XLP Options History — July 2017

In July 2017, XLP traded between $54.00 and $55.74. ATM implied volatility averaged 9.3%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.4% (HV 20d: 8.9%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.37.

Notable Days

  • 2017-07-05: Highest Volume — 50,949 contracts
  • 2017-07-06: Largest IV spike — 11.8% change
  • 2017-07-10: Highest IV Rank — 43.0%
  • 2017-07-10: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.85$54.00$55.74$54.89$55.41
Max Pain$56.10$56.00$57.00$57.00$56.00
ATM IV9.3%8.3%11.2%9.5%8.8%
Expected Move2.6%2.3%3.1%2.7%2.5%
HV 20d8.9%7.1%10.7%10.3%7.1%
HV 60d8.2%8.0%8.4%8.2%8.1%
IV Rank19.9%6.8%43.0%22.5%13.3%
IV Percentile20.9%0.8%65.1%22.6%6.3%
Term Structure0.1%-0.5%0.7%0.4%0.1%
VWIV10.2%8.4%13.6%12.0%9.0%
Skew 25d2.3%1.7%3.0%2.4%2.3%
Skew 10d5.5%3.9%7.7%5.8%5.8%
Call IV 25d8.6%7.7%9.8%8.8%8.1%
Put IV 25d10.8%9.5%12.7%11.2%10.4%
Bid-Ask Spread %6.363.2813.738.374.55
Gamma HHI0.230.190.420.210.21
Net GEX-100.2M-163.1M-64.5M-88.3M-75.3M
Net DEX533.9M277.8M779.8M522.9M357.1M
Net VEX-3.6M-4.0M-3.3M-4.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.371.7613.7010.531.89
Total Volume24,703.1511,03050,94949,64911,030
Total OI503,228.4474,120540,001474,120503,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$54.89$57.009.5%2.7%10.3%22.5%12.0%2.4%0.4%-88.3M522.9M-4.0M10.538.374,30645,34395,953378,167
2017-07-05$54.88$57.0010.0%2.7%10.3%28.0%12.6%2.4%0.1%-86.6M515.0M-3.8M13.7010.453,46747,48296,197378,418
2017-07-06$54.58$56.0011.2%3.0%10.3%42.5%11.5%2.7%-0.5%-94.0M620.3M-3.9M8.408.714,91441,27296,288381,507
2017-07-07$54.55$56.0010.6%2.9%10.1%35.2%9.5%2.5%0.0%-97.2M616.6M-3.8M2.156.018,64018,55997,953382,844
2017-07-10$54.22$56.0011.2%3.1%10.2%43.0%11.2%3.0%-0.5%-101.1M740.6M-3.7M2.566.597,44019,052101,880389,416
2017-07-11$54.00$56.0010.7%3.1%10.2%36.4%11.1%2.9%0.1%-100.3M779.8M-3.6M4.657.484,52321,037106,406390,030
2017-07-12$54.32$56.0010.2%3.0%10.5%30.4%9.8%2.3%0.2%-106.1M701.8M-3.8M6.125.993,52321,557107,070399,889
2017-07-13$54.34$56.009.7%2.8%10.1%25.0%10.1%2.2%0.3%-109.6M706.4M-3.7M3.823.745,80322,140107,329402,387
2017-07-14$54.77$56.009.0%2.6%10.7%16.3%10.0%2.1%-0.1%-106.5M566.3M-3.7M2.324.484,3039,987109,269406,182
2017-07-17$54.76$56.008.9%2.6%8.3%14.6%13.6%2.2%0.2%-119.0M589.6M-3.7M2.583.743,91610,115108,109405,744
2017-07-18$54.77$56.008.6%2.5%7.9%11.3%12.7%2.3%0.3%-118.8M573.9M-3.5M2.914.033,72810,861108,458408,498
2017-07-19$54.94$56.008.4%2.4%8.0%8.5%9.1%1.9%0.5%-125.4M541.4M-3.5M3.314.493,79112,543108,423408,631
2017-07-20$54.96$56.008.5%2.4%8.0%10.0%8.7%2.2%0.7%-117.3M513.9M-3.6M6.045.954,92529,744114,051410,687
2017-07-21$55.08$56.008.5%2.4%7.8%9.2%8.5%1.7%0.3%-163.1M461.5M-3.5M3.143.285,09015,990114,458425,543
2017-07-24$54.98$56.008.4%2.4%7.8%8.6%8.4%1.9%0.3%-88.8M459.2M-3.4M3.073.574,61114,133103,159389,446
2017-07-25$55.29$56.008.3%2.3%7.9%6.8%8.4%1.8%0.2%-81.1M357.5M-3.3M4.044.385,14820,814104,144389,892
2017-07-26$55.26$56.008.4%2.3%7.3%7.9%9.9%1.8%0.1%-83.4M380.5M-3.4M2.1413.735,33611,430104,803402,860
2017-07-27$55.74$56.008.9%2.5%7.9%14.1%9.0%2.2%-0.2%-64.5M277.8M-3.5M2.208.264,5369,985106,702406,090
2017-07-28$55.33$56.008.9%2.5%7.3%14.8%9.4%2.2%0.1%-77.6M395.9M-3.5M1.769.364,7038,286107,385406,369
2017-07-31$55.41$56.008.8%2.5%7.1%13.3%9.0%2.3%0.1%-75.3M357.1M-3.4M1.894.553,8167,214105,576398,355