,266273,960
2013-08-23$40.21$41.0012.6%3.6%8.5%60.3%13.7%3.7%-0.4%-26.6M-28.8M-2.1M5.2345.33123643197,468274,869
2013-08-26$39.72$40.0012.8%3.6%9.3%61.6%11.3%4.5%-0.4%-33.6M59.6M-2.1M1.6669.263,6386,048197,505275,140
2013-08-27$39.49$40.0014.9%4.3%9.4%79.3%16.0%4.2%-1.4%-36.6M97.1M-2.1M6.8941.238986,183200,099279,238
2013-08-28$39.21$39.0014.3%4.1%9.4%74.8%17.3%5.0%-1.0%-37.7M148.2M-2.0M1.0667.692,7512,928200,302277,934
2013-08-29$39.39$39.0014.4%4.1%9.3%75.4%12.4%4.0%-0.6%-38.0M124.2M-2.1M1.8764.673,0045,632201,634278,522
2013-08-30$39.48$39.0016.3%4.3%9.4%91.0%0.0%4.0%8.5%-36.5M102.7M-2.1M2.80112.925231,462202,284280,400