XLP Options History — July 2015

In July 2015, XLP traded between $48.14 and $50.40. ATM implied volatility averaged 11.4%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.4% (HV 20d: 11.7%). Max pain ranged from $47.00 to $49.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2015-07-10: Highest Volume — 23,517 contracts
  • 2015-07-08: Largest IV spike — 15.8% change
  • 2015-07-09: Highest IV Rank — 70.7%
  • 2015-07-09: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.55$48.14$50.40$48.17$50.28
Max Pain$48.57$47.00$49.50$49.00$49.00
ATM IV11.4%9.7%14.1%12.5%10.0%
Expected Move3.2%2.7%3.8%3.8%2.7%
HV 20d11.7%10.0%12.7%11.4%10.9%
HV 60d10.0%8.9%10.3%9.0%10.2%
IV Rank43.4%26.1%70.7%54.9%29.5%
IV Percentile46.6%13.1%89.7%73.0%18.7%
Term Structure-0.0%-0.8%0.6%0.1%0.4%
VWIV12.7%9.9%15.6%13.3%10.2%
Skew 25d2.9%2.1%3.6%2.9%2.1%
Skew 10d6.2%4.7%8.4%5.8%5.7%
Call IV 25d10.1%8.6%12.3%11.2%9.1%
Put IV 25d13.0%11.2%15.9%14.1%11.2%
Bid-Ask Spread %9.816.2625.5910.2610.12
Gamma HHI0.190.130.450.130.15
Net GEX1.6M-4.2M11.6M-3.5M-4.2M
Net DEX-82.2M-155.0M2.4M2.4M-104.2M
Net VEX-1.1M-1.2M-925.4K-1.2M-997.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.762.781.851.79
Total Volume14,817.95510,16223,51710,61910,654
Total OI158,479.909147,661174,505150,705164,562

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$48.17$49.0012.5%3.8%11.4%54.9%13.3%2.9%0.1%-3.5M2.4M-1.2M1.8510.263,7316,88863,55387,152
2015-07-02$48.20$49.0012.4%3.7%11.0%54.0%13.4%2.9%0.1%-2.8M-2.9M-1.2M2.428.973,0237,32363,86689,153
2015-07-06$48.14$48.0013.1%3.7%10.0%60.8%14.0%3.2%0.0%-3.4M2.2M-1.2M2.416.263,7859,11463,10888,514
2015-07-07$49.08$48.0012.1%3.5%12.0%50.8%15.6%3.3%-0.0%1.4M-66.3M-1.1M2.2910.054,37410,00763,56291,801
2015-07-08$48.65$47.0014.0%3.8%12.5%70.1%14.4%3.5%-0.2%-774.6K-34.1M-1.2M0.7611.109,9517,60364,29192,510
2015-07-09$48.73$48.0014.1%3.8%12.1%70.7%15.0%3.6%-0.3%4.3M-50.7M-1.2M1.459.314,7336,85469,37093,139
2015-07-10$49.18$47.0012.8%3.6%12.5%57.7%13.1%3.2%0.2%8.0M-93.6M-1.1M1.067.4311,41312,10469,93393,351
2015-07-13$49.64$47.0011.4%3.1%12.7%44.0%11.9%2.9%-0.8%9.4M-100.3M-1.1M1.406.625,6467,91368,36796,019
2015-07-14$49.72$47.0011.0%3.0%12.3%39.9%10.7%3.0%-0.7%9.5M-108.3M-1.1M1.747.305,2019,04267,91797,539
2015-07-15$49.56$49.0010.8%3.0%12.0%38.1%11.5%2.6%-0.4%10.0M-103.7M-1.0M1.317.865,4807,20368,25698,030
2015-07-16$50.13$49.009.9%2.9%12.4%29.1%14.4%2.7%0.3%9.5M-155.0M-925.4K2.6910.675,26414,15868,14398,666
2015-07-17$50.07$49.0010.0%2.9%12.1%29.8%14.6%2.7%0.1%11.6M-132.3M-1.0M2.2111.935,97713,23668,306106,199
2015-07-20$50.16$49.0010.4%3.0%11.9%34.0%11.2%2.6%-0.1%-1.5M-112.2M-927.9K1.2810.588,16610,45558,72088,941
2015-07-21$50.03$49.0010.4%3.0%11.9%33.5%15.5%2.9%0.1%-675.5K-95.5M-1.0M1.716.817,05912,08961,18090,209
2015-07-22$50.14$49.0010.2%2.9%11.8%31.8%12.9%2.5%0.1%-110.7K-113.7M-959.4K1.406.886,4519,03461,86592,796
2015-07-23$49.92$49.0010.4%3.0%11.8%34.1%12.4%2.8%0.0%-433.0K-90.1M-1.1M1.4211.386,5529,32562,17492,127
2015-07-24$49.72$49.0011.5%3.3%11.9%44.3%11.8%2.5%0.0%-2.2M-73.7M-1.1M1.1111.716,3667,08762,31392,308
2015-07-27$49.61$49.5012.2%3.5%12.0%51.7%13.1%2.9%0.0%-2.1M-56.0M-1.1M0.977.265,7215,57361,28991,179
2015-07-28$50.20$49.5011.2%3.1%11.1%41.6%11.1%2.8%-0.1%-1.2M-110.1M-990.5K2.788.675,50615,31061,60791,697
2015-07-29$50.40$49.509.7%2.8%11.0%26.1%9.9%2.4%0.4%-2.7M-110.5M-1.0M1.0925.595,0115,45161,82697,345
2015-07-30$50.26$49.009.8%2.7%10.9%28.1%9.9%2.4%0.6%-3.7M-99.5M-988.6K1.249.024,5395,62362,178101,497
2015-07-31$50.28$49.0010.0%2.7%10.9%29.5%10.2%2.1%0.4%-4.2M-104.2M-997.3K1.7910.123,8176,83762,775101,787