XLP Options History — January 2014

In January 2014, XLP traded between $40.77 and $42.45. ATM implied volatility averaged 11.3%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.3% (HV 20d: 10.0%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2014-01-29: Highest Volume — 96,213 contracts
  • 2014-01-24: Largest IV spike — 24.4% change
  • 2014-01-31: Highest IV Rank — 56.7%
  • 2014-01-02: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.95$40.77$42.45$42.45$40.77
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV11.3%10.0%13.5%11.3%13.5%
Expected Move3.9%3.8%4.1%4.1%4.0%
HV 20d10.0%7.7%12.4%12.4%10.1%
HV 60d10.5%10.0%11.3%11.2%10.5%
IV Rank41.3%32.4%56.7%41.5%56.7%
IV Percentile49.2%23.0%86.5%55.6%86.5%
Term Structure0.3%-0.8%1.0%0.1%-0.2%
VWIV15.4%10.8%19.2%18.2%16.5%
Skew 25d2.9%2.0%4.0%2.9%4.0%
Skew 10d6.4%3.1%11.0%5.5%11.0%
Call IV 25d10.4%9.3%12.7%10.5%12.7%
Put IV 25d13.3%11.7%16.7%13.4%16.7%
Bid-Ask Spread %30.3214.46119.4117.4916.84
Gamma HHI0.270.150.660.220.20
Net GEX-27.4M-119.0M-112.8K-6.5M-11.9M
Net DEX-73.5M-193.0M132.9M-139.4M104.3M
Net VEX-1.9M-2.1M-1.6M-1.9M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.117.901.233.52
Total Volume36,929.3819,35196,2139,35155,870
Total OI414,614.524349,501503,626398,580409,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$42.45$42.0011.3%4.1%12.4%41.5%18.2%2.9%0.1%-6.5M-139.4M-1.9M1.2317.494,1945,157188,596209,984
2014-01-03$42.43$42.0010.7%4.0%12.4%37.3%14.2%2.8%0.2%-11.4M-141.9M-1.8M0.2116.739,8492,039187,793210,605
2014-01-06$42.17$42.0011.5%4.0%12.1%42.9%15.1%3.1%-0.1%-18.3M-110.1M-1.7M0.2418.4410,0022,408189,063207,447
2014-01-07$42.44$42.0010.6%3.9%10.9%36.3%0.0%2.5%0.6%-112.8K-167.5M-1.8M1.3114.4619,17725,172195,989205,694
2014-01-08$42.12$42.0011.2%3.9%11.1%40.4%12.3%2.9%-0.3%-30.6M-76.6M-1.8M1.7923.1227,99350,179187,350224,433
2014-01-09$42.34$42.0010.0%3.9%11.0%32.4%0.0%2.6%0.6%-16.9M-153.9M-2.1M0.1718.0913,8612,382213,842252,267
2014-01-10$42.38$42.0010.2%3.9%10.9%33.5%0.0%2.3%0.4%-13.7M-168.0M-2.1M0.6719.4513,3618,978226,205249,172
2014-01-13$42.16$42.0010.7%3.9%9.5%37.1%13.1%2.9%-0.2%-39.1M-107.6M-2.0M0.3820.7119,7707,553220,584249,075
2014-01-14$42.38$42.0010.1%3.9%9.7%32.7%0.0%2.3%0.9%-15.0M-193.0M-2.0M0.1122.9930,5203,483230,115254,096
2014-01-15$42.39$42.0010.2%3.9%9.7%33.5%10.8%2.3%1.0%-24.8M-180.5M-2.0M0.9116.1016,10614,677228,211252,971
2014-01-16$42.35$42.0010.8%3.9%9.6%37.6%0.0%2.6%0.7%-29.4M-181.0M-2.1M1.5021.888,38312,565235,162263,971
2014-01-17$42.07$42.0010.9%3.8%7.7%38.6%15.3%2.0%-0.3%-84.4M-77.8M-2.1M1.1221.1732,55336,468235,494268,132
2014-01-21$42.24$42.0010.7%3.8%7.9%37.3%15.2%2.5%0.7%-24.2M-138.3M-1.7M0.74119.199,0256,702176,960180,329
2014-01-22$42.23$42.0010.3%3.9%7.9%34.6%14.7%2.4%0.9%-26.1M-149.1M-1.6M7.9018.701,86814,754174,929182,073
2014-01-23$41.86$42.0010.5%3.9%8.4%36.1%16.2%3.2%0.6%-52.5M15.7M-1.9M0.9525.676,3416,006176,150197,571
2014-01-24$41.44$42.0013.1%3.8%9.0%53.9%19.2%3.8%-0.3%-119.0M132.9M-1.9M3.86119.4115,42559,553177,553197,956
2014-01-27$41.31$42.0012.6%4.0%8.9%50.2%0.0%3.7%0.8%-12.3M30.6M-1.8M2.8129.783,81810,715175,283174,218
2014-01-28$41.63$42.0012.0%3.8%9.2%46.4%17.7%3.1%-0.8%-11.8M-36.7M-1.8M0.9627.769,6139,267176,271175,846
2014-01-29$40.92$42.0013.3%4.0%10.7%55.2%16.9%3.9%0.2%-14.7M99.9M-1.7M1.1128.3045,68450,529183,640180,045
2014-01-30$40.96$42.0013.1%4.0%10.7%53.8%0.0%3.7%-0.0%-13.0M93.4M-1.8M1.1020.4244,46449,053194,542187,977
2014-01-31$40.77$42.0013.5%4.0%10.1%56.7%16.5%4.0%-0.2%-11.9M104.3M-1.8M3.5216.8412,36243,508211,280198,031