XLP Options History — January 2015

In January 2015, XLP traded between $47.95 and $50.17. ATM implied volatility averaged 14.1%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.7% (HV 20d: 13.4%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2015-01-02: Highest Volume — 56,103 contracts
  • 2015-01-30: Largest IV spike — 15.5% change
  • 2015-01-30: Highest IV Rank — 89.3%
  • 2015-01-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.99$47.95$50.17$48.39$47.97
Max Pain$49.05$49.00$50.00$50.00$49.00
ATM IV14.1%12.6%15.9%13.9%15.9%
Expected Move4.1%3.6%4.7%4.2%4.7%
HV 20d13.4%11.7%15.3%12.7%14.6%
HV 60d11.0%10.3%11.9%11.6%11.9%
IV Rank70.8%55.7%89.3%69.5%89.3%
IV Percentile93.2%85.7%98.4%95.2%98.4%
Term Structure-0.0%-0.8%0.5%0.1%-0.1%
VWIV16.2%13.0%21.0%16.3%16.5%
Skew 25d3.9%3.3%4.5%4.4%3.9%
Skew 10d8.8%5.8%11.1%11.1%8.0%
Call IV 25d12.5%10.9%14.3%12.5%14.3%
Put IV 25d16.4%14.2%18.2%16.9%18.2%
Bid-Ask Spread %11.098.5414.4410.0811.44
Gamma HHI0.250.140.370.360.22
Net GEX-11.9M-22.8M-1.9M-20.6M-10.5M
Net DEX-65.1M-150.4M39.6M-36.5M9.4M
Net VEX-1.1M-1.2M-943.7K-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.104.990.244.99
Total Volume26,082.952,33756,10356,10320,444
Total OI183,498.35115,319241,545235,978128,486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$48.39$50.0013.9%4.2%12.7%69.5%16.3%4.4%0.1%-20.6M-36.5M-1.2M0.2410.0845,33010,77370,658165,320
2015-01-05$48.01$49.0015.0%4.3%13.0%80.1%15.2%4.5%0.2%-22.8M39.6M-1.2M3.9013.321,6866,58360,652164,060
2015-01-06$47.95$49.0015.4%4.4%13.0%84.1%17.6%4.5%-0.0%-20.6M32.4M-1.2M3.1312.081,6845,27161,957160,745
2015-01-07$48.77$49.0013.7%4.0%14.5%67.6%15.2%4.3%0.1%-16.7M-39.4M-1.2M3.2611.748002,61163,199161,913
2015-01-08$49.48$49.0012.8%4.0%15.3%58.0%17.3%3.8%0.4%-9.6M-150.4M-1.1M0.169.5946,0267,43572,974162,974
2015-01-09$49.17$49.0013.5%3.9%14.9%64.8%18.7%3.8%0.5%-12.7M-129.7M-1.1M0.178.5446,8417,99873,334163,266
2015-01-12$48.99$49.0014.2%4.0%14.9%71.9%14.6%4.3%-0.2%-14.1M-112.0M-1.1M0.209.1345,8549,37972,832162,132
2015-01-13$48.88$49.0014.3%4.1%14.4%73.1%17.6%4.1%-0.1%-19.6M-83.9M-1.1M0.109.6945,0214,69473,272166,562
2015-01-14$48.82$49.0014.6%4.2%14.2%76.2%21.0%4.4%-0.1%-18.0M-84.3M-1.1M0.189.8745,4677,96073,071164,162
2015-01-15$48.91$49.0015.2%4.4%14.1%82.0%17.1%4.3%-0.2%-16.6M-100.4M-1.1M0.2211.0544,97010,04473,629167,916
2015-01-16$49.23$49.0015.0%4.1%13.5%80.5%15.1%3.4%-0.8%-9.8M-78.8M-1.0M0.2914.4415,0264,38465,176168,579
2015-01-20$49.47$49.0014.1%4.0%12.0%71.3%16.4%3.9%-0.0%-3.3M-75.3M-1.1M2.7214.301,1183,04244,86370,456
2015-01-21$49.71$49.0013.7%3.9%11.7%67.3%15.3%3.8%-0.0%-3.2M-85.9M-1.0M1.5410.119201,41745,32172,663
2015-01-22$50.17$49.0012.6%3.6%11.8%55.7%16.0%3.5%-0.0%-1.9M-113.2M-943.7K1.3810.1610,23014,10846,06073,540
2015-01-23$49.67$49.0012.7%3.7%12.0%57.0%16.1%3.3%-0.1%-2.8M-89.6M-1.1M1.0510.7810,08410,61947,03980,916
2015-01-26$49.66$49.0012.6%3.6%12.0%55.8%13.0%3.3%-0.1%-6.0M-82.4M-1.0M0.2412.242,21353145,00475,084
2015-01-27$49.21$49.0013.5%3.9%12.4%65.3%13.8%3.4%0.1%-8.1M-58.1M-1.1M3.4912.401,5345,35546,70775,257
2015-01-28$48.53$49.0014.8%4.3%13.3%78.2%15.5%3.9%-0.1%-10.5M-21.0M-1.1M3.8811.122,2888,86847,83777,583
2015-01-29$48.90$49.0013.8%4.0%13.5%67.7%16.7%3.5%0.4%-10.2M-42.0M-1.1M3.699.662,78110,27048,26476,504
2015-01-30$47.97$49.0015.9%4.7%14.6%89.3%16.5%3.9%-0.1%-10.5M9.4M-1.2M4.9911.443,41317,03149,13579,351