XLP Options History — July 2014

In July 2014, XLP traded between $43.13 and $45.42. ATM implied volatility averaged 9.1%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.3% (HV 20d: 7.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 6.42.

Notable Days

  • 2014-07-30: Highest Volume — 34,720 contracts
  • 2014-07-31: Largest IV spike — 20.4% change
  • 2014-07-31: Highest IV Rank — 38.4%
  • 2014-07-14: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.84$43.13$45.42$44.72$43.13
Max Pain$43.24$43.00$44.00$43.00$44.00
ATM IV9.1%8.0%12.0%9.6%12.0%
Expected Move3.5%3.2%3.7%3.6%3.5%
HV 20d7.8%7.0%9.8%8.0%9.8%
HV 60d7.8%7.4%8.7%7.9%8.7%
IV Rank15.7%7.1%38.4%19.4%38.4%
IV Percentile12.6%0.8%79.4%14.7%79.4%
Term Structure0.2%-0.3%1.1%-0.0%-0.0%
VWIV12.4%6.0%15.7%13.8%11.9%
Skew 25d2.7%2.0%3.6%3.3%3.6%
Skew 10d5.6%3.5%8.4%6.0%6.0%
Call IV 25d8.4%7.6%10.5%8.0%10.5%
Put IV 25d11.1%9.9%14.2%11.2%14.2%
Bid-Ask Spread %29.8720.0943.2020.0937.44
Gamma HHI0.250.150.460.310.23
Net GEX-7.6M-20.8M4.2M-10.8M2.2M
Net DEX-135.2M-201.9M42.4M-134.9M42.4M
Net VEX-1.6M-1.7M-1.3M-1.7M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.420.3030.562.929.33
Total Volume7,662.72743534,7209,9698,608
Total OI245,517.273216,475267,812238,768216,475

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$44.72$43.009.6%3.6%8.0%19.4%0.0%3.3%-0.0%-10.8M-134.9M-1.7M2.9220.092,5457,424121,528117,240
2014-07-02$44.84$43.008.0%3.5%7.9%7.1%13.8%2.6%0.5%-6.7M-162.0M-1.6M0.6222.471,382853123,401113,127
2014-07-03$45.09$43.008.3%3.6%8.1%9.2%11.6%2.6%0.2%-2.2M-196.6M-1.7M0.3022.651,919584124,456113,957
2014-07-07$45.11$43.009.4%3.7%8.0%17.7%12.8%2.5%-0.2%1.3M-198.0M-1.5M6.3724.412,07913,246124,182111,330
2014-07-08$45.08$43.009.4%3.6%8.0%18.1%12.4%2.6%-0.0%-7.2M-176.6M-1.6M5.8720.515393,166125,913122,040
2014-07-09$45.27$43.008.3%3.6%8.2%9.3%6.0%2.7%0.7%981.2K-196.2M-1.6M30.5621.7149615,156125,974124,725
2014-07-10$45.23$43.009.3%3.6%8.1%17.3%12.2%2.5%0.0%3.6M-201.9M-1.5M18.4920.941,27023,488126,144117,620
2014-07-11$45.26$43.008.8%3.6%7.6%12.9%0.0%2.0%0.8%-12.2M-166.6M-1.6M3.0622.118072,466127,014140,798
2014-07-14$45.42$43.008.9%3.7%7.7%14.0%14.0%2.8%-0.3%-12.7M-183.4M-1.5M0.3325.511,570522124,607127,992
2014-07-15$44.99$43.009.2%3.5%8.4%16.6%0.0%2.6%0.0%-16.3M-141.8M-1.6M1.4524.405,8318,455124,319128,221
2014-07-16$45.08$43.009.0%3.6%8.4%14.6%0.0%2.4%0.1%-20.8M-135.9M-1.6M1.1123.62206229128,776132,341
2014-07-17$44.75$43.009.1%3.6%7.3%15.6%12.2%2.4%1.1%-16.6M-98.2M-1.6M3.2228.911,1633,750128,606129,484
2014-07-18$45.20$43.009.0%3.5%8.0%14.6%0.0%2.7%0.4%-10.8M-166.7M-1.7M1.0027.08854857129,381127,297
2014-07-21$45.04$0.009.0%3.3%7.4%15.1%0.0%2.7%-0.1%-13.6M-144.5M-1.6M7.2343.014112,972125,491123,132
2014-07-22$44.91$0.008.8%3.2%7.1%13.3%0.0%2.5%-0.0%-16.1M-117.2M-1.6M16.8741.6859510,037125,630124,938
2014-07-23$44.85$0.008.5%3.2%7.0%10.8%0.0%2.6%0.2%-19.3M-125.9M-1.6M0.3242.69420135126,014121,464
2014-07-24$44.97$0.008.4%3.2%7.0%10.2%0.0%3.4%0.1%-12.2M-141.0M-1.5M5.4243.203611,956126,127121,521
2014-07-25$44.78$0.008.3%3.2%7.0%9.7%11.5%2.5%0.0%-2.9M-118.8M-1.5M2.5036.867381,847125,815122,144
2014-07-28$44.60$44.009.6%3.3%7.2%19.3%12.1%3.0%0.1%-748.3K-106.5M-1.5M0.8740.471,5781,366125,072107,518
2014-07-29$44.36$44.009.6%3.5%7.4%19.2%15.0%2.7%0.2%1.3M-92.0M-1.4M0.7132.721,155824126,269107,908
2014-07-30$43.81$44.009.9%3.3%8.5%22.3%15.7%3.3%0.1%4.2M-12.2M-1.5M22.7534.771,46233,258127,111108,278
2014-07-31$43.13$44.0012.0%3.5%9.8%38.4%11.9%3.6%-0.0%2.2M42.4M-1.3M9.3337.448337,775127,86788,608