XLP Options History — September 2014

In September 2014, XLP traded between $44.93 and $45.61. ATM implied volatility averaged 9.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.4% (HV 20d: 6.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 13.60.

Notable Days

  • 2014-09-18: Highest Volume — 165,703 contracts
  • 2014-09-17: Largest IV drop — 24.5% change
  • 2014-09-30: Highest IV Rank — 34.1%
  • 2014-09-30: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.28$44.93$45.61$45.15$45.11
Max Pain$43.52$43.00$45.00$43.00$44.00
ATM IV9.2%7.1%11.4%9.2%11.4%
Expected Move3.3%2.9%3.5%3.3%3.5%
HV 20d6.8%4.9%9.7%7.0%9.7%
HV 60d8.7%8.3%9.3%8.7%9.2%
IV Rank16.7%0.0%34.1%16.5%34.1%
IV Percentile22.2%0.0%77.4%14.3%77.4%
Term Structure0.3%-0.8%1.6%0.0%-0.1%
VWIV12.4%10.0%15.4%12.2%11.8%
Skew 25d3.5%2.5%4.7%2.5%4.0%
Skew 10d7.2%4.0%10.4%4.3%7.8%
Call IV 25d8.4%7.5%10.1%8.5%9.8%
Put IV 25d11.9%10.0%13.8%10.9%13.8%
Bid-Ask Spread %38.1731.3748.5233.1340.09
Gamma HHI0.390.180.700.190.25
Net GEX-20.7M-53.2M10.1M10.0M-19.5M
Net DEX-137.0M-224.0M-59.8M-202.1M-88.2M
Net VEX-1.5M-1.6M-1.3M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.600.06136.272.190.92
Total Volume16,219.619342165,7031,442342
Total OI244,403.762201,520281,337217,877238,502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$45.15$43.009.2%3.3%7.0%16.5%12.2%2.5%0.0%10.0M-202.1M-1.4M2.1933.13452990133,45884,419
2014-09-03$45.18$43.009.1%3.3%6.5%15.4%12.5%3.9%0.4%9.7M-199.6M-1.4M2.3232.94184427133,34385,056
2014-09-04$45.32$43.007.9%3.3%5.9%6.1%13.3%2.9%0.2%10.1M-217.1M-1.4M20.0433.3654210,863133,39185,152
2014-09-05$45.58$43.008.5%3.1%4.9%10.7%0.0%3.8%-0.0%6.2M-224.0M-1.4M136.2734.4825534,749133,71295,876
2014-09-08$45.23$43.009.3%3.4%5.3%17.1%15.4%4.4%0.4%-29.5M-101.9M-1.5M9.7731.373843,753132,845126,386
2014-09-09$45.13$43.008.9%3.3%5.1%13.8%12.6%3.1%0.3%-39.4M-87.0M-1.6M5.6335.581,0285,784132,815129,679
2014-09-10$45.35$43.008.7%3.3%5.2%12.5%11.0%3.4%1.2%-31.4M-121.2M-1.5M3.8139.82257978133,364130,546
2014-09-11$45.37$43.008.8%3.3%5.2%13.3%0.0%4.7%0.4%-35.2M-123.6M-1.5M3.0744.97119365133,311131,023
2014-09-12$45.05$43.008.9%3.4%5.8%14.1%14.8%3.3%1.6%-53.2M-77.0M-1.5M9.3338.355925,525133,351131,031
2014-09-15$45.27$43.009.5%3.4%6.0%18.9%0.0%3.5%-0.3%-42.3M-115.5M-1.4M2.9548.521,1733,464132,769132,104
2014-09-16$45.61$43.009.4%2.9%6.2%17.8%10.3%4.3%1.1%-26.9M-185.6M-1.3M5.9337.911,1756,973133,373134,925
2014-09-17$45.51$44.007.1%2.9%6.3%0.0%14.3%3.1%0.8%-33.5M-175.7M-1.4M3.0843.672,4217,459133,605139,888
2014-09-18$45.60$44.007.8%3.1%6.3%6.0%0.0%3.6%1.3%-40.1M-194.8M-1.4M0.0639.00156,8328,871134,551146,786
2014-09-19$45.43$45.008.7%3.4%6.5%13.1%12.3%2.5%-0.8%-35.3M-59.8M-1.4M1.8335.496,16311,276121,114154,671
2014-09-22$45.35$44.008.9%3.3%6.4%14.2%10.7%2.9%-0.1%-3.0M-169.8M-1.4M55.0235.8054229,822116,08585,435
2014-09-23$44.95$44.009.8%3.4%7.0%21.2%12.8%4.1%-0.3%-10.2M-108.4M-1.5M9.3939.629588,997116,57092,945
2014-09-24$45.52$44.009.3%3.2%8.3%17.5%10.0%3.4%0.0%-11.0M-168.5M-1.5M2.1941.263,0346,630117,419101,182
2014-09-25$44.93$44.0010.3%3.3%9.6%25.4%13.6%3.5%0.3%-16.8M-93.5M-1.5M8.3739.931,44612,102119,956105,687
2014-09-26$45.10$44.0010.8%3.5%9.7%29.0%11.4%3.5%0.1%-23.4M-82.9M-1.6M1.5539.869971,544121,046117,437
2014-09-29$45.09$44.0011.3%3.5%9.7%33.6%11.8%4.0%-0.0%-20.8M-81.0M-1.6M1.9036.49395749121,316116,355
2014-09-30$45.11$44.0011.4%3.5%9.7%34.1%11.8%4.0%-0.1%-19.5M-88.2M-1.6M0.9240.09178164121,648116,854