XLP Options History — December 2014

In December 2014, XLP traded between $47.47 and $49.48. ATM implied volatility averaged 12.2%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.2% (HV 20d: 10.0%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.14.

Notable Days

  • 2014-12-18: Highest Volume — 283,928 contracts
  • 2014-12-10: Largest IV spike — 15.5% change
  • 2014-12-16: Highest IV Rank — 81.3%
  • 2014-12-16: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.70$47.47$49.48$49.00$48.49
Max Pain$46.71$46.00$50.00$46.00$50.00
ATM IV12.2%9.9%15.1%10.9%14.0%
Expected Move3.7%3.2%4.3%3.4%4.3%
HV 20d10.0%7.0%13.0%7.1%12.9%
HV 60d11.0%10.5%11.6%10.8%11.6%
IV Rank51.7%28.7%81.3%39.1%69.7%
IV Percentile81.1%39.3%98.0%69.8%95.6%
Term Structure0.1%-0.6%1.1%0.1%-0.5%
VWIV15.1%12.1%18.4%14.1%15.3%
Skew 25d3.5%2.7%5.0%2.9%5.0%
Skew 10d7.7%4.9%12.6%4.9%9.8%
Call IV 25d11.0%8.9%13.7%9.6%12.3%
Put IV 25d14.5%11.6%18.3%12.5%17.3%
Bid-Ask Spread %29.8013.5963.9630.4613.59
Gamma HHI0.200.150.360.150.36
Net GEX-3.3M-17.1M3.7M2.4M-17.1M
Net DEX-250.2M-408.9M-3.9M-399.3M-3.9M
Net VEX-1.2M-1.4M-1.0M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0341.421.369.10
Total Volume38,640.3181,932283,92820,5368,512
Total OI255,657.364203,290289,324276,630223,485

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$49.00$46.0010.9%3.4%7.1%39.1%14.1%2.9%0.1%2.4M-399.3M-1.3M1.3630.468,69011,846127,885148,745
2014-12-02$49.11$46.0010.6%3.3%7.0%35.9%14.4%2.9%-0.0%1.8M-408.9M-1.2M1.2230.988,35710,158128,613149,942
2014-12-03$48.81$46.0010.4%3.3%7.5%33.4%13.3%3.2%0.2%1.9M-353.2M-1.4M1.6429.598,73014,308128,885150,121
2014-12-04$48.76$46.0010.1%3.3%7.3%30.3%12.1%2.8%0.1%-11.9M-329.4M-1.4M2.2833.125891,343129,406157,207
2014-12-05$48.79$46.009.9%3.2%7.3%28.7%13.9%2.7%0.5%-2.0M-354.6M-1.2M0.9924.908,6038,476129,583157,342
2014-12-08$48.74$46.0011.1%3.3%7.3%40.9%13.7%3.0%-0.6%-1.8M-366.6M-1.2M0.9623.678,2787,907126,925150,072
2014-12-09$48.57$46.0011.2%3.4%7.4%41.7%16.5%3.2%-0.3%-1.2M-342.9M-1.2M1.4726.088,08711,848126,988150,016
2014-12-10$48.08$46.0012.9%3.7%8.3%59.3%14.8%3.4%-0.3%167.5K-304.5M-1.3M1.1528.028,74610,081127,192151,660
2014-12-11$48.42$46.0012.4%4.0%8.7%54.5%16.1%3.0%0.8%-1.3M-313.6M-1.3M1.1329.938,4389,529127,845150,866
2014-12-12$47.95$46.0013.9%4.0%9.4%68.8%16.7%3.2%0.3%536.1K-283.8M-1.3M1.2230.188,91110,833127,247151,436
2014-12-15$47.69$46.0014.1%4.1%9.3%71.7%17.5%4.2%0.5%1.8M-245.1M-1.3M0.7138.8710,6577,582127,137149,983
2014-12-16$47.47$46.0015.1%4.3%9.2%81.3%17.4%3.8%-0.4%3.7M-238.0M-1.3M0.9537.759,9819,526129,401150,406
2014-12-17$48.10$46.0014.4%4.2%10.2%74.7%18.4%4.7%-0.1%-4.7M-257.1M-1.3M1.6042.489,52915,209129,797153,277
2014-12-18$48.99$46.0012.5%3.9%12.1%54.9%18.3%3.7%-0.2%-5.4M-346.7M-1.2M0.0339.08274,4739,455126,105163,219
2014-12-19$48.62$46.0012.3%3.7%12.3%53.1%14.0%4.2%1.1%-12.3M-61.0M-1.1M0.8563.962,5762,18662,434167,504
2014-12-22$49.04$0.0012.2%3.7%12.6%52.3%13.7%3.2%0.1%-2.2M-151.1M-1.1M0.0832.0749,7834,05370,139133,151
2014-12-23$49.48$47.0011.8%3.6%13.0%47.5%15.0%3.4%0.2%-1.5M-178.0M-1.0M0.2223.4448,49310,86670,057133,369
2014-12-24$49.38$48.0011.6%3.6%13.0%45.8%15.0%3.1%-0.1%-2.9M-172.6M-1.0M0.2223.8447,85910,56670,166138,695
2014-12-26$49.48$48.0011.5%3.7%13.0%44.9%13.1%3.0%-0.1%-4.0M-174.6M-1.0M0.1222.1147,5385,85969,982140,664
2014-12-29$49.32$49.0012.0%3.7%12.3%49.6%14.4%3.6%0.3%-5.0M-150.2M-1.1M0.3416.5144,91615,31969,543138,739
2014-12-30$49.08$49.0013.0%3.8%12.2%60.5%15.0%4.0%-0.1%-12.5M-69.4M-1.1M41.4214.9074030,65160,433148,800
2014-12-31$48.49$50.0014.0%4.3%12.9%69.7%15.3%5.0%-0.5%-17.1M-3.9M-1.2M9.1013.598437,66960,972162,513