XLP Options History — September 2013

In September 2013, XLP traded between $39.48 and $41.65. ATM implied volatility averaged 11.9%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.0% (HV 20d: 9.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.73.

Notable Days

  • 2013-09-19: Highest Volume — 336,901 contracts
  • 2013-09-13: Largest IV spike — 70.9% change
  • 2013-09-13: Highest IV Rank — 100.0%
  • 2013-09-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.45$39.48$41.65$39.48$39.86
Max Pain$40.83$40.00$42.00$40.00$41.00
ATM IV11.9%9.1%19.4%14.8%13.0%
Expected Move3.5%2.6%6.4%4.2%3.7%
HV 20d9.9%9.3%10.7%9.3%10.7%
HV 60d10.6%9.1%12.1%12.1%9.8%
IV Rank50.1%26.3%100.0%78.7%54.6%
IV Percentile55.8%12.7%100.0%92.5%79.4%
Term Structure-0.4%-12.4%1.8%-0.6%-0.1%
VWIV12.3%10.3%14.1%13.5%14.1%
Skew 25d3.2%-1.2%4.8%4.3%3.8%
Skew 10d7.3%0.3%10.0%7.4%9.2%
Call IV 25d11.1%8.7%23.5%12.5%12.1%
Put IV 25d14.3%11.4%22.3%16.9%15.9%
Bid-Ask Spread %44.253.95121.7830.6765.22
Gamma HHI0.250.120.550.220.13
Net GEX-18.2M-44.9M15.7M-39.0M-7.9M
Net DEX-93.8M-296.4M99.1M99.1M-49.2M
Net VEX-1.8M-2.0M-1.6M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.730.0016.4516.452.60
Total Volume25,761.351,690336,90112,5265,523
Total OI427,884.85296,529492,213480,626311,163

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$39.48$40.0014.8%4.2%9.3%78.7%13.5%4.3%-0.6%-39.0M99.1M-2.0M16.4530.6771811,808202,250278,376
2013-09-04$39.73$40.0012.6%3.6%9.8%60.4%14.0%4.1%-0.2%-40.9M64.7M-1.9M15.0240.221,49922,509202,715287,026
2013-09-05$39.63$40.0012.2%3.5%9.8%56.8%12.3%4.2%0.0%-44.9M81.0M-1.9M1.7819.381,2602,249203,751285,276
2013-09-06$39.77$40.0012.0%3.5%9.7%55.8%13.4%1.6%-0.4%-38.1M34.6M-1.8M2.43121.236571,594204,881276,019
2013-09-09$40.03$40.0012.0%3.5%10.2%55.8%0.0%3.9%0.1%-36.7M-12.0M-1.8M0.979.18856834204,045273,745
2013-09-10$40.10$40.0011.9%3.4%10.2%54.3%13.8%3.6%-0.3%-32.1M-40.0M-1.8M4.914.951,1975,883204,400273,287
2013-09-11$40.34$40.0011.7%3.4%10.6%52.8%11.7%3.6%-0.5%-30.3M-96.2M-1.7M0.475.302,7281,286205,375268,821
2013-09-12$40.39$0.0011.4%3.3%10.4%50.2%0.0%3.3%0.2%-27.3M-124.0M-1.7M3.493.951,1544,028206,898269,036
2013-09-13$40.73$0.0019.4%6.4%9.4%100.0%12.4%-1.2%-12.4%-20.5M-165.0M-1.6M1.74121.782,3224,047207,385271,286
2013-09-16$41.09$41.0010.4%3.0%9.5%35.6%11.4%3.0%1.7%-8.7M-219.3M-1.6M8.976.671,94317,432208,208272,673
2013-09-17$41.20$41.0010.6%3.0%9.3%37.2%11.7%2.9%1.7%-4.8M-226.5M-1.7M6.228.391,3538,417208,707277,725
2013-09-18$41.65$41.009.7%2.8%9.9%30.5%11.9%3.8%1.8%15.7M-296.4M-1.7M1.0110.634,6734,710208,950283,263
2013-09-19$41.52$41.009.1%2.6%9.3%26.3%10.4%2.1%0.4%13.3M-292.0M-1.7M0.0018.42335,7391,162209,357279,422
2013-09-20$41.01$41.0010.4%2.9%10.5%35.7%10.3%2.5%0.5%-40.4M-121.3M-1.8M0.7188.5919,71513,941176,731279,208
2013-09-23$40.80$42.0010.5%3.1%10.6%36.9%13.7%3.0%0.5%-1.8M-137.0M-1.8M1.4343.661,4642,091146,149150,380
2013-09-24$40.59$42.0010.6%3.1%9.7%37.5%11.1%4.8%0.3%-2.8M-114.2M-1.8M1.3365.953,8255,093146,839151,465
2013-09-25$40.25$42.0012.0%3.5%10.0%47.5%12.2%3.3%-0.0%-5.3M-89.0M-1.8M0.9775.373,9733,835149,056154,322
2013-09-26$40.48$42.0012.0%3.4%9.7%46.9%10.3%3.2%-0.1%-5.4M-93.5M-1.8M0.5633.831,461822152,377156,873
2013-09-27$40.25$41.0012.3%3.5%10.0%49.5%12.8%4.2%0.1%-5.4M-79.2M-1.8M3.50111.712,5388,888153,094157,163
2013-09-30$39.86$41.0013.0%3.7%10.7%54.6%14.1%3.8%-0.1%-7.9M-49.2M-1.7M2.6065.221,5343,989152,474158,689