XLP Options History — September 2016

In September 2016, XLP traded between $52.75 and $54.91. ATM implied volatility averaged 12.2%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.3% (HV 20d: 11.9%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 6.16.

Notable Days

  • 2016-09-13: Highest Volume — 175,182 contracts
  • 2016-09-26: Largest IV spike — 20.6% change
  • 2016-09-14: Highest IV Rank — 47.8%
  • 2016-09-13: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.45$52.75$54.91$54.36$53.35
Max Pain$54.33$54.00$55.00$55.00$54.00
ATM IV12.2%10.0%15.3%11.4%11.1%
Expected Move3.5%2.9%4.4%3.2%3.2%
HV 20d11.9%4.6%15.4%4.6%15.4%
HV 60d10.4%9.0%11.4%9.0%10.3%
IV Rank24.1%4.0%47.8%14.5%15.0%
IV Percentile40.9%1.6%78.6%22.2%18.7%
Term Structure0.1%-0.8%0.6%-0.0%0.1%
VWIV13.8%11.6%17.0%12.4%12.1%
Skew 25d4.2%3.2%5.3%5.3%3.6%
Skew 10d8.4%6.2%14.0%14.0%7.0%
Call IV 25d10.8%8.6%13.7%10.1%9.7%
Put IV 25d15.0%12.3%18.7%15.4%13.3%
Bid-Ask Spread %11.834.5617.769.0013.84
Gamma HHI0.180.120.260.240.13
Net GEX-104.9M-165.4M-62.4M-138.2M-76.1M
Net DEX502.5M147.3M1.02B384.5M273.5M
Net VEX-3.4M-4.0M-2.7M-2.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.160.9612.725.152.91
Total Volume65,991.09526,731175,18253,55229,412
Total OI588,932.286505,817759,281529,730608,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$54.36$55.0011.4%3.2%4.6%14.5%12.4%5.3%-0.0%-138.2M384.5M-2.9M5.159.008,71344,839111,343418,387
2016-09-02$54.80$55.0010.2%2.9%5.4%5.5%12.6%4.7%0.4%-89.5M160.1M-2.7M8.499.5210,10285,809112,105425,696
2016-09-06$54.91$54.0010.0%2.9%5.4%4.0%13.8%5.0%0.3%-81.0M147.3M-2.7M6.416.757,61848,841113,454392,363
2016-09-07$54.44$55.0010.9%3.3%6.2%12.0%11.9%4.5%-0.1%-117.3M326.5M-2.7M3.7410.975,63521,096107,255410,847
2016-09-08$54.17$55.0012.0%3.4%6.2%20.4%13.5%4.5%-0.1%-127.3M422.9M-2.8M10.6113.648,15086,465107,607407,916
2016-09-09$52.83$55.0014.2%4.0%10.6%38.5%15.5%4.8%-0.1%-125.2M1.00B-3.3M10.6413.7311,861126,224110,113481,130
2016-09-12$53.73$55.0013.8%3.7%12.5%35.2%15.7%4.9%-0.8%-155.8M740.5M-3.5M7.5512.747,66457,888109,830511,924
2016-09-13$52.99$55.0015.3%4.4%13.3%46.9%17.0%4.9%0.2%-134.8M998.9M-3.6M12.7210.4112,771162,411110,789528,563
2016-09-14$52.86$54.0014.7%4.2%13.2%47.8%14.5%5.2%-0.0%-165.4M1.02B-3.5M0.967.9148,56846,747117,764569,275
2016-09-15$53.32$54.0012.9%3.9%13.7%31.8%14.9%3.4%0.6%-153.1M689.1M-3.7M7.5314.0411,12983,761158,322574,768
2016-09-16$52.83$54.0013.1%3.7%13.8%33.2%13.0%4.9%-0.1%-159.8M889.6M-4.0M2.714.5620,40755,222158,839600,442
2016-09-19$52.75$54.0013.4%3.8%13.8%36.3%13.3%4.3%0.1%-76.2M518.6M-3.8M6.5311.663,94125,748132,429416,145
2016-09-20$52.91$54.0012.4%3.6%13.9%27.2%13.6%4.0%-0.0%-74.9M463.7M-3.8M4.307.687,51132,285132,894413,890
2016-09-21$53.20$54.0011.8%3.4%14.2%21.6%12.9%3.7%0.4%-83.3M387.6M-3.7M10.4215.216,28165,463136,204430,735
2016-09-22$53.64$54.0010.4%3.0%14.6%8.7%11.6%3.4%0.5%-63.4M236.5M-3.5M6.4317.766,07139,032139,011433,982
2016-09-23$53.37$54.0010.5%3.0%14.6%9.4%13.0%3.2%0.2%-62.4M290.1M-3.6M5.5413.936,42335,584143,387431,112
2016-09-26$52.92$54.0012.7%3.6%14.8%29.2%15.6%3.9%-0.1%-71.7M406.9M-3.6M6.1413.445,01630,815138,688405,630
2016-09-27$53.10$54.0012.3%3.5%14.8%25.7%13.3%3.4%0.0%-76.3M369.4M-3.6M3.0013.6212,73738,181139,440424,742
2016-09-28$53.18$54.0011.6%3.3%14.7%19.5%12.6%3.4%0.1%-80.5M342.9M-3.7M2.9513.168,73025,719149,513448,742
2016-09-29$52.82$54.0012.2%3.5%14.9%24.9%16.2%3.3%0.2%-90.1M478.1M-3.8M4.5514.906,29428,649152,082451,583
2016-09-30$53.35$54.0011.1%3.2%15.4%15.0%12.1%3.6%0.1%-76.1M273.5M-3.7M2.9113.847,51621,896152,564456,073