XLP Options History — December 2015

In December 2015, XLP traded between $49.30 and $51.32. ATM implied volatility averaged 13.4%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 2.9% (HV 20d: 16.4%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2015-12-17: Highest Volume — 47,970 contracts
  • 2015-12-18: Largest IV spike — 20.4% change
  • 2015-12-11: Highest IV Rank — 46.3%
  • 2015-12-11: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.33$49.30$51.32$49.85$50.62
Max Pain$48.55$46.00$50.00$47.00$50.00
ATM IV13.4%11.8%16.8%11.8%13.5%
Expected Move3.9%3.4%5.0%3.7%3.8%
HV 20d16.4%13.6%18.7%13.9%18.4%
HV 60d15.1%14.6%15.9%15.2%14.9%
IV Rank24.7%14.6%46.3%14.8%25.0%
IV Percentile61.1%34.9%90.9%39.3%66.3%
Term Structure0.0%-1.4%1.2%-0.1%-0.0%
VWIV16.7%12.5%21.7%13.3%19.8%
Skew 25d4.0%2.4%5.1%3.5%4.5%
Skew 10d8.8%6.2%12.9%7.5%8.7%
Call IV 25d11.9%10.1%15.0%10.9%11.6%
Put IV 25d15.9%13.9%19.5%14.4%16.1%
Bid-Ask Spread %9.736.2119.7010.127.73
Gamma HHI0.200.120.480.260.24
Net GEX6.3M-3.8M31.0M3.0M10.2M
Net DEX-112.6M-257.1M12.9M-145.1M-66.1M
Net VEX-759.4K-1.0M-595.9K-641.1K-727.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.474.851.333.37
Total Volume19,514.3181,71447,9701,71420,818
Total OI202,644.409180,256240,689180,256193,590

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$49.85$47.0011.8%3.7%13.9%14.8%13.3%3.5%-0.1%3.0M-145.1M-641.1K1.3310.1273797766,603113,653
2015-12-02$49.55$47.0012.5%4.1%13.9%19.1%15.6%4.7%-0.1%997.8K-125.3M-658.6K1.9610.123,9247,69567,113114,026
2015-12-03$49.30$46.0013.4%4.0%13.6%24.5%16.6%4.5%-0.2%-2.0M-101.1M-686.9K1.4412.185,3237,68268,198115,078
2015-12-04$50.44$46.0012.5%3.7%15.9%18.9%13.1%3.9%-0.1%12.4M-198.2M-595.9K1.3011.9314,01818,16669,634115,443
2015-12-07$50.65$48.0012.2%3.5%15.3%16.9%12.5%3.0%-0.0%11.7M-210.7M-608.8K0.589.723,5412,04374,914121,180
2015-12-08$50.50$48.0012.9%4.0%15.1%21.5%16.6%3.8%1.2%11.3M-189.2M-686.7K0.818.096,1224,98878,179122,964
2015-12-09$49.95$48.0014.2%4.0%15.8%29.4%17.2%3.6%0.2%7.9M-161.9M-619.8K4.8513.185,68727,56778,550124,143
2015-12-10$49.96$48.0014.3%4.1%15.8%30.2%18.2%4.3%-0.0%3.5M-101.0M-998.4K1.3210.175,0676,68178,985145,667
2015-12-11$49.44$48.0016.8%5.0%14.9%46.3%18.0%4.5%0.8%-2.1M-63.5M-963.9K0.917.176,9016,27379,199146,065
2015-12-14$49.92$48.0016.0%4.6%14.7%40.8%20.1%4.3%-0.3%2.1M-83.3M-1.0M1.3613.799,27712,57778,329146,820
2015-12-15$50.30$48.0015.6%4.5%14.0%38.4%21.5%4.8%-1.4%5.5M-123.8M-964.9K1.1510.089,28010,71180,635153,753
2015-12-16$51.32$48.0012.8%3.7%15.4%20.7%14.0%2.4%-1.0%16.5M-257.1M-691.1K1.3519.706,9289,34581,200158,912
2015-12-17$50.70$48.0013.1%3.7%15.8%22.8%15.5%3.0%0.1%8.3M-171.9M-823.4K0.478.6932,59115,37981,371159,318
2015-12-18$49.48$50.0015.8%4.6%18.2%39.6%21.7%5.1%-1.1%31.0M12.0M-922.6K0.917.2221,00319,10461,441161,267
2015-12-21$49.83$50.0014.5%4.2%18.1%31.9%19.4%4.3%0.4%-3.8M12.9M-881.1K0.856.5613,61811,56045,867138,516
2015-12-22$50.50$50.0013.0%3.8%18.4%21.9%16.0%3.7%0.1%2.6M-51.7M-777.1K0.719.2512,9949,27346,786140,500
2015-12-23$50.95$50.0011.8%3.4%18.6%14.6%13.3%3.5%0.5%3.1M-85.2M-711.6K0.6510.0212,3938,04946,873141,233
2015-12-24$50.87$50.0011.9%3.4%18.7%14.9%13.4%4.1%0.7%2.9M-80.4M-737.7K0.666.2112,1017,97947,165142,216
2015-12-28$50.77$50.0012.4%3.6%18.7%18.1%17.8%4.2%0.3%2.9M-75.5M-689.3K2.706.863,5479,58546,897141,870
2015-12-29$51.22$50.0012.2%3.5%18.3%16.8%15.2%4.0%0.3%4.8M-107.3M-655.5K2.637.243,82110,04547,605144,178
2015-12-30$51.06$50.0012.2%3.4%18.2%17.0%17.9%4.0%0.4%5.1M-103.5M-661.7K2.448.104,0569,88948,094144,147
2015-12-31$50.62$50.0013.5%3.8%18.4%25.0%19.8%4.5%-0.0%10.2M-66.1M-727.4K3.377.734,76416,05448,953144,637