XLP Options History — December 2013

In December 2013, XLP traded between $42.06 and $43.23. ATM implied volatility averaged 11.2%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.6% (HV 20d: 10.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2013-12-19: Highest Volume — 286,513 contracts
  • 2013-12-27: Largest IV spike — 45.1% change
  • 2013-12-27: Highest IV Rank — 64.5%
  • 2013-12-05: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.70$42.06$43.23$42.76$42.98
Max Pain$42.19$42.00$43.00$43.00$42.00
ATM IV11.2%7.1%14.6%11.2%10.3%
Expected Move4.0%3.8%4.2%4.0%3.9%
HV 20d10.5%8.8%12.0%8.8%11.8%
HV 60d10.9%10.4%11.4%10.5%10.8%
IV Rank40.2%12.2%64.5%40.3%34.1%
IV Percentile47.9%1.2%88.9%47.6%31.0%
Term Structure0.3%-2.1%1.9%0.0%0.3%
VWIV16.2%12.0%18.4%12.0%16.2%
Skew 25d3.1%2.3%4.2%3.2%2.8%
Skew 10d6.8%4.3%10.9%5.8%5.4%
Call IV 25d10.3%9.0%12.4%10.1%9.6%
Put IV 25d13.4%11.5%16.3%13.4%12.3%
Bid-Ask Spread %23.596.85103.666.8518.08
Gamma HHI0.340.220.600.260.25
Net GEX34.0M7.0M136.2M21.7M22.5M
Net DEX-296.5M-465.9M-156.7M-361.5M-295.7M
Net VEX-1.9M-2.3M-1.4M-1.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.028.461.008.46
Total Volume30,336.2862,769286,5139,52114,637
Total OI529,581.571387,512638,333551,173387,512

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$42.76$43.0011.2%4.0%8.8%40.3%12.0%3.2%0.0%21.7M-361.5M-1.7M1.006.854,7514,770273,462277,711
2013-12-03$42.99$43.0011.3%3.9%9.0%41.1%0.0%2.7%-0.0%24.0M-349.8M-2.3M1.7253.451,8713,209275,649280,892
2013-12-04$42.90$43.0011.4%4.0%9.0%41.9%14.3%2.9%0.0%20.4M-334.2M-2.1M0.4317.482,8601,225276,417282,528
2013-12-05$42.48$43.0011.6%4.2%9.0%43.1%14.5%4.2%1.2%14.4M-269.1M-2.1M0.6317.504,2602,688276,066282,852
2013-12-06$43.13$42.0010.7%4.0%9.1%37.2%18.4%2.8%0.3%25.8M-397.9M-2.1M0.6421.782,0621,325278,363284,484
2013-12-09$43.23$42.0011.0%4.0%8.9%39.0%0.0%2.5%-0.0%31.0M-465.9M-1.6M0.4913.881,853916274,364283,265
2013-12-10$42.84$42.0011.2%4.0%9.5%40.7%0.0%3.0%0.3%26.2M-372.9M-1.7M0.5915.163,2781,925273,793283,244
2013-12-11$42.95$42.0011.5%3.9%9.6%42.9%0.0%3.4%0.0%24.4M-380.1M-1.6M2.4015.761,2232,938275,284283,875
2013-12-12$42.28$42.0012.3%4.1%10.7%48.6%0.0%3.5%0.5%10.4M-221.3M-1.9M1.5820.582,1553,408275,181285,661
2013-12-13$42.27$42.0012.2%4.0%10.2%47.3%0.0%2.9%0.6%9.4M-209.2M-2.0M4.5314.627913,581276,417286,944
2013-12-16$42.26$42.0012.9%4.1%10.2%52.6%17.9%3.9%0.9%7.0M-184.5M-2.0M0.5815.9651,46729,619274,128286,843
2013-12-17$42.06$42.0013.1%4.1%10.3%53.6%18.4%3.9%0.7%15.5M-156.7M-2.1M1.3920.4111,52716,076323,706301,575
2013-12-18$42.76$42.0011.2%3.9%12.0%40.2%0.0%3.0%0.7%62.0M-336.1M-2.2M0.9624.326,4246,138333,235303,330
2013-12-19$42.68$42.0010.6%3.9%12.0%36.7%0.0%2.4%0.5%51.3M-327.3M-2.2M0.02103.66279,8246,689335,384302,949
2013-12-20$42.55$42.007.1%3.9%12.0%12.2%0.0%3.2%-2.1%53.5M-187.9M-2.0M0.6516.4852,01533,833291,377306,040
2013-12-23$42.51$42.0010.1%3.9%11.7%33.2%18.1%3.0%0.3%46.4M-277.5M-1.6M2.0518.265,96412,205230,918184,900
2013-12-24$42.57$42.0010.1%3.9%11.7%32.9%0.0%2.5%0.1%36.1M-226.3M-1.6M0.1518.017,6351,155230,403195,744
2013-12-26$42.68$42.0010.1%3.8%11.8%32.9%0.0%2.3%0.3%50.2M-225.9M-2.0M0.1417.6612,8491,773224,455196,533
2013-12-27$42.88$42.0014.6%3.9%11.9%64.5%16.2%4.2%1.9%136.2M-345.2M-2.0M0.3329.7011,2663,725233,194197,418
2013-12-30$42.95$42.009.7%3.9%12.0%30.1%0.0%2.5%0.4%25.9M-302.1M-1.6M0.1515.7618,4102,742197,639197,478
2013-12-31$42.98$42.0010.3%3.9%11.8%34.1%0.0%2.8%0.3%22.5M-295.7M-1.4M8.4618.081,54713,090188,700198,812