XLP Options History — May 2015

In May 2015, XLP traded between $48.50 and $49.73. ATM implied volatility averaged 11.1%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.7% (HV 20d: 8.4%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.26.

Notable Days

  • 2015-05-26: Highest Volume — 19,718 contracts
  • 2015-05-08: Largest IV drop — 12.9% change
  • 2015-05-07: Highest IV Rank — 54.9%
  • 2015-05-05: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.10$48.50$49.73$48.77$48.84
Max Pain$49.00$49.00$49.00$49.00$49.00
ATM IV11.1%10.4%12.5%11.5%11.3%
Expected Move3.4%3.1%3.9%3.2%3.4%
HV 20d8.4%7.1%9.4%7.7%9.1%
HV 60d10.0%9.7%10.2%10.0%10.2%
IV Rank41.2%33.3%54.9%44.8%42.8%
IV Percentile52.6%39.7%75.0%59.5%53.2%
Term Structure0.1%-0.9%1.1%0.0%-0.9%
VWIV12.8%10.3%14.9%12.2%13.6%
Skew 25d2.7%2.1%3.6%3.6%2.8%
Skew 10d5.4%3.1%7.1%6.8%4.4%
Call IV 25d10.0%8.9%11.0%10.8%10.0%
Put IV 25d12.7%11.5%14.4%14.4%12.8%
Bid-Ask Spread %11.627.5537.327.7510.22
Gamma HHI0.170.150.240.150.16
Net GEX-7.4M-13.7M-1.7M-10.6M-13.7M
Net DEX-24.9M-98.2M37.5M23.4M9.0M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.260.3517.541.461.27
Total Volume10,675.651,57219,71810,50717,324
Total OI216,570.15208,659221,957216,367221,957

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$48.77$49.0011.5%3.2%7.7%44.8%12.2%3.6%0.0%-10.6M23.4M-1.5M1.467.754,2676,24067,560148,807
2015-05-04$48.88$49.0010.8%3.4%7.1%37.3%12.1%2.8%0.2%-8.6M5.9M-1.4M0.3516.471,16241065,537147,752
2015-05-05$48.50$49.0011.8%3.9%7.4%48.0%14.5%2.7%0.1%-11.2M37.5M-1.4M4.677.902,65112,38066,006147,945
2015-05-06$48.57$49.0012.2%3.7%7.4%52.2%14.7%2.7%0.2%-12.9M30.1M-1.4M3.029.422,1246,41066,495151,095
2015-05-07$48.75$49.0012.5%3.7%7.4%54.9%14.9%2.9%-0.0%-10.7M16.9M-1.4M5.609.122,04511,45666,770151,000
2015-05-08$49.17$49.0010.9%3.4%8.1%38.7%12.7%2.5%0.1%-8.3M-32.1M-1.3M17.5437.323415,98166,596154,498
2015-05-11$48.97$49.0010.9%3.5%8.1%39.3%13.1%2.6%1.1%-7.5M-10.6M-1.3M0.9217.5790983965,590155,079
2015-05-12$48.90$49.0011.0%3.5%8.1%40.0%14.2%2.5%1.0%-9.0M-9.6M-1.3M3.248.341,9766,40565,774150,388
2015-05-13$48.87$49.0010.9%3.5%8.1%38.8%13.7%2.7%1.1%-7.8M2.6M-1.3M2.918.671,9205,59065,889150,618
2015-05-14$49.55$49.0010.4%3.1%9.4%34.3%11.5%2.5%0.1%-4.2M-73.6M-1.2M0.758.007,7295,78766,010151,024
2015-05-15$49.73$49.0010.4%3.1%8.8%33.3%12.2%2.6%0.6%-2.0M-78.2M-1.3M1.7310.293,7006,41669,857151,059
2015-05-18$49.59$49.0010.9%3.2%8.8%38.8%11.8%2.9%-0.1%-1.7M-77.3M-1.3M9.8513.183273,22265,678142,981
2015-05-19$49.59$49.0010.8%3.1%8.8%38.3%10.7%2.1%-0.1%-2.1M-98.2M-1.1M1.4913.756911,02865,926144,388
2015-05-20$49.39$49.0010.9%3.1%8.9%38.9%12.0%3.0%-0.5%-4.7M-55.8M-1.3M1.2110.633,6824,46166,439145,131
2015-05-21$49.46$49.0010.7%3.1%8.8%36.4%12.5%2.5%-0.2%-6.2M-78.8M-1.2M3.397.552,4448,29366,477145,284
2015-05-22$49.23$49.0011.2%3.3%9.0%41.9%10.3%2.4%-0.4%-4.2M-55.6M-1.2M1.297.717,91010,17166,373145,500
2015-05-26$48.90$49.0011.4%3.4%9.1%44.1%13.0%3.1%-0.0%-10.1M-4.3M-1.1M1.449.158,08211,63671,439149,665
2015-05-27$49.20$49.0011.1%3.3%9.4%41.2%13.5%2.9%-0.3%-7.7M-26.6M-1.2M1.499.207,41811,07371,965149,711
2015-05-28$49.14$49.0011.0%3.3%9.0%40.2%12.6%2.6%-0.2%-5.5M-23.5M-1.1M1.4910.147,64111,37271,887149,253
2015-05-29$48.84$49.0011.3%3.4%9.1%42.8%13.6%2.8%-0.9%-13.7M9.0M-1.1M1.2710.227,6479,67772,224149,733