XLP Options History — September 2017

In September 2017, XLP traded between $53.96 and $55.56. ATM implied volatility averaged 8.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 0.5% (HV 20d: 7.8%). Max pain ranged from $53.50 to $56.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 7.42.

Notable Days

  • 2017-09-06: Highest Volume — 86,880 contracts
  • 2017-09-05: Largest IV spike — 12.7% change
  • 2017-09-27: Highest IV Rank — 21.7%
  • 2017-09-05: Largest Expected Move — 2.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.84$53.96$55.56$54.96$53.96
Max Pain$54.85$53.50$56.00$56.00$53.50
ATM IV8.3%7.4%9.3%7.8%8.8%
Expected Move2.4%2.2%2.6%2.3%2.4%
HV 20d7.8%7.1%8.7%8.3%7.6%
HV 60d7.8%7.4%8.6%8.5%7.5%
IV Rank9.0%0.0%21.7%0.9%16.3%
IV Percentile8.1%0.0%32.1%0.4%15.9%
Term Structure0.3%-0.2%0.9%0.6%0.3%
VWIV9.0%7.6%11.4%9.1%8.5%
Skew 25d2.3%1.6%3.1%2.7%1.6%
Skew 10d4.7%3.3%6.3%5.1%3.5%
Call IV 25d7.5%6.8%8.5%6.8%8.2%
Put IV 25d9.8%8.5%10.7%9.6%9.7%
Bid-Ask Spread %4.603.418.255.494.98
Gamma HHI0.320.140.620.390.29
Net GEX-61.0M-186.4M-4.2M-143.6M-26.9M
Net DEX198.7M15.4M422.6M422.6M169.3M
Net VEX-1.9M-2.1M-1.7M-2.1M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.421.6421.503.953.46
Total Volume42,637.316,64786,88025,69430,672
Total OI331,171188,106496,260489,631233,545

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$54.96$56.007.8%2.3%8.3%0.9%9.1%2.7%0.6%-143.6M422.6M-2.1M3.955.495,18720,50791,795397,836
2017-09-05$55.05$55.008.8%2.6%7.9%13.1%11.4%2.9%0.1%-132.6M401.7M-2.1M6.095.085,15331,40691,400402,552
2017-09-06$55.26$55.008.3%2.6%7.9%7.5%9.9%2.8%0.2%-145.8M323.3M-2.0M16.163.585,06381,81792,168404,092
2017-09-07$55.37$55.008.1%2.6%7.9%4.5%9.7%3.1%0.5%-128.3M260.1M-1.9M11.873.734,47453,08593,394356,376
2017-09-08$55.09$55.008.5%2.6%8.1%9.5%10.4%2.9%0.1%-122.2M381.2M-2.0M10.418.254,43746,16994,261361,660
2017-09-11$55.41$55.007.8%2.5%8.3%1.1%9.2%2.6%0.9%-186.4M194.2M-1.8M21.503.413,66378,74194,279358,452
2017-09-12$55.54$55.007.9%2.2%8.2%1.9%10.2%2.5%-0.2%-43.4M175.8M-1.8M18.213.413,26659,47594,603323,660
2017-09-13$55.56$55.007.6%2.2%7.9%0.0%9.0%2.4%0.3%-42.0M175.4M-1.8M14.814.273,99859,21394,688323,525
2017-09-14$55.46$55.007.4%2.3%7.9%0.0%8.1%2.3%0.7%-88.6M190.0M-1.8M3.553.6316,79159,60195,589323,667
2017-09-15$55.20$55.007.8%2.3%7.5%4.1%7.7%1.6%0.2%-4.2M242.3M-1.7M7.774.367,42157,68486,365322,850
2017-09-18$55.28$55.007.7%2.2%7.4%2.7%8.4%2.0%0.2%-4.3M15.4M-1.8M2.994.484,17512,47260,715127,391
2017-09-19$55.11$55.008.0%2.3%7.4%7.0%7.6%1.9%0.3%-6.9M35.9M-1.8M4.383.823,50515,35461,678130,946
2017-09-20$54.62$55.008.4%2.4%8.0%11.0%8.1%2.1%0.3%-14.8M90.5M-1.8M3.595.396,62723,75961,932137,572
2017-09-21$54.05$55.008.6%2.4%8.7%13.6%8.5%1.9%0.6%-20.2M157.2M-1.8M3.724.023,93214,62065,648145,064
2017-09-22$53.96$55.008.6%2.4%7.1%13.4%8.3%2.0%0.3%-23.5M173.5M-1.8M3.184.564,32513,76765,837146,083
2017-09-25$54.32$55.008.7%2.4%7.4%15.0%9.2%2.1%0.4%-19.7M131.1M-1.8M4.244.594,53119,23266,214145,372
2017-09-26$54.43$54.508.9%2.4%7.3%18.0%7.7%1.9%0.2%-19.6M111.1M-1.9M3.675.755,97121,90567,691150,354
2017-09-27$54.01$54.509.3%2.5%7.6%21.7%9.6%2.1%0.3%-25.6M174.4M-1.9M1.645.1512,54320,51670,723153,353
2017-09-28$54.08$53.509.1%2.5%7.6%19.5%8.6%1.9%0.2%-21.9M149.1M-1.9M3.313.996,42621,26376,034154,056
2017-09-29$53.96$53.508.8%2.4%7.6%16.3%8.5%1.6%0.3%-26.9M169.3M-1.9M3.464.986,87923,79376,129157,416