XLP Options History — August 2015

In August 2015, XLP traded between $46.05 and $50.85. ATM implied volatility averaged 15.5%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.3% (HV 20d: 11.2%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2015-08-27: Highest Volume — 44,402 contracts
  • 2015-08-24: Largest IV spike — 32.2% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-26: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.13$46.05$50.85$50.38$47.40
Max Pain$49.93$49.00$50.00$49.00$50.00
ATM IV15.5%10.0%25.4%10.2%20.6%
Expected Move4.7%2.7%7.8%2.8%6.5%
HV 20d11.2%7.8%18.0%10.9%17.9%
HV 60d11.2%10.1%13.9%10.2%13.6%
IV Rank62.9%29.5%100.0%31.6%73.8%
IV Percentile70.0%18.7%100.0%21.0%98.0%
Term Structure0.2%-1.2%2.8%0.1%-0.8%
VWIV17.2%10.0%30.8%10.1%24.6%
Skew 25d3.9%2.3%9.3%2.8%4.7%
Skew 10d7.4%3.5%12.6%6.3%11.7%
Call IV 25d13.8%9.2%21.6%9.3%18.6%
Put IV 25d17.7%12.1%29.8%12.1%23.3%
Bid-Ask Spread %19.766.5544.1811.8212.19
Gamma HHI0.170.130.370.160.14
Net GEX-9.6M-19.9M-4.4M-5.1M-11.5M
Net DEX47.8M-128.7M265.2M-108.0M210.5M
Net VEX-1.1M-1.3M-939.9K-939.9K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.873.832.672.20
Total Volume22,312.7142,93544,4024,72230,901
Total OI199,802.81161,550234,771161,550234,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$50.38$49.0010.2%2.8%10.9%31.6%10.1%2.8%0.1%-5.1M-108.0M-939.9K2.6711.821,2863,43661,376100,174
2015-08-04$50.33$49.5010.4%2.8%8.8%33.7%10.0%2.6%0.2%-4.8M-94.5M-987.0K2.186.853,9308,57262,280102,867
2015-08-05$50.85$50.0010.0%2.7%8.5%29.5%11.7%3.1%0.0%-4.4M-128.7M-980.1K1.456.554,6586,73662,648104,694
2015-08-06$50.48$50.0011.3%3.9%9.2%42.5%12.9%2.8%0.1%-5.7M-105.9M-1.0M1.5418.0512,28518,93463,158106,063
2015-08-07$50.13$50.0011.5%3.8%9.2%45.0%12.7%2.3%-0.1%-19.9M-43.2M-1.1M1.8312.5312,22122,41070,067121,136
2015-08-10$50.32$50.0010.6%3.7%8.8%35.9%13.9%2.4%2.4%-6.5M-53.1M-1.2M2.0611.395,39711,13970,754121,528
2015-08-11$50.21$50.0011.2%3.9%8.8%41.7%14.1%3.3%2.8%-8.5M-43.9M-1.2M2.6244.188112,12471,240125,016
2015-08-12$50.20$50.0011.7%3.9%8.7%46.8%15.5%2.5%1.7%-7.9M-33.9M-1.2M2.9621.035,61116,58671,668126,657
2015-08-13$50.02$50.0011.9%3.8%7.8%49.1%14.1%2.4%1.6%-11.5M-13.2M-1.2M2.3023.067,62617,52973,182132,649
2015-08-14$50.13$50.0012.2%3.9%7.9%51.8%14.9%2.8%2.2%-9.3M-26.4M-1.2M2.5418.215,38413,64974,984133,041
2015-08-17$50.17$50.0012.8%3.8%7.9%58.2%18.5%2.8%-0.8%-10.2M-28.9M-1.2M1.5018.985,9288,89075,151131,867
2015-08-18$49.95$50.0013.2%3.9%8.0%62.4%14.5%3.2%-0.6%-9.9M-3.6M-1.2M2.0915.055,92212,37076,436132,568
2015-08-19$49.43$50.0014.8%4.3%8.7%78.5%14.8%3.6%-0.5%-16.4M64.0M-1.2M1.6231.284,8247,82576,597134,913
2015-08-20$49.09$50.0015.7%4.5%8.9%87.2%14.6%3.7%-0.3%-16.0M99.0M-1.2M0.8720.499,7928,52876,964135,711
2015-08-21$47.83$50.0019.2%5.6%12.6%100.0%20.0%4.1%-1.2%-12.4M198.0M-1.2M1.0223.9611,48011,73079,249137,128
2015-08-24$46.52$50.0025.4%7.5%15.6%100.0%25.4%9.3%0.1%-6.2M243.5M-1.1M1.5216.787,29011,06775,700122,258
2015-08-25$46.05$50.0024.6%7.2%14.7%95.9%21.2%4.7%0.3%-6.7M265.2M-1.1M3.8321.427,31228,03277,197126,409
2015-08-26$47.00$50.0024.8%7.8%16.9%97.1%30.8%8.7%-0.5%-8.3M231.0M-1.1M2.3741.218,54120,24077,928129,979
2015-08-27$47.65$50.0021.8%6.6%18.0%80.4%24.2%4.9%-0.6%-9.8M188.3M-1.1M2.7922.5911,70732,69579,702132,829
2015-08-28$47.59$50.0021.7%6.7%18.0%80.0%23.6%5.1%-1.1%-11.5M188.5M-1.3M2.3617.4112,83630,33382,884144,436
2015-08-31$47.40$50.0020.6%6.5%17.9%73.8%24.6%4.7%-0.8%-11.5M210.5M-1.3M2.2012.199,64921,25284,500150,271