XLP Options History — June 2014

In June 2014, XLP traded between $44.55 and $45.67. ATM implied volatility averaged 9.1%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.4% (HV 20d: 7.7%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.44.

Notable Days

  • 2014-06-19: Highest Volume — 206,582 contracts
  • 2014-06-19: Largest IV drop — 13.6% change
  • 2014-06-26: Highest IV Rank — 20.6%
  • 2014-06-02: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.97$44.55$45.67$44.99$44.62
Max Pain$43.19$43.00$45.00$45.00$43.00
ATM IV9.1%7.6%9.7%9.2%9.7%
Expected Move3.7%3.5%4.3%4.3%3.6%
HV 20d7.7%6.3%8.9%8.0%8.2%
HV 60d7.6%7.2%8.0%7.4%8.0%
IV Rank15.3%3.6%20.6%16.6%20.1%
IV Percentile5.9%0.4%17.1%4.4%16.3%
Term Structure0.0%-0.8%0.9%-0.1%0.4%
VWIV13.6%10.8%15.8%13.7%10.8%
Skew 25d2.7%1.8%3.3%2.9%3.3%
Skew 10d5.3%3.7%8.7%4.7%8.2%
Call IV 25d8.3%7.4%9.0%8.2%8.5%
Put IV 25d10.9%9.3%11.8%11.2%11.8%
Bid-Ask Spread %26.0720.4163.9163.9120.95
Gamma HHI0.450.150.750.430.30
Net GEX42.5M-38.9M98.7M69.2M-8.9M
Net DEX-402.8M-685.9M-96.1M-509.2M-123.5M
Net VEX-1.8M-2.1M-1.5M-2.0M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.0215.189.7011.70
Total Volume21,282.4761,387206,5823,57323,529
Total OI332,068.905227,464397,557355,370227,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$44.99$45.009.2%4.3%8.0%16.6%0.0%2.9%-0.1%69.2M-509.2M-2.0M9.7063.913343,239232,210123,160
2014-06-03$44.77$45.009.3%3.7%8.1%17.1%13.7%3.0%-0.1%67.6M-451.2M-2.0M0.1921.7724,1014,460232,437125,622
2014-06-04$44.99$43.009.3%3.6%7.8%17.4%14.3%3.0%-0.2%73.4M-520.4M-2.1M2.0522.531,7373,553243,103129,757
2014-06-05$45.11$43.009.4%3.6%7.2%17.8%0.0%2.9%-0.2%67.6M-571.1M-2.0M2.8126.894281,202243,562132,380
2014-06-06$45.23$43.009.3%3.7%7.2%16.9%13.8%2.0%-0.3%73.7M-633.5M-2.0M3.9327.079763,840250,105132,713
2014-06-09$45.16$43.009.0%3.7%7.2%15.0%12.8%2.8%0.1%74.7M-607.4M-2.0M0.3331.821,040347249,175132,337
2014-06-10$45.16$43.008.7%3.7%7.2%12.8%14.4%2.5%-0.1%76.3M-605.8M-1.9M2.5624.151,6034,097242,968132,624
2014-06-11$45.04$43.008.7%3.7%7.3%12.7%0.0%1.8%0.7%75.0M-554.8M-1.9M5.0826.906343,222244,118135,451
2014-06-12$44.72$43.009.5%3.7%7.6%19.1%13.7%2.8%-0.5%74.3M-426.7M-1.9M15.1826.331,04015,782244,280137,776
2014-06-13$44.71$43.009.5%3.7%6.5%19.0%0.0%3.0%-0.8%65.7M-396.6M-1.9M1.4324.92587839244,926152,631
2014-06-16$44.90$43.009.2%3.7%6.3%16.2%0.0%2.6%0.2%92.2M-491.3M-1.8M1.6921.771,3732,322243,935141,391
2014-06-17$44.83$43.008.7%3.7%6.3%12.8%15.5%2.8%0.7%98.7M-485.2M-1.8M2.3931.846891,644244,137143,107
2014-06-18$45.42$43.008.8%3.7%7.5%13.0%0.0%3.2%-0.7%74.1M-685.9M-1.7M0.0424.5953,0932,001244,446143,707
2014-06-19$45.67$43.007.6%3.5%7.5%3.6%12.1%2.2%0.8%46.2M-558.4M-1.6M0.0222.02202,8053,777199,473143,798
2014-06-20$45.24$43.008.4%3.6%8.4%9.9%0.0%1.9%-0.2%261.8K-183.7M-1.5M2.1824.955,13011,194116,888144,857
2014-06-23$44.96$43.008.8%3.7%8.8%13.1%12.1%2.4%0.2%-9.6M-169.4M-1.5M5.4021.931,3087,065116,504115,020
2014-06-24$44.84$43.008.7%3.6%8.8%12.5%14.7%2.5%0.1%-19.6M-137.7M-1.5M1.3520.411,7892,408117,396121,158
2014-06-25$44.74$43.009.2%3.6%8.9%16.7%15.8%2.5%0.9%-27.0M-137.1M-1.6M6.8321.423,69525,221118,393122,098
2014-06-26$44.55$43.009.7%3.6%8.7%20.6%12.2%2.8%0.0%-38.9M-96.1M-1.6M3.7420.411,3184,933119,505133,190
2014-06-27$44.64$43.009.5%3.6%8.2%18.7%14.3%2.9%-0.5%-33.2M-113.4M-1.5M14.6920.841,18417,393120,537135,108
2014-06-30$44.62$43.009.7%3.6%8.2%20.1%10.8%3.3%0.4%-8.9M-123.5M-1.5M11.7020.951,85321,676119,441108,023