XLP Options History — August 2014

In August 2014, XLP traded between $43.38 and $45.13. ATM implied volatility averaged 10.1%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.5% (HV 20d: 10.6%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2014-08-15: Highest Volume — 26,770 contracts
  • 2014-08-07: Largest IV spike — 10.8% change
  • 2014-08-07: Highest IV Rank — 41.2%
  • 2014-08-07: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.42$43.38$45.13$43.47$45.13
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV10.1%8.8%12.3%11.6%9.0%
Expected Move3.5%3.3%4.0%3.7%3.3%
HV 20d10.6%7.0%12.1%10.1%7.0%
HV 60d8.9%8.6%9.2%8.6%8.7%
IV Rank23.9%13.5%41.2%35.2%14.6%
IV Percentile36.2%6.7%83.3%73.8%9.1%
Term Structure0.2%-0.4%1.8%0.0%-0.0%
VWIV12.4%10.6%14.5%12.5%13.2%
Skew 25d3.0%2.4%4.1%4.1%2.8%
Skew 10d6.8%4.7%8.9%8.3%5.9%
Call IV 25d9.3%8.0%11.1%10.4%8.6%
Put IV 25d12.3%10.7%14.8%14.5%11.3%
Bid-Ask Spread %32.5424.1659.0830.9032.80
Gamma HHI0.220.180.300.220.19
Net GEX5.7M-3.9M10.5M-540.2K9.7M
Net DEX-112.9M-201.0M22.2M22.2M-199.3M
Net VEX-1.5M-1.5M-1.4M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.1224.520.890.50
Total Volume4,117.8145626,7704,5332,248
Total OI218,323.286210,546224,337220,845219,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$43.47$43.0011.6%3.7%10.1%35.2%12.5%4.1%0.0%-540.2K22.2M-1.4M0.8930.902,3932,140127,94692,899
2014-08-04$43.61$43.0011.3%3.4%10.2%33.1%11.3%2.9%0.2%644.3K-28.5M-1.4M1.6030.491,0331,653126,33484,212
2014-08-05$43.38$43.0012.0%3.7%10.3%38.4%12.6%3.7%0.2%120.9K2.7M-1.4M1.2831.393,3574,287126,77085,321
2014-08-06$43.79$43.0011.1%3.5%10.9%31.7%13.5%3.5%0.0%702.5K-37.7M-1.5M4.7230.821,1465,412129,39288,920
2014-08-07$43.45$43.0012.3%4.0%11.1%41.2%14.5%3.6%0.0%-3.9M-7.8M-1.5M2.0429.635291,078130,11593,109
2014-08-08$43.87$43.0011.7%3.6%11.8%36.0%14.0%2.9%-0.3%-1.9M-36.9M-1.5M0.2429.312,264538130,35393,427
2014-08-11$44.18$43.0011.5%3.6%12.1%34.8%11.4%3.5%0.4%2.6M-70.5M-1.5M1.0332.501,9341,990129,63790,282
2014-08-12$44.15$43.0011.1%3.7%11.7%31.2%13.8%3.3%0.6%3.0M-71.4M-1.5M0.7929.001,050826130,77591,308
2014-08-13$44.28$43.009.9%3.6%11.7%22.1%12.0%2.9%1.8%6.4M-82.1M-1.5M15.5132.414276,621132,08092,257
2014-08-14$44.46$43.009.7%3.7%11.6%20.2%0.0%2.5%1.5%8.4M-96.1M-1.5M0.1224.163,231379132,13388,863
2014-08-15$44.51$43.009.8%3.4%10.9%21.5%13.2%2.7%-0.4%8.5M-107.2M-1.5M7.7926.543,04423,726132,45389,130
2014-08-18$44.78$43.009.1%3.3%11.1%15.7%0.0%3.0%0.1%8.9M-159.5M-1.5M0.3728.301,508554132,35481,647
2014-08-19$44.88$43.008.8%3.4%11.1%13.5%11.9%2.9%0.3%9.9M-172.3M-1.5M0.3229.751,632518133,53781,937
2014-08-20$44.87$43.009.4%3.4%11.1%18.1%12.4%2.8%-0.2%9.4M-174.8M-1.5M0.1628.111,434225133,54781,990
2014-08-21$44.95$43.009.1%3.4%11.1%15.9%11.8%3.5%0.3%9.6M-182.4M-1.5M0.9233.81771706134,53882,140
2014-08-22$44.84$43.009.0%3.4%11.0%14.9%11.1%2.6%-0.0%8.0M-175.2M-1.5M0.3933.841,234476134,76282,646
2014-08-25$45.09$43.009.4%3.3%11.1%17.9%0.0%2.8%0.0%9.8M-198.3M-1.5M4.2159.085012,110134,34982,345
2014-08-26$45.06$43.009.2%3.3%10.9%16.7%10.6%2.4%-0.2%10.5M-199.6M-1.5M1.9538.50210409134,35282,007
2014-08-27$45.06$43.008.9%3.4%9.7%14.4%10.8%2.6%-0.1%9.8M-201.0M-1.5M24.5234.49952,329134,36182,258
2014-08-28$45.10$43.009.1%3.3%7.3%15.7%0.0%2.8%-0.3%9.5M-194.4M-1.5M0.6337.47280176134,35684,437
2014-08-29$45.13$43.009.0%3.3%7.0%14.6%13.2%2.8%-0.0%9.7M-199.3M-1.4M0.5032.801,503745134,40985,101