XLP Options History — June 2015

In June 2015, XLP traded between $47.61 and $48.99. ATM implied volatility averaged 11.2%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.8% (HV 20d: 9.4%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2015-06-17: Highest Volume — 34,559 contracts
  • 2015-06-29: Largest IV spike — 30.3% change
  • 2015-06-29: Highest IV Rank — 73.3%
  • 2015-06-29: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.29$47.61$48.99$48.78$47.73
Max Pain$48.64$48.00$49.00$49.00$49.00
ATM IV11.2%9.5%14.3%11.3%13.7%
Expected Move3.3%2.7%4.2%3.5%4.1%
HV 20d9.4%8.0%10.8%8.5%10.8%
HV 60d8.9%8.5%10.1%10.1%8.8%
IV Rank41.9%24.7%73.3%42.8%66.7%
IV Percentile49.0%19.4%92.9%52.8%84.1%
Term Structure0.1%-1.0%1.0%-0.1%-0.2%
VWIV12.4%10.5%15.3%13.4%15.3%
Skew 25d2.9%2.3%3.7%3.5%3.6%
Skew 10d5.7%3.9%7.6%6.9%7.3%
Call IV 25d10.2%8.8%12.4%10.0%11.9%
Put IV 25d13.1%11.1%16.1%13.5%15.5%
Bid-Ask Spread %9.926.1327.628.937.97
Gamma HHI0.220.130.410.180.13
Net GEX-13.8M-30.2M2.7M-12.8M-5.2M
Net DEX48.1M-54.6M148.0M13.6M22.9M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.723.301.071.30
Total Volume17,944.5911,90234,55915,0779,058
Total OI207,770.091137,965258,937221,034149,833

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$48.78$49.0011.3%3.5%8.5%42.8%13.4%3.5%-0.1%-12.8M13.6M-1.1M1.078.937,2927,78571,892149,142
2015-06-02$48.66$49.0011.7%3.8%8.5%46.5%11.8%2.8%-0.4%-14.0M25.8M-1.1M0.9414.5598292073,643150,725
2015-06-03$48.61$49.0011.5%3.7%8.1%44.4%13.7%3.3%0.3%-11.6M27.8M-1.1M1.188.477,1288,41673,803151,439
2015-06-04$48.19$49.0012.7%3.5%8.6%56.7%12.4%3.2%-1.0%-19.3M78.6M-1.1M1.798.397,59513,63073,985151,788
2015-06-05$47.62$49.0012.3%3.4%9.4%53.0%12.9%3.0%-0.3%-25.5M143.6M-1.1M1.928.098,01115,40474,500154,540
2015-06-08$47.61$49.0012.2%3.3%8.7%51.9%11.9%3.2%-0.3%-26.8M148.0M-1.1M0.918.4211,13610,08774,317156,806
2015-06-09$47.82$48.0011.4%3.3%8.9%44.0%12.4%2.4%0.3%-22.2M120.1M-1.1M1.227.8911,17013,61177,110157,408
2015-06-10$48.28$48.0010.4%3.2%9.7%33.3%11.6%2.9%1.0%-22.2M84.2M-1.1M1.236.139,27111,43678,398161,599
2015-06-11$48.21$48.0010.7%3.1%9.7%36.5%12.0%2.7%0.3%-23.0M83.9M-1.1M1.266.888,97911,30779,322161,500
2015-06-12$48.08$48.0010.9%3.2%8.0%39.2%14.6%3.3%0.2%-27.7M106.2M-1.0M1.498.338,60412,81579,528163,261
2015-06-15$47.72$48.0011.7%3.3%8.0%46.8%12.1%2.9%0.5%-30.2M136.1M-1.0M2.006.597,65515,28378,398165,102
2015-06-16$48.20$48.0011.6%3.3%9.1%45.3%11.5%2.6%-0.5%-28.9M106.8M-1.1M1.707.357,55912,83078,785169,625
2015-06-17$48.51$48.0010.4%3.0%9.5%33.7%12.3%2.8%0.4%-20.3M87.7M-1.1M0.9527.6217,70216,85779,158170,304
2015-06-18$48.99$48.009.8%2.8%10.2%27.2%11.0%2.4%0.1%-5.8M-15.8M-1.2M1.2410.1610,28112,72288,150170,787
2015-06-19$48.76$49.009.6%2.7%10.3%26.0%10.5%2.6%0.3%1.8M32.6M-1.1M1.377.9210,15113,90576,425171,693
2015-06-22$48.86$49.009.5%2.7%10.2%24.7%11.7%2.3%0.3%2.7M-54.6M-1.1M2.8612.443,3709,63858,87279,093
2015-06-23$48.67$49.0010.0%2.9%10.0%29.4%11.4%2.6%0.3%1.4M-42.4M-1.1M2.4414.613,3628,21259,66181,107
2015-06-24$48.48$49.009.9%2.9%9.8%28.7%11.8%2.5%0.1%-1.3M-25.1M-1.1M1.829.653,1265,70059,97682,410
2015-06-25$48.37$49.0010.3%3.0%9.8%32.9%11.8%2.7%0.3%-2.1M-21.5M-1.1M1.608.023,6545,83460,60082,766
2015-06-26$48.43$49.0011.0%3.2%9.6%39.6%12.3%2.9%-0.2%-5.3M-22.4M-1.1M3.308.423,93812,99761,50783,208
2015-06-29$47.75$49.0014.3%4.2%10.8%73.3%14.9%3.7%-0.2%-4.8M21.3M-1.1M0.7211.518,9476,42161,79286,984
2015-06-30$47.73$49.0013.7%4.1%10.8%66.7%15.3%3.6%-0.2%-5.2M22.9M-1.1M1.307.973,9385,12062,86886,965