XLP Options History — September 2015

In September 2015, XLP traded between $46.32 and $48.04. ATM implied volatility averaged 18.6%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.7% (HV 20d: 21.3%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.96.

Notable Days

  • 2015-09-16: Highest Volume — 47,811 contracts
  • 2015-09-28: Largest IV spike — 20.4% change
  • 2015-09-01: Highest IV Rank — 87.2%
  • 2015-09-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.15$46.32$48.04$46.32$47.24
Max Pain$47.20$46.00$50.00$50.00$47.50
ATM IV18.6%15.0%23.0%23.0%17.8%
Expected Move5.3%4.4%7.1%7.1%5.2%
HV 20d21.3%19.1%24.3%19.2%19.4%
HV 60d15.8%14.4%16.6%14.4%16.6%
IV Rank61.5%41.7%87.2%87.2%52.6%
IV Percentile94.3%88.9%98.8%98.8%92.9%
Term Structure-0.4%-5.2%1.6%-0.5%-0.3%
VWIV20.2%15.3%26.6%25.2%19.7%
Skew 25d5.5%4.2%7.0%5.7%5.3%
Skew 10d12.5%5.9%24.5%9.8%11.0%
Call IV 25d16.4%12.1%20.4%20.4%15.2%
Put IV 25d21.9%18.3%26.0%26.0%20.5%
Bid-Ask Spread %25.837.1850.7819.3210.40
Gamma HHI0.140.100.300.140.10
Net GEX-8.2M-16.0M6.9M-9.2M-6.5M
Net DEX181.5M12.5M301.6M296.3M12.5M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.679.721.920.67
Total Volume30,486.952,36647,81135,72218,793
Total OI224,131.2164,695261,004238,512194,485

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$46.32$50.0023.0%7.1%19.2%87.2%25.2%5.7%-0.5%-9.2M296.3M-1.3M1.9219.3212,23423,48884,647153,865
2015-09-02$46.87$50.0020.2%5.7%19.4%71.7%21.1%5.9%0.0%-10.8M301.6M-1.3M6.7817.634,80232,55883,639158,689
2015-09-03$47.35$46.0019.3%5.6%20.0%66.9%21.6%5.5%-0.3%-12.6M249.5M-1.3M5.7825.865,85433,83283,636163,097
2015-09-04$46.67$46.0021.7%5.8%20.3%80.2%22.5%5.6%-1.0%-9.3M284.5M-1.3M4.7638.665,62026,76183,030161,902
2015-09-08$47.52$46.0019.7%5.4%21.6%68.9%19.9%7.0%-0.6%-13.0M247.9M-1.3M0.8348.471,2921,07479,534159,108
2015-09-09$46.62$46.0021.3%5.9%22.4%77.8%20.9%4.5%-2.1%-10.4M286.2M-1.2M5.0241.116,05930,42080,480159,887
2015-09-10$46.74$46.0021.9%5.9%22.4%81.0%20.1%5.9%-0.6%-10.4M292.8M-1.2M6.7144.313,81225,56283,627164,724
2015-09-11$47.04$47.0019.3%5.4%22.7%66.8%19.6%4.3%-0.7%-5.8M273.6M-1.2M9.7232.443,60935,08484,319164,890
2015-09-14$46.90$47.0019.7%5.5%22.6%68.8%20.8%5.7%0.8%-10.3M284.0M-1.2M6.3434.305,42334,39781,248163,624
2015-09-15$47.51$47.0017.5%5.0%23.3%56.9%26.6%4.2%0.0%-10.2M241.4M-1.2M1.1730.401,3091,52883,763163,559
2015-09-16$48.04$47.0016.6%4.8%23.8%52.1%18.7%5.4%0.5%-10.9M211.6M-1.2M1.9419.7516,28931,52283,808164,681
2015-09-17$48.00$47.0015.0%4.5%23.6%43.1%19.9%6.4%-5.2%6.9M172.5M-1.2M5.7150.785,29730,22596,809164,195
2015-09-18$47.15$47.0017.5%4.9%24.3%57.0%17.6%6.2%1.6%-16.0M254.0M-1.2M3.1536.6810,66733,59996,104164,166
2015-09-21$47.54$47.0015.4%4.4%22.8%43.0%17.4%5.0%-0.0%-2.4M17.7M-1.2M7.368.864,16230,62057,522107,173
2015-09-23$47.13$47.5016.2%4.7%20.6%44.7%18.2%5.0%-0.1%-6.7M47.8M-1.2M4.387.184,48819,67059,091117,789
2015-09-24$47.16$47.5016.9%4.9%20.2%48.6%18.2%5.2%0.0%-6.2M46.4M-1.1M3.1013.534,94815,35959,227118,445
2015-09-25$47.50$47.5016.0%4.7%19.1%41.7%15.3%5.4%0.5%-5.0M23.7M-1.2M1.1912.0912,54414,90160,945120,970
2015-09-28$46.83$47.5019.2%5.7%19.1%61.9%20.3%6.0%-0.7%-6.1M34.0M-1.3M1.2813.5114,14618,06068,388115,439
2015-09-29$46.78$47.5018.8%5.5%19.1%58.6%20.3%5.8%0.0%-8.4M52.2M-1.3M1.4211.2212,27117,46071,862120,257
2015-09-30$47.24$47.5017.8%5.2%19.4%52.6%19.7%5.3%-0.3%-6.5M12.5M-1.3M0.6710.4011,2287,56572,751121,734