XLP Options History — July 2016

In July 2016, XLP traded between $54.22 and $55.77. ATM implied volatility averaged 11.3%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.6% (HV 20d: 11.9%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 6.21.

Notable Days

  • 2016-07-01: Highest Volume — 82,373 contracts
  • 2016-07-27: Largest IV spike — 12.6% change
  • 2016-07-27: Highest IV Rank — 20.3%
  • 2016-07-05: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.30$54.22$55.77$55.02$54.71
Max Pain$54.40$54.00$55.00$54.00$55.00
ATM IV11.3%9.9%12.8%11.9%11.4%
Expected Move3.2%2.8%3.9%3.2%3.3%
HV 20d11.9%8.5%12.8%12.4%8.5%
HV 60d11.3%10.8%11.8%11.8%11.3%
IV Rank10.2%1.8%20.3%14.2%11.3%
IV Percentile20.7%0.8%52.0%29.8%20.6%
Term Structure0.2%-0.7%0.6%0.6%0.4%
VWIV14.2%10.8%20.4%13.0%13.8%
Skew 25d3.8%3.4%4.6%4.4%3.5%
Skew 10d8.3%6.6%10.9%8.2%7.3%
Call IV 25d9.8%8.5%11.1%10.2%9.7%
Put IV 25d13.6%12.1%15.5%14.6%13.1%
Bid-Ask Spread %11.196.4315.2114.969.15
Gamma HHI0.160.120.660.660.16
Net GEX-40.3M-129.9M-16.8M-129.9M-79.4M
Net DEX99.5M-42.1M490.6M-5.2M371.4M
Net VEX-3.1M-3.7M-2.6M-2.6M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.212.3916.166.0612.17
Total Volume41,619.5523,15082,37382,37373,654
Total OI419,149.8338,383530,842338,383530,842

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$55.02$54.0011.9%3.2%12.4%14.2%13.0%4.4%0.6%-129.9M-5.2M-2.6M6.0614.9611,66070,71387,794250,589
2016-07-05$55.29$54.0012.5%3.9%12.5%18.3%18.9%4.4%-0.0%-16.8M7.6M-2.7M6.109.787,70846,99083,300260,366
2016-07-06$55.28$54.0012.2%3.8%12.5%16.3%20.4%4.4%0.4%-19.4M35.0M-2.8M10.656.432,13722,76084,565270,027
2016-07-07$55.18$54.0012.8%3.8%12.4%20.0%19.0%4.6%0.4%-20.2M35.0M-2.8M8.839.922,90725,66984,807272,050
2016-07-08$55.74$54.0011.8%3.2%12.8%13.6%13.1%3.8%-0.1%-17.4M-42.1M-2.7M6.659.903,95626,29085,953277,396
2016-07-11$55.76$54.0011.2%3.2%12.8%9.8%13.6%4.3%-0.2%-19.6M-28.9M-2.7M3.989.305,28521,04486,277289,547
2016-07-12$55.42$54.0011.5%3.5%12.6%11.8%14.1%3.8%0.5%-25.8M16.0M-2.8M4.0910.047,26429,74686,629295,462
2016-07-13$55.71$54.0011.0%2.9%12.7%8.7%12.8%3.4%-0.7%-26.0M-12.1M-2.9M2.3914.3717,41241,64990,057320,773
2016-07-14$55.77$54.0010.0%3.0%12.5%2.4%14.8%3.5%0.6%-22.6M-36.3M-3.1M4.1015.217,41130,364105,709341,192
2016-07-15$55.75$54.0010.2%2.8%12.4%3.6%17.3%3.5%-0.5%-26.1M-22.3M-3.1M5.8314.244,01423,388105,164349,025
2016-07-18$55.66$54.0010.6%3.1%11.7%5.9%17.5%3.6%0.3%-27.8M57.9M-3.0M3.5012.665,43019,01091,011321,925
2016-07-19$55.53$54.0010.6%3.0%11.8%5.9%11.1%3.4%-0.2%-30.3M85.3M-3.1M3.1511.247,14922,48991,397322,239
2016-07-20$55.44$55.0010.1%2.9%11.8%2.9%11.9%3.4%0.1%-31.6M101.7M-3.1M4.599.034,52720,79293,374329,277
2016-07-21$55.22$55.0010.9%3.1%12.0%8.1%12.9%3.4%0.3%-43.2M125.6M-3.1M3.419.996,70022,84695,392337,256
2016-07-22$55.46$55.009.9%2.8%11.9%1.8%10.8%3.6%0.4%-28.7M96.0M-3.2M4.509.665,82326,19098,238343,873
2016-07-25$55.41$55.0010.2%2.9%10.3%3.4%11.4%4.0%0.2%-39.0M93.4M-3.1M3.5412.835,09818,05298,036345,676
2016-07-26$55.00$55.0011.4%3.4%10.6%11.1%12.3%3.5%0.0%-43.6M177.0M-3.3M16.1611.364,14066,88799,754348,121
2016-07-27$54.22$55.0012.8%3.8%12.0%20.3%12.1%3.7%0.3%-78.9M490.6M-3.5M10.2912.617,09472,97499,621392,957
2016-07-28$54.49$55.0012.0%3.4%11.4%14.9%12.7%4.0%0.3%-79.5M443.9M-3.7M4.2111.126,75328,416103,387413,938
2016-07-29$54.71$55.0011.4%3.3%8.5%11.3%13.8%3.5%0.4%-79.4M371.4M-3.6M12.179.155,59168,063106,431424,411