XLP Options History — December 2017

In December 2017, XLP traded between $56.14 and $56.98. ATM implied volatility averaged 9.5%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 0.9% (HV 20d: 8.6%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2017-12-14: Highest Volume — 70,152 contracts
  • 2017-12-26: Largest IV spike — 9.5% change
  • 2017-12-05: Highest IV Rank — 51.7%
  • 2017-12-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.75$56.14$56.98$56.14$56.96
Max Pain$55.60$55.00$57.00$55.00$57.00
ATM IV9.5%8.6%10.8%10.3%9.3%
Expected Move2.7%2.4%3.6%3.6%2.5%
HV 20d8.6%6.3%10.8%10.5%6.3%
HV 60d9.3%8.9%9.7%9.3%8.9%
IV Rank39.4%22.8%51.7%43.2%36.1%
IV Percentile47.5%12.7%83.7%72.2%41.3%
Term Structure0.0%-1.1%0.6%-0.1%0.6%
VWIV10.4%9.2%12.8%12.8%9.2%
Skew 25d2.1%1.4%2.9%2.9%1.9%
Skew 10d4.3%2.9%6.3%6.3%3.4%
Call IV 25d8.8%8.0%9.9%9.1%8.3%
Put IV 25d10.8%9.9%12.5%12.0%10.3%
Bid-Ask Spread %8.515.1819.8118.176.72
Gamma HHI0.170.120.430.150.43
Net GEX7.9M-9.4M46.8M6.0M46.8M
Net DEX-202.9M-380.1M-77.3M-245.8M-101.6M
Net VEX-1.6M-1.9M-1.4M-1.8M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.314.834.832.11
Total Volume25,575.1511,77870,15226,09411,926
Total OI337,914.85265,744405,581383,662278,433

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$56.14$55.0010.3%3.6%10.5%43.2%12.8%2.9%-0.1%6.0M-245.8M-1.8M4.8318.174,47421,620128,928254,734
2017-12-04$56.77$55.0010.8%2.9%10.8%50.1%11.0%2.5%-0.0%7.8M-352.1M-1.6M1.798.0812,76422,863128,362244,142
2017-12-05$56.62$55.0010.1%2.7%9.9%51.7%9.7%2.9%0.2%1.6M-294.9M-1.8M1.5119.8110,33115,607133,207255,328
2017-12-06$56.94$55.009.8%2.7%9.6%46.7%11.2%2.2%0.0%2.5M-368.2M-1.7M2.815.186,01016,878134,937257,231
2017-12-07$56.45$55.0010.0%2.9%10.1%49.7%12.5%2.9%-0.2%-4.9M-257.2M-1.8M2.767.567,43820,530136,904259,744
2017-12-08$56.53$55.009.3%2.6%10.1%37.8%10.4%2.4%0.2%-9.4M-270.9M-1.8M1.816.7811,59420,946139,272266,309
2017-12-11$56.59$55.009.2%2.5%9.7%35.4%10.8%2.2%-0.6%3.0M-307.6M-1.9M1.567.2113,47921,048139,707264,118
2017-12-12$56.61$55.009.2%2.5%9.7%34.0%10.4%2.4%-0.3%4.9M-314.2M-1.8M1.765.949,26616,268139,190262,111
2017-12-13$56.89$55.009.3%2.4%9.7%37.5%10.4%1.8%-1.1%11.7M-380.1M-1.7M2.3311.867,65817,856139,615264,655
2017-12-14$56.70$55.008.6%2.4%8.7%22.8%12.4%1.9%-0.4%6.8M-234.1M-1.8M0.319.1753,60316,549139,688264,596
2017-12-15$56.82$56.009.1%2.7%7.6%32.3%10.1%1.8%0.1%8.3M-126.0M-1.5M0.967.3214,15213,62081,931263,434
2017-12-18$56.83$56.009.1%2.6%7.3%32.5%9.6%1.6%0.2%10.9M-116.9M-1.4M0.636.9210,8716,83475,439190,305
2017-12-19$56.96$56.009.6%2.8%7.3%42.2%9.7%1.4%0.2%11.7M-125.7M-1.5M1.335.847,69610,24075,777191,245
2017-12-20$56.81$56.009.3%2.7%7.5%36.7%10.0%1.7%0.2%4.3M-85.4M-1.5M0.805.6910,7048,56876,056197,271
2017-12-21$56.74$56.009.4%2.7%7.4%39.7%9.7%1.6%0.4%6.3M-85.8M-1.5M0.626.977,2844,49479,319201,092
2017-12-22$56.85$56.008.9%2.5%7.4%29.8%9.4%1.6%0.3%9.7M-100.0M-1.5M1.297.0610,16313,13179,393201,042
2017-12-26$56.98$56.009.8%2.7%7.4%46.7%10.0%1.9%0.2%9.5M-107.1M-1.5M1.165.848,0849,39977,203189,666
2017-12-27$56.98$56.009.7%2.7%7.2%45.6%9.4%1.9%0.3%12.0M-107.0M-1.4M2.2012.537,78017,09978,346191,711
2017-12-28$56.86$57.009.4%2.5%7.1%38.0%9.3%1.8%0.5%9.0M-77.3M-1.4M2.465.563,6649,01280,429197,427
2017-12-29$56.96$57.009.3%2.5%6.3%36.1%9.2%1.9%0.6%46.8M-101.6M-1.4M2.116.723,8328,09480,691197,742