XLP Options History — December 2016

In December 2016, XLP traded between $50.11 and $52.52. ATM implied volatility averaged 11.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.5% (HV 20d: 13.1%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.19.

Notable Days

  • 2016-12-01: Highest Volume — 51,067 contracts
  • 2016-12-05: Largest IV drop — 12.8% change
  • 2016-12-02: Highest IV Rank — 42.1%
  • 2016-12-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.67$50.11$52.52$50.11$51.65
Max Pain$53.19$52.00$54.00$52.00$53.00
ATM IV11.5%10.4%14.1%14.0%11.8%
Expected Move3.3%2.9%4.8%4.8%3.3%
HV 20d13.1%10.2%16.5%16.4%10.2%
HV 60d12.3%11.8%13.4%13.3%11.9%
IV Rank18.8%8.7%42.1%41.6%21.7%
IV Percentile29.6%7.5%75.8%75.8%39.7%
Term Structure0.2%-0.6%0.7%0.2%0.3%
VWIV12.9%10.3%16.8%16.7%11.8%
Skew 25d3.0%1.6%4.3%4.3%2.5%
Skew 10d7.1%3.6%11.6%11.6%5.8%
Call IV 25d10.7%9.5%13.4%12.0%10.4%
Put IV 25d13.6%12.0%17.0%16.3%12.9%
Bid-Ask Spread %10.996.0519.9412.087.95
Gamma HHI0.180.130.420.180.20
Net GEX-74.0M-131.3M-38.5M-114.3M-70.9M
Net DEX451.4M246.1M983.2M983.2M381.5M
Net VEX-2.4M-3.1M-2.0M-3.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.674.651.641.65
Total Volume28,350.95216,54751,06751,06723,783
Total OI575,623.048482,428654,616610,824515,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$50.11$52.0014.0%4.8%16.4%41.6%16.7%4.3%0.2%-114.3M983.2M-3.0M1.6412.0819,33031,737120,430490,394
2016-12-02$50.50$52.0014.1%4.5%16.5%42.1%16.8%3.6%-0.4%-118.4M856.1M-3.1M1.886.058,56916,094131,586505,109
2016-12-05$50.53$53.0012.3%3.3%16.3%25.7%12.7%3.9%-0.2%-121.1M839.0M-2.7M1.5611.8111,78518,341124,852502,219
2016-12-06$50.61$53.0011.9%3.3%15.0%22.1%13.5%4.0%-0.1%-106.6M787.0M-2.7M1.9019.949,27517,627127,062502,981
2016-12-07$51.48$53.0010.9%3.4%16.1%13.5%12.0%3.7%0.4%-72.9M538.9M-2.5M1.1012.3618,39120,284127,678509,187
2016-12-08$51.32$53.0011.7%3.5%15.3%20.8%16.4%2.5%0.2%-67.4M572.8M-2.7M4.1010.836,21725,513137,147517,469
2016-12-09$52.00$53.0011.3%3.3%11.9%17.0%12.1%2.3%0.6%-86.3M359.9M-2.5M1.7711.9612,81222,628138,037507,402
2016-12-12$52.24$54.0011.8%3.4%11.9%21.3%14.4%2.5%-0.1%-50.5M315.3M-2.4M3.7210.156,81425,338131,619503,664
2016-12-13$52.52$53.0011.9%3.3%11.9%22.6%13.8%2.8%-0.6%-50.2M255.7M-2.5M3.239.946,16619,903134,292507,836
2016-12-14$52.02$54.0011.7%3.3%12.4%20.8%13.4%2.7%-0.0%-55.6M366.8M-2.4M2.9518.127,45421,982134,977507,957
2016-12-15$52.21$54.0011.2%3.3%12.5%15.4%12.1%4.2%0.6%-64.9M258.6M-2.0M0.6910.6421,62515,026135,268509,325
2016-12-16$51.99$54.0010.6%3.0%12.5%10.1%10.5%3.4%-0.1%-131.3M439.6M-2.4M1.377.629,38112,816113,543510,969
2016-12-19$52.11$54.0010.8%3.1%12.5%12.0%13.1%2.7%0.4%-57.1M330.5M-2.2M1.6910.267,22212,19492,594389,834
2016-12-20$51.96$54.0010.9%3.1%12.5%13.2%12.5%2.7%0.0%-56.7M356.1M-2.2M1.817.697,29313,21094,690390,212
2016-12-21$52.07$53.0010.8%3.1%12.3%12.1%11.5%2.6%0.3%-53.1M305.1M-2.2M2.079.325,56611,54495,836387,115
2016-12-22$51.99$53.0010.7%3.0%12.0%11.3%11.7%2.6%0.6%-59.6M348.7M-2.3M1.937.905,64410,90396,857387,390
2016-12-23$52.04$53.0010.5%3.0%11.7%9.8%10.9%2.5%0.7%-38.5M315.3M-2.2M0.6710.6920,53413,76997,817388,025
2016-12-27$52.09$53.0010.4%2.9%11.7%8.7%10.3%2.4%0.2%-56.5M246.1M-2.0M1.9510.057,00713,635109,359392,993
2016-12-28$51.75$53.0011.5%3.2%12.0%18.9%13.5%1.6%-0.0%-62.6M328.3M-2.2M4.6515.995,77926,890111,061394,166
2016-12-29$51.98$53.0011.1%3.0%10.8%14.5%11.8%3.0%0.5%-60.2M294.0M-2.2M3.719.365,37419,915111,919401,282
2016-12-30$51.65$53.0011.8%3.3%10.2%21.7%11.8%2.5%0.3%-70.9M381.5M-2.3M1.657.958,97714,806111,885404,046