XLP Options History — June 2017

In June 2017, XLP traded between $54.85 and $57.34. ATM implied volatility averaged 9.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 1.2% (HV 20d: 7.8%). Max pain ranged from $54.00 to $58.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 11.85.

Notable Days

  • 2017-06-16: Highest Volume — 131,865 contracts
  • 2017-06-16: Largest IV spike — 19.9% change
  • 2017-06-29: Highest IV Rank — 25.3%
  • 2017-06-02: Largest Expected Move — 2.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.28$54.85$57.34$56.99$55.12
Max Pain$57.59$54.00$58.00$54.00$57.00
ATM IV9.0%7.7%9.8%9.3%9.7%
Expected Move2.6%2.3%2.9%2.7%2.6%
HV 20d7.8%4.8%10.4%5.2%10.4%
HV 60d6.8%5.9%8.2%5.9%8.2%
IV Rank15.0%0.0%25.3%17.3%24.2%
IV Percentile8.9%0.0%30.6%11.5%27.8%
Term Structure0.2%-0.3%0.4%0.1%0.4%
VWIV10.8%7.9%12.8%9.1%10.0%
Skew 25d2.4%0.8%3.3%2.5%2.5%
Skew 10d5.3%2.2%6.6%5.9%6.4%
Call IV 25d8.1%7.4%8.8%7.7%8.6%
Put IV 25d10.5%8.5%12.0%10.2%11.1%
Bid-Ask Spread %8.194.8012.939.048.54
Gamma HHI0.170.130.240.140.21
Net GEX-49.6M-85.6M-3.1M-3.1M-82.3M
Net DEX224.2M-97.7M563.6M-80.9M478.9M
Net VEX-3.5M-4.1M-2.6M-2.6M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.851.7735.739.039.94
Total Volume69,514.77346,494131,86550,73754,177
Total OI545,323.364441,252664,065532,811475,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$56.99$54.009.3%2.7%5.2%17.3%9.1%2.5%0.1%-3.1M-80.9M-2.6M9.039.045,05845,67992,323440,488
2017-06-02$57.24$54.009.1%2.9%5.0%14.5%10.4%1.8%-0.3%-6.4M-97.7M-2.7M7.269.248,39360,97094,987446,340
2017-06-05$57.34$58.009.0%2.6%5.0%12.7%9.8%2.5%0.4%-11.7M-68.7M-2.8M24.347.822,65964,72492,536463,351
2017-06-06$57.17$58.009.1%2.6%5.2%14.4%9.9%2.5%0.1%-14.0M-36.9M-2.9M35.737.333,226115,25692,483468,517
2017-06-07$57.20$58.008.9%2.6%4.8%12.0%9.8%2.9%0.2%-27.0M32.8M-3.4M12.458.746,49180,84093,455536,570
2017-06-08$56.72$58.009.4%2.6%6.1%18.3%10.9%2.8%0.1%-27.8M127.4M-3.5M13.6210.126,25785,18992,826536,682
2017-06-09$56.60$58.009.2%2.6%6.2%15.0%11.1%3.3%0.1%-26.8M156.2M-3.6M17.3312.734,99886,61593,293541,069
2017-06-12$56.61$58.009.1%2.6%6.0%14.2%11.0%3.1%0.1%-30.7M154.0M-3.4M11.577.264,32150,01593,079543,395
2017-06-13$56.74$58.008.6%2.4%5.9%7.3%10.7%2.7%-0.0%-29.3M128.3M-3.5M15.937.523,52956,22393,530544,253
2017-06-14$57.09$58.008.4%2.5%6.1%4.8%10.4%3.0%0.2%-29.3M84.2M-3.5M9.0712.936,10955,39994,975556,690
2017-06-15$56.99$58.007.7%2.3%6.2%0.0%7.9%0.8%0.2%-47.0M95.6M-3.5M2.027.6323,78948,17197,610566,455
2017-06-16$55.85$58.009.3%2.7%9.9%19.0%11.0%2.5%0.2%-84.1M358.2M-3.6M14.135.408,717123,14881,299563,072
2017-06-19$56.19$58.009.2%2.7%10.0%18.3%12.0%2.3%0.3%-71.4M309.8M-3.7M3.356.4615,55452,09070,911370,341
2017-06-20$56.02$58.009.2%2.6%9.8%18.2%12.2%2.1%0.4%-50.8M313.0M-3.8M15.337.153,37451,70783,497376,276
2017-06-21$55.84$58.009.0%2.6%9.9%16.0%12.0%2.5%0.4%-63.8M387.9M-3.9M8.124.806,38051,77883,864376,356
2017-06-22$55.52$58.009.2%2.6%10.0%18.1%12.8%2.3%0.4%-80.3M457.1M-3.9M1.778.0828,13749,88487,926376,265
2017-06-23$55.49$58.008.9%2.5%9.5%14.5%10.9%2.0%0.3%-80.5M410.7M-4.1M8.746.385,61349,079112,034379,258
2017-06-26$55.77$58.008.5%2.3%9.7%9.3%12.0%2.0%0.4%-75.1M312.3M-3.8M9.228.375,43150,09394,134375,496
2017-06-27$55.32$58.009.1%2.5%10.1%17.4%12.5%2.5%0.2%-80.2M432.6M-3.8M10.947.633,98643,61092,766376,462
2017-06-28$55.47$58.009.2%2.5%10.1%18.4%11.7%1.9%0.1%-83.5M413.1M-4.0M14.256.273,04943,44592,141380,101
2017-06-29$54.85$58.009.8%2.8%10.3%25.3%9.7%3.2%0.3%-85.6M563.6M-4.0M6.4810.747,51348,64992,691381,552
2017-06-30$55.12$57.009.7%2.6%10.4%24.2%10.0%2.5%0.4%-82.3M478.9M-3.9M9.948.544,95249,22595,983379,782