XLP Options History — August 2017

In August 2017, XLP traded between $54.50 and $55.88. ATM implied volatility averaged 9.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.1% (HV 20d: 7.2%). Max pain ranged from $56.00 to $56.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.74.

Notable Days

  • 2017-08-07: Highest Volume — 25,214 contracts
  • 2017-08-17: Largest IV spike — 18.9% change
  • 2017-08-17: Highest IV Rank — 34.4%
  • 2017-08-11: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.17$54.50$55.88$55.31$54.72
Max Pain$56.00$56.00$56.00$56.00$56.00
ATM IV9.3%7.9%10.5%8.7%8.7%
Expected Move2.8%2.4%3.2%2.4%2.6%
HV 20d7.2%6.1%8.3%6.9%8.3%
HV 60d8.3%8.0%8.7%8.1%8.6%
IV Rank19.3%2.6%34.4%11.6%12.1%
IV Percentile25.0%0.4%56.3%6.0%8.3%
Term Structure0.2%-1.3%1.6%-0.0%0.3%
VWIV10.8%8.6%14.1%9.0%9.3%
Skew 25d2.7%1.9%3.7%2.0%2.9%
Skew 10d6.0%4.2%8.5%5.2%5.6%
Call IV 25d8.2%7.2%9.2%8.2%7.2%
Put IV 25d10.9%9.3%12.2%10.2%10.1%
Bid-Ask Spread %5.403.489.835.665.95
Gamma HHI0.240.200.380.220.31
Net GEX-105.9M-154.2M-27.9M-82.1M-132.2M
Net DEX405.3M157.1M570.6M390.4M487.9M
Net VEX-2.7M-3.3M-2.1M-3.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.741.465.704.982.61
Total Volume16,559.21710,89125,21414,93918,287
Total OI504,953.391480,929533,497504,979489,140

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$55.31$56.008.7%2.4%6.9%11.6%9.0%2.0%-0.0%-82.1M390.4M-3.3M4.985.662,49912,440106,201398,778
2017-08-02$55.26$56.008.6%2.4%6.9%10.9%8.6%2.1%-0.1%-92.4M432.7M-3.2M2.906.572,7948,097106,045403,482
2017-08-03$55.24$56.009.0%2.9%6.6%15.6%10.9%2.2%-0.0%-100.2M395.6M-3.1M2.626.203,0818,071106,085403,063
2017-08-04$55.02$56.008.6%2.7%6.8%11.0%8.8%2.1%-0.0%-154.2M495.3M-3.1M1.465.434,9417,235106,682403,158
2017-08-07$55.44$56.007.9%2.7%6.8%2.6%9.8%1.9%1.6%-72.7M307.2M-2.7M1.603.489,69615,518105,330399,259
2017-08-08$55.26$56.008.3%2.8%6.7%6.6%10.1%2.1%1.5%-99.7M394.6M-3.0M4.145.733,84715,941111,585408,712
2017-08-09$55.31$56.008.4%2.8%6.5%8.7%10.7%2.1%1.6%-102.9M398.8M-2.9M5.704.572,81116,024111,667409,380
2017-08-10$55.12$56.0010.0%3.0%6.7%28.1%11.9%3.0%0.8%-95.9M487.4M-3.2M3.615.662,6529,577111,663409,994
2017-08-11$55.18$56.0010.5%3.2%6.1%34.2%11.7%2.9%0.8%-98.5M438.9M-3.0M3.285.192,9689,747111,583410,061
2017-08-14$55.40$56.009.9%3.0%6.2%26.9%11.0%3.1%-0.9%-97.0M377.2M-2.9M2.913.793,3499,739111,187409,627
2017-08-15$55.73$56.009.2%2.7%6.5%17.9%11.1%2.6%0.8%-59.7M235.1M-2.8M3.253.673,10210,068111,445409,839
2017-08-16$55.88$56.008.8%2.5%6.5%13.8%8.9%2.0%-0.4%-27.9M157.1M-2.6M1.604.857,84412,530111,774411,465
2017-08-17$55.41$56.0010.5%3.1%7.3%34.4%12.8%2.8%-1.0%-102.1M349.6M-2.7M2.575.755,66914,565116,094414,190
2017-08-18$55.26$56.0010.3%3.1%7.3%32.4%14.1%2.7%-1.3%-127.4M421.6M-2.8M1.883.886,45312,100117,313416,184
2017-08-21$55.45$56.0010.0%2.9%7.4%27.7%13.8%3.7%-0.2%-106.0M297.1M-2.6M2.344.935,14812,06887,634393,295
2017-08-22$55.45$56.009.5%2.8%7.1%21.7%13.5%3.0%0.0%-101.2M299.7M-2.5M2.934.474,28612,57887,792393,899
2017-08-23$55.31$56.009.0%2.8%7.2%16.2%10.7%3.0%0.1%-126.9M325.0M-2.5M2.094.524,7429,93088,014394,704
2017-08-24$54.50$56.0010.0%3.1%8.2%28.6%10.8%3.4%-0.1%-129.1M565.1M-2.5M1.797.367,34513,14888,323394,736
2017-08-25$54.72$56.0010.0%2.9%8.0%28.5%10.2%3.0%-0.3%-139.6M489.3M-2.5M1.465.727,03010,29391,169396,739
2017-08-28$54.50$56.009.3%2.8%8.1%19.6%10.9%2.9%0.0%-139.5M570.6M-2.3M2.525.645,02612,65890,430395,478
2017-08-29$54.71$56.009.3%2.9%8.3%19.4%10.1%3.1%0.2%-119.3M490.0M-2.2M2.315.234,77911,03890,564394,387
2017-08-30$54.67$56.008.9%2.8%8.3%14.5%9.9%3.1%0.3%-130.0M515.0M-2.2M2.399.835,64813,50090,626395,152
2017-08-31$54.72$56.008.7%2.6%8.3%12.1%9.3%2.9%0.3%-132.2M487.9M-2.1M2.615.955,06713,22091,629397,511