XLP Options History — January 2016

In January 2016, XLP traded between $48.29 and $50.76. ATM implied volatility averaged 16.9%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.8% (HV 20d: 17.7%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 5.59.

Notable Days

  • 2016-01-20: Highest Volume — 44,838 contracts
  • 2016-01-22: Largest IV drop — 14.5% change
  • 2016-01-20: Highest IV Rank — 60.7%
  • 2016-01-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.32$48.29$50.76$49.77$50.76
Max Pain$50.42$50.00$51.00$51.00$50.00
ATM IV16.9%14.2%19.1%15.7%14.2%
Expected Move4.8%4.0%5.5%4.4%4.0%
HV 20d17.7%16.5%19.4%19.4%18.6%
HV 60d15.8%15.1%16.8%15.3%16.8%
IV Rank46.8%29.5%60.7%39.1%29.5%
IV Percentile87.8%70.6%93.3%87.3%70.6%
Term Structure-0.1%-1.0%0.6%0.0%0.6%
VWIV17.5%15.1%21.5%16.1%17.2%
Skew 25d5.4%4.0%6.7%5.3%4.0%
Skew 10d11.5%9.3%13.9%12.2%9.3%
Call IV 25d14.7%12.7%16.7%13.7%12.7%
Put IV 25d20.1%16.7%23.0%19.0%16.7%
Bid-Ask Spread %13.138.2444.6910.2344.69
Gamma HHI0.160.130.200.170.17
Net GEX-8.1M-13.8M53.7K-2.7M-7.0M
Net DEX69.7M-25.4M164.3M11.8M36.7M
Net VEX-833.5K-1.0M-723.8K-743.9K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.591.9515.883.437.70
Total Volume26,464.68417,00444,83818,39840,160
Total OI169,349.895114,812233,110194,056135,647

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$49.77$51.0015.7%4.4%19.4%39.1%16.1%5.3%0.0%-2.7M11.8M-743.9K3.4310.234,15614,24246,870147,186
2016-01-05$50.17$51.0015.0%4.3%17.8%34.8%15.1%4.9%0.1%53.7K-25.4M-724.9K3.389.124,35514,70047,366148,794
2016-01-06$49.95$51.0015.6%4.4%17.7%38.5%16.1%5.3%0.0%-2.7M48.1K-757.4K3.3610.964,11113,80247,910150,545
2016-01-07$49.54$51.0017.7%4.7%17.9%51.4%17.1%5.1%-0.1%-4.0M32.9M-759.0K4.4611.285,52224,61548,151153,053
2016-01-08$48.97$51.0018.6%5.2%18.0%57.7%19.4%6.7%-0.2%-13.8M85.2M-770.4K3.7112.004,52216,75648,018164,197
2016-01-11$49.56$51.0016.9%4.6%18.5%46.4%16.3%5.6%-0.8%-4.7M35.7M-723.8K1.9613.1811,69422,97047,188159,564
2016-01-12$49.74$51.0016.4%4.4%18.2%43.3%16.5%5.3%-1.0%-4.2M19.5M-746.7K2.859.797,14620,36650,147163,536
2016-01-13$48.87$51.0017.8%5.0%18.9%52.5%17.2%6.5%-0.4%-10.7M105.8M-741.7K1.9516.118,14915,86250,236167,295
2016-01-14$49.07$50.0017.3%4.9%18.7%49.4%16.1%5.7%-0.2%-7.5M100.7M-774.7K4.139.153,41714,09853,906173,890
2016-01-15$48.35$50.0019.0%5.5%17.5%59.7%21.5%6.3%0.2%-8.2M164.3M-767.6K4.8613.804,71922,95655,124177,986
2016-01-19$49.00$50.0017.3%4.9%18.1%49.1%18.8%5.6%0.1%-12.0M93.9M-811.2K7.7710.023,81129,62127,20387,609
2016-01-20$48.29$50.0019.1%5.5%16.7%60.7%21.4%6.3%0.1%-12.2M116.5M-811.3K15.8813.502,65742,18127,85187,321
2016-01-21$48.56$50.0018.6%5.3%16.7%57.2%18.4%5.6%-0.0%-12.6M119.2M-901.0K4.329.357,16830,94528,412100,820
2016-01-22$49.27$50.0015.9%4.5%16.8%40.2%16.2%4.9%-0.0%-8.0M78.9M-946.0K6.328.623,92524,81631,628104,575
2016-01-25$48.86$50.0017.0%4.9%16.5%47.3%19.4%5.7%0.1%-9.8M101.0M-962.5K8.718.242,16418,84628,68886,417
2016-01-26$49.23$50.0016.9%4.9%16.9%46.5%17.2%5.2%0.0%-12.2M93.2M-969.1K8.4012.541,94816,36129,28993,378
2016-01-27$49.23$50.0017.2%5.0%16.9%48.3%16.6%4.5%-0.2%-12.3M93.0M-962.1K4.5016.933,09013,91429,44293,626
2016-01-28$49.80$50.0015.6%4.5%17.1%38.2%16.6%4.7%0.1%-8.9M62.1M-953.9K8.539.952,41920,64530,56594,215
2016-01-29$50.76$50.0014.2%4.0%18.6%29.5%17.2%4.0%0.6%-7.0M36.7M-1.0M7.7044.694,61835,54230,927104,720