XLP Options History — February 2016

In February 2016, XLP traded between $49.48 and $51.82. ATM implied volatility averaged 16.5%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.0% (HV 20d: 15.5%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.50.

Notable Days

  • 2016-02-26: Highest Volume — 50,482 contracts
  • 2016-02-17: Largest IV drop — 13.3% change
  • 2016-02-11: Highest IV Rank — 68.8%
  • 2016-02-11: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.49$49.48$51.82$51.02$51.02
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV16.5%13.3%20.4%14.6%14.7%
Expected Move4.8%3.7%6.2%4.2%4.6%
HV 20d15.5%12.2%18.4%18.4%12.2%
HV 60d16.5%16.2%16.9%16.8%16.3%
IV Rank44.4%23.8%68.8%32.3%32.9%
IV Percentile81.1%57.9%96.0%75.0%70.6%
Term Structure0.1%-1.4%1.3%0.1%-0.1%
VWIV18.0%14.7%21.6%14.9%18.2%
Skew 25d4.9%4.2%6.3%4.2%4.6%
Skew 10d9.9%8.0%12.2%8.2%9.0%
Call IV 25d14.4%11.7%17.7%12.9%12.6%
Put IV 25d19.3%16.0%23.5%17.1%17.2%
Bid-Ask Spread %11.296.2216.3311.4712.91
Gamma HHI0.130.110.160.150.16
Net GEX-7.1M-20.0M3.0M-6.4M-11.2M
Net DEX54.6M-57.9M159.0M23.7M61.4M
Net VEX-1.4M-1.6M-1.0M-1.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.5212.051.643.81
Total Volume25,009.36,75150,48220,65112,680
Total OI203,310.05138,766238,622138,766238,622

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$51.02$50.0014.6%4.2%18.4%32.3%14.9%4.2%0.1%-6.4M23.7M-1.0M1.6411.477,81512,83632,571106,195
2016-02-02$50.32$50.0015.7%4.4%18.0%38.8%14.7%4.5%0.2%-9.9M69.6M-1.1M0.979.708,6508,38237,494113,347
2016-02-03$50.21$50.0016.7%4.8%17.9%45.3%17.1%4.5%0.0%-9.5M75.5M-1.2M0.5210.8210,3655,38343,074116,301
2016-02-04$49.73$50.0017.3%5.0%18.1%49.1%21.1%4.3%0.1%-11.6M103.2M-1.3M3.216.225,14016,51251,454117,112
2016-02-05$49.53$50.0018.1%5.3%17.9%54.5%19.9%5.0%-0.1%-12.7M125.3M-1.3M4.8513.285,26225,54353,351124,199
2016-02-08$49.50$50.0019.4%6.0%17.4%62.1%21.4%4.6%1.3%-15.1M155.7M-1.5M3.9811.606,59926,29353,951140,741
2016-02-09$49.85$50.0019.0%5.6%17.1%60.0%21.6%5.8%0.5%-13.1M127.0M-1.6M2.3210.7113,36130,96556,881149,635
2016-02-10$49.77$50.0018.5%5.5%17.0%57.0%20.1%5.6%0.4%-14.4M128.7M-1.5M2.5916.331,8824,86965,517165,569
2016-02-11$49.48$50.0020.4%6.2%15.9%68.8%20.8%5.8%1.3%-20.0M159.0M-1.5M1.8611.0611,04920,53766,215163,994
2016-02-12$50.05$50.0018.4%5.4%16.3%56.1%19.6%5.2%0.4%-8.8M88.5M-1.5M1.6910.8812,78521,64972,419164,383
2016-02-16$50.36$50.0018.4%5.3%15.3%55.9%20.7%6.3%-1.4%-6.1M53.5M-1.5M1.2710.578,53610,86266,083148,853
2016-02-17$50.98$50.0015.9%4.6%15.2%40.5%15.5%5.2%-0.2%3.0M-10.7M-1.4M0.7412.6817,40612,80966,853151,157
2016-02-18$50.72$50.0015.9%4.5%14.1%40.4%19.4%5.6%0.6%1.2M16.3M-1.5M1.2910.428,36910,78473,251153,866
2016-02-19$50.83$50.0015.7%4.5%14.1%39.1%14.8%4.6%-0.0%-4.6M-826.9K-1.4M0.7411.9213,81110,26874,218155,221
2016-02-22$51.07$50.0014.8%4.2%13.4%33.3%15.2%4.9%-0.2%-1.0M-1.0M-1.5M1.749.028,25714,37465,401136,592
2016-02-23$51.14$50.0014.8%4.3%12.8%33.3%14.7%4.3%-0.3%-627.4K-7.3M-1.4M1.7611.388,76715,42265,807137,905
2016-02-24$51.21$50.0015.0%4.4%12.7%34.6%17.5%4.3%-0.2%-808.4K-10.6M-1.4M1.8110.568,15514,77667,281141,412
2016-02-25$51.82$50.0013.3%3.7%13.1%23.8%14.9%4.2%-0.9%2.4M-57.9M-1.4M1.068.858,9929,55967,840145,355
2016-02-26$51.13$50.0014.3%4.3%13.8%30.5%18.7%5.4%0.1%-2.7M-6.9M-1.4M12.0515.413,86946,61369,258146,823
2016-02-29$51.02$50.0014.7%4.6%12.2%32.9%18.2%4.6%-0.1%-11.2M61.4M-1.6M3.8112.912,63810,04268,411170,211