XLP Options History — January 2017

In January 2017, XLP traded between $51.44 and $52.92. ATM implied volatility averaged 10.2%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.1% (HV 20d: 8.1%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.65.

Notable Days

  • 2017-01-03: Highest Volume — 37,571 contracts
  • 2017-01-20: Largest IV drop — 11.8% change
  • 2017-01-03: Highest IV Rank — 17.1%
  • 2017-01-10: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.17$51.44$52.92$51.83$52.56
Max Pain$50.73$50.00$53.00$53.00$51.50
ATM IV10.2%8.9%11.3%11.3%10.0%
Expected Move2.9%2.5%3.4%3.2%2.7%
HV 20d8.1%6.0%10.0%10.0%7.9%
HV 60d12.0%11.8%12.2%11.9%12.2%
IV Rank8.0%0.0%17.1%17.1%9.2%
IV Percentile10.3%0.0%27.8%27.8%6.3%
Term Structure0.1%-0.6%0.9%0.2%0.2%
VWIV10.9%7.8%12.9%11.5%9.4%
Skew 25d2.4%1.2%3.5%3.5%2.8%
Skew 10d5.9%2.0%10.7%10.7%4.2%
Call IV 25d9.8%8.6%11.7%10.4%9.1%
Put IV 25d12.2%10.5%13.9%13.9%11.9%
Bid-Ask Spread %12.336.7121.506.7111.93
Gamma HHI0.270.150.630.220.15
Net GEX-51.0M-87.9M12.4M-68.6M-15.8M
Net DEX178.7M-33.1M428.4M317.6M25.0M
Net VEX-1.6M-2.1M-1.2M-2.0M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.695.383.985.38
Total Volume24,221.1510,44237,57137,57122,221
Total OI432,675.3236,545542,747514,275251,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$51.83$53.0011.3%3.2%10.0%17.1%11.5%3.5%0.2%-68.6M317.6M-2.0M3.986.717,54330,028109,896404,379
2017-01-04$51.95$53.0011.1%3.0%10.0%14.7%10.3%2.1%0.3%-73.7M300.3M-2.1M2.7711.896,81118,847109,936417,558
2017-01-05$52.04$50.0010.8%3.2%10.0%12.4%12.3%1.8%0.1%-69.3M262.2M-1.9M3.0910.704,60814,252111,715419,389
2017-01-06$52.13$50.0010.7%3.2%8.1%11.2%12.3%2.4%0.1%-70.3M241.3M-2.0M2.408.205,49913,207112,383421,696
2017-01-09$51.74$50.0011.2%3.1%8.5%16.3%12.0%2.4%-0.1%-79.2M352.1M-1.9M4.4111.165,46224,104112,174421,065
2017-01-10$51.44$50.0011.0%3.4%7.3%13.7%11.6%2.8%0.9%-82.9M428.4M-1.8M3.1412.675,35916,805112,913418,584
2017-01-11$51.56$50.0010.8%3.0%7.2%11.8%11.6%2.3%-0.4%-87.1M396.2M-1.8M2.598.265,27213,630114,409424,087
2017-01-12$51.53$50.0010.3%2.9%6.8%8.1%10.8%1.9%-0.3%-87.9M408.9M-1.7M2.6210.704,77512,504115,261423,352
2017-01-13$51.55$50.009.7%2.7%6.0%2.6%10.1%3.4%-0.5%-86.9M387.1M-1.6M1.7713.968,31814,690115,483419,364
2017-01-17$52.23$50.0010.5%3.0%7.6%9.4%12.5%2.5%0.1%-79.6M162.9M-1.5M1.9315.377,74814,973114,243417,373
2017-01-18$52.41$50.0010.4%3.0%7.5%8.7%12.9%2.5%-0.6%-62.0M91.0M-1.4M2.9812.704,88514,560116,729419,657
2017-01-19$52.20$50.0010.5%3.0%7.6%10.0%11.3%2.7%-0.1%-86.3M139.1M-1.5M2.0221.509,19418,616117,473420,005
2017-01-20$52.54$50.009.3%2.6%7.9%0.0%7.8%2.6%0.5%12.4M26.5M-1.4M0.6916.8120,30314,092118,028424,719
2017-01-23$52.54$50.009.5%2.7%7.9%1.5%8.5%3.0%0.2%-12.3M-7.2M-1.2M0.837.6016,38913,65747,388189,157
2017-01-24$52.91$51.009.2%2.6%8.1%0.0%10.6%2.0%0.3%-12.2M-10.3M-1.4M1.0615.4016,26017,18548,419190,175
2017-01-25$52.92$51.508.9%2.5%8.1%0.0%10.4%1.4%0.2%-10.1M-33.1M-1.2M2.5711.056,67117,16049,487195,600
2017-01-26$52.71$51.509.4%2.7%8.3%4.2%10.7%3.0%-0.1%-13.3M13.0M-1.4M4.368.424,15518,13650,952198,259
2017-01-27$52.34$51.509.3%2.6%8.4%2.7%10.7%1.2%0.3%-17.5M33.1M-1.4M2.8718.506,73319,32951,456200,184
2017-01-30$52.37$51.509.7%2.7%8.3%6.8%9.8%2.6%0.4%-17.0M39.9M-1.4M1.6113.063,9966,44649,266200,239
2017-01-31$52.56$51.5010.0%2.7%7.9%9.2%9.4%2.8%0.2%-15.8M25.0M-1.4M5.3811.933,48118,74050,262200,791