XLP Options History — May 2017

In May 2017, XLP traded between $54.60 and $56.65. ATM implied volatility averaged 9.7%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.8% (HV 20d: 6.9%). Max pain ranged from $55.00 to $55.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 7.06.

Notable Days

  • 2017-05-31: Highest Volume — 139,401 contracts
  • 2017-05-17: Largest IV spike — 24.9% change
  • 2017-05-17: Highest IV Rank — 50.0%
  • 2017-05-17: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.41$54.60$56.65$55.06$56.65
Max Pain$55.07$55.00$55.50$55.50$55.00
ATM IV9.7%8.8%11.9%9.8%9.5%
Expected Move2.9%2.6%3.4%2.6%2.9%
HV 20d6.9%5.0%7.6%6.6%5.0%
HV 60d6.2%5.8%6.7%6.5%5.9%
IV Rank21.8%10.1%50.0%22.7%19.8%
IV Percentile18.3%1.6%67.9%16.7%15.1%
Term Structure0.1%-0.7%1.5%-0.5%-0.2%
VWIV11.1%9.2%15.9%9.2%11.5%
Skew 25d2.5%1.8%3.5%2.9%2.6%
Skew 10d5.9%4.5%9.2%5.8%4.5%
Call IV 25d8.5%7.9%10.9%8.3%8.1%
Put IV 25d11.1%10.0%14.0%11.2%10.7%
Bid-Ask Spread %8.784.4424.5715.615.63
Gamma HHI0.260.210.300.240.21
Net GEX-50.8M-73.1M-7.1M-56.6M-10.8M
Net DEX88.4M-123.8M247.5M154.4M-123.8M
Net VEX-2.4M-2.7M-1.8M-2.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.060.6928.509.1028.50
Total Volume28,537.40915,324139,40124,645139,401
Total OI471,942.136442,992526,572442,992526,572

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$55.06$55.509.8%2.6%6.6%22.7%9.2%2.9%-0.5%-56.6M154.4M-2.5M9.1015.612,44122,20472,514370,478
2017-05-02$54.60$55.509.7%2.6%7.1%21.1%9.7%2.9%1.0%-73.1M247.5M-2.6M7.9821.173,13525,00372,995381,386
2017-05-03$54.71$55.509.4%2.6%7.2%18.5%9.7%2.8%0.2%-72.5M239.6M-2.7M6.0024.572,55915,35272,937384,180
2017-05-04$55.09$55.009.3%3.1%7.5%17.1%11.6%3.0%0.2%-58.3M158.8M-2.5M4.5211.413,72216,82473,103383,433
2017-05-05$55.18$55.009.2%3.0%7.5%15.9%11.6%2.4%0.6%-54.9M174.1M-2.7M4.6810.283,53016,52075,095387,164
2017-05-08$55.17$55.009.0%2.9%7.5%13.5%10.9%1.9%0.6%-58.2M121.8M-2.4M4.065.994,11316,69775,454386,884
2017-05-09$54.95$55.009.0%3.0%7.6%13.1%11.6%2.3%1.2%-64.2M166.4M-2.5M3.067.795,30216,19977,400389,105
2017-05-10$55.05$55.008.8%2.9%7.6%10.1%12.5%2.0%1.2%-61.6M138.9M-2.5M3.115.195,08315,80278,945389,962
2017-05-11$55.12$55.009.2%2.9%7.5%15.4%11.6%1.8%0.9%-63.2M128.7M-2.4M4.966.583,97519,71679,673390,785
2017-05-12$54.95$55.009.2%2.9%7.5%14.9%13.4%2.3%1.5%-65.9M166.8M-2.5M7.745.342,49519,31580,001389,800
2017-05-15$55.15$55.009.7%2.9%7.6%21.8%11.2%2.0%-0.3%-62.9M124.5M-2.3M9.014.442,18719,70680,124391,358
2017-05-16$55.06$55.009.5%2.8%7.0%19.7%10.6%2.3%-0.6%-65.4M143.3M-2.4M8.866.342,48121,99080,401391,904
2017-05-17$55.12$55.0011.9%3.4%6.7%50.0%15.9%3.1%-0.6%-59.9M186.9M-2.6M6.3012.012,69616,98680,997394,099
2017-05-18$55.09$55.0011.3%3.3%6.7%42.4%13.8%3.5%-0.4%-65.0M196.6M-2.7M7.796.082,95823,05281,485393,884
2017-05-19$55.32$55.0010.7%3.1%6.8%34.8%10.7%2.5%-0.7%-56.8M94.9M-2.3M5.355.342,60513,93681,683398,912
2017-05-22$55.72$55.0010.2%2.9%6.6%27.6%10.0%2.8%-0.1%-48.4M8.4M-2.2M3.364.923,51511,80977,910384,518
2017-05-23$55.71$55.009.7%2.9%6.5%21.2%9.3%2.7%-0.2%-45.4M-9.8M-2.1M1.576.697,33711,49179,185385,054
2017-05-24$55.93$55.009.9%2.8%5.8%24.1%9.2%2.9%0.1%-45.9M-29.6M-2.0M0.697.6817,52012,00979,913388,085
2017-05-25$56.36$55.009.9%2.7%6.3%24.9%10.1%2.3%-0.1%-7.9M-122.7M-1.8M4.128.653,74915,44487,543388,690
2017-05-26$56.48$55.009.1%2.6%6.2%14.1%9.9%2.5%-0.0%-7.1M-123.1M-1.9M11.595.723,82144,29588,714395,420
2017-05-30$56.50$55.009.3%2.8%6.2%16.6%10.5%2.5%-0.5%-13.7M-96.7M-2.1M13.065.722,05226,79687,916427,066
2017-05-31$56.65$55.009.5%2.9%5.0%19.8%11.5%2.6%-0.2%-10.8M-123.8M-2.1M28.505.634,725134,67690,305436,267