XLP Options History — February 2014

In February 2014, XLP traded between $39.88 and $42.35. ATM implied volatility averaged 12.0%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 1.6% (HV 20d: 13.6%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.86.

Notable Days

  • 2014-02-03: Highest Volume — 61,070 contracts
  • 2014-02-07: Largest IV drop — 12.9% change
  • 2014-02-04: Highest IV Rank — 74.5%
  • 2014-02-04: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.33$39.88$42.35$39.88$42.35
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV12.0%10.2%16.1%15.6%10.2%
Expected Move3.9%3.7%4.4%4.1%3.9%
HV 20d13.6%12.0%14.6%12.3%12.2%
HV 60d11.4%10.9%11.7%11.4%11.7%
IV Rank45.8%33.6%74.5%70.9%33.6%
IV Percentile53.6%20.2%94.4%93.3%20.2%
Term Structure0.1%-1.9%1.3%-0.2%-0.1%
VWIV13.1%11.0%15.7%12.7%11.5%
Skew 25d3.4%2.7%4.8%4.8%3.3%
Skew 10d7.6%5.3%10.2%8.8%8.2%
Call IV 25d11.0%9.6%14.0%14.0%9.6%
Put IV 25d14.3%12.8%18.8%18.8%12.8%
Bid-Ask Spread %23.6310.52100.7720.5413.30
Gamma HHI0.220.120.370.210.19
Net GEX-13.0M-27.2M3.7M-17.4M-11.2M
Net DEX-21.8M-228.3M275.2M275.2M-166.9M
Net VEX-1.4M-1.8M-1.0M-1.8M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.365.712.030.65
Total Volume18,573.1052,38661,07061,0704,856
Total OI373,797.526216,144441,506413,520253,687

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$39.88$42.0015.6%4.1%12.3%70.9%12.7%4.8%-0.2%-17.4M275.2M-1.8M2.0320.5420,13640,934207,162206,358
2014-02-04$40.09$42.0016.1%4.4%12.6%74.5%0.0%4.6%-1.9%-26.9M251.4M-1.6M2.80100.779,41726,325212,960219,916
2014-02-05$40.12$42.0014.6%4.2%12.2%64.0%15.7%3.6%0.1%-23.3M238.7M-1.5M1.2222.5415,80319,249215,254212,001
2014-02-06$40.49$42.0013.4%4.1%12.8%55.6%0.0%3.2%1.0%-9.2M132.3M-1.6M0.9622.143,7583,616226,823212,274
2014-02-07$40.95$42.0011.6%3.9%13.4%43.6%0.0%2.9%0.3%-27.2M-9.4M-1.6M0.8015.6912,44610,009227,130214,376
2014-02-10$41.09$42.0011.8%3.9%13.5%44.5%0.0%2.8%-0.1%-6.8M-1.6M-1.6M0.7826.482,5331,974207,586209,334
2014-02-11$41.57$42.0011.3%3.9%14.2%40.9%11.3%2.7%-0.4%-1.3M-110.0M-1.6M1.2212.578,99711,003207,835210,267
2014-02-12$41.31$42.0011.3%4.0%14.1%41.2%0.0%2.8%1.3%-4.6M-51.4M-1.6M0.6725.307,6425,097206,887214,366
2014-02-13$41.55$42.0011.1%3.8%14.4%39.8%0.0%3.1%-0.5%-3.0M-108.9M-1.6M0.6313.514,9033,092207,012216,690
2014-02-14$41.83$42.0010.9%3.9%14.6%38.3%0.0%2.9%-0.0%3.7M-228.3M-1.3M2.7616.045,69915,742210,585218,506
2014-02-18$41.60$42.0011.6%3.9%14.6%43.0%11.0%3.1%0.6%-11.4M-58.1M-1.4M1.4621.102,8714,201204,910208,530
2014-02-19$41.51$42.0011.6%3.7%14.5%43.3%0.0%3.3%0.5%-13.6M-14.9M-1.4M1.6047.114,8027,670205,526210,224
2014-02-20$41.69$42.0011.5%3.8%14.6%42.9%15.4%3.6%0.8%-4.6M-105.6M-1.0M4.1820.307,11629,742201,283214,406
2014-02-21$41.59$42.0011.1%3.8%14.3%39.9%13.1%3.8%0.7%-25.6M-10.2M-1.5M3.1910.523,1119,915202,935232,474
2014-02-24$41.72$42.0011.4%4.0%13.9%41.7%14.1%3.6%0.0%-11.1M-94.7M-1.0M5.7121.212,66115,206103,152112,992
2014-02-25$41.91$42.0010.6%3.9%13.9%36.2%0.0%3.2%-0.1%-19.4M-115.5M-1.0M2.6112.301,2143,170104,545124,126
2014-02-26$41.87$42.0010.8%3.9%13.6%37.7%0.0%3.5%-0.2%-24.3M-108.9M-1.1M1.6314.859061,480105,213124,612
2014-02-27$42.06$42.0010.9%3.8%12.0%38.6%11.5%3.2%-0.3%-9.2M-127.3M-1.0M0.3612.6818,8596,734105,360124,856
2014-02-28$42.35$42.0010.2%3.9%12.2%33.6%0.0%3.3%-0.1%-11.2M-166.9M-1.2M0.6513.302,9431,913122,772130,915