XLP Options History — August 2016

In August 2016, XLP traded between $54.35 and $55.08. ATM implied volatility averaged 10.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.0% (HV 20d: 6.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 6.78.

Notable Days

  • 2016-08-11: Highest Volume — 86,990 contracts
  • 2016-08-25: Largest IV spike — 10.6% change
  • 2016-08-25: Highest IV Rank — 19.0%
  • 2016-08-25: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.72$54.35$55.08$54.72$54.38
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV10.9%9.5%12.5%11.8%11.3%
Expected Move3.2%2.8%3.6%3.4%3.3%
HV 20d6.8%4.4%8.5%8.5%4.7%
HV 60d9.8%9.0%11.3%11.3%9.1%
IV Rank8.5%0.0%19.0%13.5%13.9%
IV Percentile15.1%0.0%48.0%26.2%20.2%
Term Structure0.2%-0.4%1.0%0.1%-0.2%
VWIV12.5%9.8%17.6%15.4%12.6%
Skew 25d3.9%2.6%5.6%3.6%4.8%
Skew 10d7.8%5.8%12.2%7.5%9.1%
Call IV 25d9.6%8.2%10.9%10.2%9.8%
Put IV 25d13.4%11.5%16.1%13.8%14.6%
Bid-Ask Spread %9.735.6219.088.219.59
Gamma HHI0.180.140.240.150.24
Net GEX-90.7M-133.7M-34.8M-101.3M-133.7M
Net DEX276.3M121.5M460.6M353.3M360.5M
Net VEX-3.2M-3.7M-2.8M-3.6M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.780.9918.2617.103.63
Total Volume49,539.34811,70686,99055,19327,029
Total OI554,020.13474,899617,779557,153528,473

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$54.72$55.0011.8%3.4%8.5%13.5%15.4%3.6%0.1%-101.3M353.3M-3.6M17.108.213,05052,143103,487453,666
2016-08-02$54.69$55.0012.1%3.5%8.2%14.8%17.6%4.4%-0.1%-92.6M384.8M-3.7M4.6812.128,53439,962104,030449,216
2016-08-03$54.38$55.0012.0%3.5%8.4%13.5%16.7%3.9%-0.1%-103.5M460.6M-3.6M3.9910.2812,65450,431109,808452,615
2016-08-04$54.51$55.0011.7%3.5%8.5%11.2%14.1%4.1%-0.0%-104.3M402.0M-3.7M5.018.0911,84859,342115,725462,003
2016-08-05$54.60$55.0010.5%3.1%7.6%4.0%13.2%3.5%-0.0%-102.5M362.1M-3.6M5.718.268,26047,179115,943454,810
2016-08-08$54.55$55.0010.4%3.1%7.6%3.0%12.1%3.4%0.3%-108.2M366.1M-3.4M6.076.977,00742,517116,650460,959
2016-08-09$54.68$55.0010.3%3.0%7.4%2.1%11.1%2.8%0.0%-101.7M329.0M-3.4M3.777.9511,00441,499116,849461,470
2016-08-10$54.91$55.009.5%3.0%7.3%0.0%13.4%3.0%1.0%-86.2M231.8M-3.3M8.518.816,77157,589120,880464,313
2016-08-11$54.95$55.009.7%3.0%7.3%1.3%11.7%2.6%1.0%-77.2M183.2M-3.2M18.266.214,51782,473121,848458,616
2016-08-12$55.08$55.009.7%2.9%7.4%1.2%10.8%3.3%0.7%-60.0M134.2M-3.3M9.207.866,24857,483130,097487,682
2016-08-15$54.98$55.0010.5%3.1%7.4%6.6%12.2%3.4%0.6%-78.1M164.7M-3.2M9.168.234,45540,786129,074462,344
2016-08-16$54.76$55.0010.7%3.1%7.5%7.8%11.5%3.5%0.4%-85.6M258.2M-3.2M9.995.623,87638,713130,089462,084
2016-08-17$54.92$55.0010.6%3.0%7.6%7.3%9.9%3.4%0.5%-82.4M181.9M-3.0M5.2714.844,64024,453130,890462,696
2016-08-18$55.05$55.0010.3%2.9%7.5%5.4%10.7%3.7%0.2%-40.7M125.3M-3.1M0.9912.855,8905,816132,183455,523
2016-08-19$54.93$55.0010.0%2.8%7.3%3.3%9.8%3.1%0.9%-34.8M188.4M-3.0M7.146.587,48453,464132,682457,777
2016-08-22$55.00$55.0010.4%2.9%7.4%6.2%10.8%4.0%0.2%-73.1M121.5M-2.9M2.3310.438,76820,420106,453368,446
2016-08-23$54.89$55.0010.7%2.9%6.9%7.5%10.5%3.8%-0.1%-79.6M162.0M-3.0M2.3712.6310,30824,450107,634370,223
2016-08-24$54.77$55.0011.3%3.2%4.5%11.4%12.2%4.6%-0.4%-71.4M257.1M-3.2M3.7719.088,78833,129111,048382,801
2016-08-25$54.58$55.0012.5%3.6%4.4%19.0%13.4%5.6%-0.2%-102.4M309.1M-3.1M3.439.0313,34345,829106,580396,555
2016-08-26$54.35$55.0011.8%3.4%4.4%15.4%14.1%4.6%-0.4%-125.3M386.4M-3.1M6.5213.147,24647,235107,408404,930
2016-08-29$54.61$55.0011.4%3.2%4.8%12.8%13.1%5.1%-0.1%-111.8M267.9M-2.8M11.028.504,11645,365108,066408,876
2016-08-30$54.35$55.0011.4%3.3%5.1%14.5%11.7%5.0%-0.2%-128.6M364.2M-2.9M8.148.554,73538,556108,341410,620
2016-08-31$54.38$55.0011.3%3.3%4.7%13.9%12.6%4.8%-0.2%-133.7M360.5M-2.9M3.639.595,83421,195109,236419,237