XLP Options History — May 2014

In May 2014, XLP traded between $43.82 and $45.05. ATM implied volatility averaged 9.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.8% (HV 20d: 8.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 5.88.

Notable Days

  • 2014-05-07: Highest Volume — 123,178 contracts
  • 2014-05-15: Largest IV spike — 11.6% change
  • 2014-05-19: Highest IV Rank — 26.0%
  • 2014-05-07: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.33$43.82$45.05$44.20$45.05
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV9.8%9.2%10.4%10.3%9.2%
Expected Move3.7%3.5%3.9%3.8%3.6%
HV 20d8.0%7.1%8.8%8.0%7.9%
HV 60d7.9%7.3%8.2%8.2%7.4%
IV Rank21.4%16.1%26.0%24.8%16.8%
IV Percentile12.1%3.6%26.2%19.4%4.8%
Term Structure0.1%-0.6%1.9%0.0%-0.2%
VWIV14.2%10.9%17.3%14.7%12.6%
Skew 25d2.7%2.1%3.7%3.0%3.7%
Skew 10d6.1%4.0%11.3%5.3%10.7%
Call IV 25d8.8%7.4%9.3%9.0%7.4%
Put IV 25d11.5%10.7%12.6%11.9%11.2%
Bid-Ask Spread %30.8022.3037.8426.3823.01
Gamma HHI0.410.340.560.460.49
Net GEX57.8M39.7M143.3M49.0M74.3M
Net DEX-395.4M-660.4M-257.9M-427.9M-515.3M
Net VEX-2.2M-2.5M-1.8M-2.4M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.880.1521.742.072.06
Total Volume11,895.81860123,17813,27210,839
Total OI386,224.333355,080485,706410,179367,049

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$44.20$45.0010.3%3.8%8.0%24.8%14.7%3.0%0.0%49.0M-427.9M-2.4M2.0726.384,3268,946240,710169,469
2014-05-02$44.22$45.009.8%3.8%8.0%21.2%11.8%3.0%0.0%50.9M-443.3M-2.3M8.5826.457356,306240,794175,615
2014-05-05$44.10$45.009.9%3.8%7.9%22.2%14.0%2.6%0.1%61.6M-401.0M-2.3M1.1031.12577634236,689158,397
2014-05-06$43.82$45.0010.1%3.8%8.4%23.2%11.6%2.8%-0.0%57.7M-311.0M-2.2M0.5437.841,028552237,040158,652
2014-05-07$44.24$45.0010.2%3.9%8.8%24.2%0.0%3.7%0.1%68.9M-458.8M-2.2M0.1733.26104,96018,218237,499158,870
2014-05-08$44.31$45.009.5%3.8%8.7%18.5%15.2%2.3%-0.0%143.3M-660.4M-2.5M0.1534.174,441681331,374154,332
2014-05-09$44.51$45.009.6%3.6%7.8%19.4%14.9%2.5%0.1%55.9M-449.8M-2.3M2.2533.733,0266,798245,340154,705
2014-05-12$44.55$45.009.8%3.7%7.4%21.5%10.9%2.4%-0.1%54.4M-452.7M-2.3M3.9231.932,2498,818243,219144,922
2014-05-13$44.64$45.009.7%3.7%7.1%20.6%15.5%2.1%-0.2%52.8M-460.3M-2.3M4.0434.269723,924242,978150,100
2014-05-14$44.46$45.009.2%3.8%7.4%16.1%14.2%2.3%1.9%56.1M-385.3M-2.3M1.0936.032,0682,257243,341153,348
2014-05-15$44.01$45.0010.2%3.8%8.1%24.4%15.1%2.8%0.6%52.2M-293.0M-2.2M13.3827.663745,006242,316152,378
2014-05-16$44.28$45.009.4%3.8%8.4%17.9%16.8%2.3%1.6%60.2M-378.8M-2.2M6.4723.521,2167,866242,383151,924
2014-05-19$44.16$45.0010.4%3.8%8.4%26.0%0.0%3.0%-0.2%46.5M-303.9M-2.1M21.7426.9086618,825230,236124,844
2014-05-20$44.03$45.0010.3%3.7%8.5%25.2%17.3%2.9%0.0%40.3M-257.9M-2.1M3.0437.205681,725230,857124,908
2014-05-21$44.28$45.009.9%3.7%8.7%22.1%0.0%2.5%-0.6%48.8M-313.2M-2.1M14.6434.804106,001231,322125,406
2014-05-22$44.21$45.0010.2%3.7%8.6%24.2%0.0%2.6%0.1%43.8M-308.6M-2.1M13.1837.342162,846231,354128,575
2014-05-23$44.30$45.009.8%3.7%8.6%20.8%14.0%2.2%-0.4%44.7M-320.5M-2.1M1.4232.40356504231,354130,873
2014-05-27$44.40$45.009.8%3.7%7.3%20.8%0.0%3.2%-0.4%49.8M-353.3M-2.0M21.0827.491753,689230,282129,763
2014-05-28$44.39$45.009.8%3.7%7.2%21.3%0.0%3.3%-0.5%39.7M-343.9M-2.0M0.5328.971,041554230,327132,945
2014-05-29$44.69$45.009.5%3.5%7.5%18.6%14.2%2.4%-0.2%63.7M-463.5M-1.8M2.0622.301,7033,516230,989133,232
2014-05-30$45.05$45.009.2%3.6%7.9%16.8%12.6%3.7%-0.2%74.3M-515.3M-2.0M2.0623.013,5377,302232,006135,043