XLP Options History — June 2016

In June 2016, XLP traded between $53.03 and $55.06. ATM implied volatility averaged 12.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.5%). Max pain ranged from $52.50 to $54.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2016-06-30: Highest Volume — 75,667 contracts
  • 2016-06-24: Largest IV spike — 22.9% change
  • 2016-06-27: Highest IV Rank — 37.5%
  • 2016-06-27: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.70$53.03$55.06$53.09$55.06
Max Pain$53.93$52.50$54.00$52.50$54.00
ATM IV12.5%10.2%15.5%12.0%12.3%
Expected Move3.6%2.8%4.7%3.7%3.3%
HV 20d10.5%7.2%12.8%12.6%12.6%
HV 60d11.0%10.8%12.0%10.9%12.0%
IV Rank18.8%4.4%37.5%15.6%17.2%
IV Percentile42.1%5.6%75.0%35.7%41.7%
Term Structure-0.0%-2.2%1.2%-0.3%0.0%
VWIV14.2%10.3%20.0%13.5%12.4%
Skew 25d4.6%3.3%6.9%4.1%5.0%
Skew 10d9.8%6.5%15.4%9.5%11.6%
Call IV 25d10.8%8.9%14.3%10.1%9.5%
Put IV 25d15.4%12.7%19.1%14.2%14.5%
Bid-Ask Spread %10.915.8117.6712.5317.22
Gamma HHI0.200.120.470.160.17
Net GEX3.7M-24.9M51.5M-18.5M1.5M
Net DEX-20.0M-187.0M114.4M39.0M-87.2M
Net VEX-2.0M-2.3M-1.9M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.824.791.894.54
Total Volume27,599.511,06575,66721,59775,667
Total OI313,572.182224,726381,869337,025276,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$53.09$52.5012.0%3.7%12.6%15.6%13.5%4.1%-0.3%-18.5M39.0M-2.0M1.8912.537,47514,12293,693243,332
2016-06-02$53.19$54.0011.4%3.2%12.6%12.1%11.1%3.9%-0.3%-18.4M26.4M-1.9M1.856.076,34811,75197,270248,362
2016-06-03$53.54$54.0010.6%2.8%12.8%6.9%11.1%4.0%-0.2%-2.6M-36.8M-1.9M1.4512.119,54813,88098,393249,410
2016-06-06$53.55$54.0010.5%2.8%12.7%6.6%10.7%3.5%-0.4%680.1K-58.1M-1.9M1.2910.4014,07618,221103,567250,569
2016-06-07$53.50$54.0010.5%3.2%12.5%6.4%10.3%3.3%0.9%12.1M-45.6M-2.0M0.828.7111,9339,766112,626249,469
2016-06-08$53.84$54.0010.2%3.0%12.2%4.4%11.3%3.8%0.4%29.3M-113.7M-1.9M2.288.825,80813,244113,327250,829
2016-06-09$54.09$54.0010.7%3.0%12.1%7.4%11.1%3.5%0.1%51.5M-170.2M-1.9M2.2111.255,23711,572112,551255,365
2016-06-10$54.12$54.0011.8%3.4%12.0%14.4%12.3%4.1%0.1%51.4M-187.0M-1.9M1.3413.9115,70721,099113,261258,785
2016-06-13$53.69$54.0013.3%3.7%11.5%23.9%13.3%5.0%1.2%5.5M-47.5M-2.0M1.6310.899,09114,844106,941261,687
2016-06-14$53.84$54.0013.4%3.8%11.4%24.4%18.6%5.5%-0.3%17.0M-65.7M-2.0M2.679.717,52120,090109,617267,569
2016-06-15$53.67$54.0013.0%3.7%11.1%21.8%15.5%5.2%0.8%9.7M-26.9M-2.0M2.0214.296,40012,913107,005272,892
2016-06-16$54.01$54.0012.2%3.5%7.4%17.2%13.8%3.5%0.8%20.5M-132.1M-1.9M1.6510.0517,60429,018107,319274,550
2016-06-17$53.46$54.0014.6%4.3%8.0%32.4%14.5%5.2%-1.2%-24.9M73.1M-2.0M2.545.817,68019,50784,161277,808
2016-06-20$53.57$54.0013.6%4.0%7.7%26.1%20.0%4.8%-0.6%-5.4M38.4M-2.0M3.058.445,04415,37072,881154,138
2016-06-21$53.80$54.0012.6%3.7%7.8%19.4%15.9%4.9%0.1%-4.0M19.8M-2.0M3.206.214,18313,37070,866153,860
2016-06-22$53.81$54.0013.0%4.1%7.2%21.8%16.4%5.2%0.1%-2.6M17.4M-2.0M2.1410.897,36615,78675,671155,436
2016-06-23$54.10$54.0012.6%3.6%7.4%19.7%13.8%5.2%-0.1%-316.0K-20.9M-1.9M2.8513.042,8748,19176,399157,679
2016-06-24$53.29$54.0015.5%4.4%9.4%37.4%19.6%6.9%-2.2%-16.4M87.7M-2.1M4.2217.675,44722,97477,465159,260
2016-06-27$53.03$54.0015.5%4.7%9.5%37.5%18.2%4.7%-0.4%-11.4M114.4M-2.2M3.4811.976,89523,97474,717163,161
2016-06-28$53.28$54.0013.6%3.9%9.6%25.2%14.3%5.0%0.6%-8.6M102.7M-2.2M3.6011.437,64027,54178,036169,048
2016-06-29$53.89$54.0012.2%3.5%10.2%16.3%14.2%4.8%0.2%-5.5M33.7M-2.3M4.798.705,25125,16179,482183,551
2016-06-30$55.06$54.0012.3%3.3%12.6%17.2%12.4%5.0%0.0%1.5M-87.2M-2.2M4.5417.2213,64762,02080,172196,408