XLP Options History — November 2010

In November 2010, XLP traded between $28.32 and $29.26. ATM implied volatility averaged 13.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.2% (HV 20d: 9.3%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 3.66.

Notable Days

  • 2010-11-10: Highest Volume — 10,313 contracts
  • 2010-11-23: Largest IV spike — 29.9% change
  • 2010-11-30: Highest IV Rank — 63.7%
  • 2010-11-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.74$28.32$29.26$28.65$28.32
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV13.5%11.1%17.4%12.6%17.4%
Expected Move4.0%3.4%5.0%3.6%5.0%
HV 20d9.3%8.0%10.6%8.4%10.6%
HV 60d9.7%9.3%10.0%10.0%9.4%
IV Rank41.8%28.3%63.7%36.7%63.7%
IV Percentile51.3%20.2%91.3%38.1%91.3%
Term Structure-0.0%-2.1%1.8%1.1%-2.1%
VWIV14.5%11.8%18.4%12.7%17.2%
Skew 25d2.8%1.1%5.3%4.0%2.8%
Skew 10d7.0%2.2%11.6%9.9%8.4%
Call IV 25d12.7%10.2%15.7%11.4%15.7%
Put IV 25d15.5%13.9%18.5%15.4%18.5%
Bid-Ask Spread %75.0911.62109.2384.9979.88
Gamma HHI0.170.150.200.150.16
Net GEX13.3M8.4M19.1M13.7M8.4M
Net DEX-240.2M-305.5M-192.9M-230.5M-192.9M
Net VEX-1.5M-1.7M-1.2M-1.7M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0219.960.942.33
Total Volume3,152.28627710,3132779,167
Total OI481,156.143465,707496,005476,315470,674

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$28.65$28.0012.6%3.6%8.4%36.7%12.7%4.0%1.1%13.7M-230.5M-1.7M0.9484.99143134263,314213,001
2010-11-02$28.82$28.0013.2%3.8%8.1%39.7%13.1%1.4%1.5%15.7M-257.4M-1.7M0.06104.671,75097263,241213,085
2010-11-03$28.91$28.0011.8%3.4%8.0%32.2%11.8%3.9%1.8%15.3M-246.5M-1.7M8.60103.7152447263,764213,177
2010-11-04$29.26$28.0011.8%3.4%8.7%31.9%12.6%2.0%1.8%19.1M-305.5M-1.5M0.47109.231,783841263,783213,201
2010-11-05$29.11$28.0011.1%3.8%9.1%28.3%14.1%1.4%-0.1%16.7M-279.6M-1.6M2.7696.545921,634263,719213,912
2010-11-08$29.06$28.0011.1%3.8%9.1%28.3%13.4%1.1%-0.1%15.9M-281.8M-1.5M10.7197.001811,939263,900215,405
2010-11-09$28.91$28.0011.7%3.9%9.4%31.3%14.1%1.4%-0.2%15.7M-279.8M-1.4M0.02101.604,09486263,926217,264
2010-11-10$28.82$28.0011.8%3.8%9.1%31.9%14.5%2.2%-0.1%14.4M-267.6M-1.5M1.5341.044,0826,231265,427217,320
2010-11-11$28.85$28.0013.2%3.8%9.1%39.8%13.9%1.9%0.1%14.1M-232.0M-1.6M1.0892.683,4483,731268,028221,894
2010-11-12$28.71$28.0013.8%3.9%9.3%43.1%14.6%2.5%-0.1%12.4M-214.8M-1.7M9.0129.2191820271,091224,914
2010-11-15$28.72$28.0013.6%3.9%9.2%42.1%13.3%2.7%0.4%13.7M-226.0M-1.6M0.3252.83582185271,102222,565
2010-11-16$28.40$28.0016.1%4.6%9.0%56.3%15.5%4.3%-1.0%11.5M-194.4M-1.6M1.8497.75136250271,340222,720
2010-11-17$28.41$28.0016.0%4.6%8.4%55.8%17.2%5.3%-0.8%9.1M-198.2M-1.5M12.3651.251431,767271,392222,810
2010-11-18$28.79$28.0012.7%3.6%9.6%37.1%12.8%2.5%0.7%16.7M-260.4M-1.4M0.49101.05461224271,513222,164
2010-11-19$28.81$28.0012.5%3.6%9.6%35.9%13.9%1.7%0.5%13.6M-254.0M-1.4M19.9647.981593,174271,905222,318
2010-11-22$28.81$28.0011.8%3.4%9.5%32.4%12.2%3.3%0.5%12.5M-263.1M-1.2M0.7411.62550409247,782217,925
2010-11-23$28.47$28.0015.4%4.4%10.2%52.2%15.7%2.8%-1.0%8.6M-194.1M-1.4M0.0294.768,798137248,098218,019
2010-11-24$28.69$28.0013.2%3.8%10.5%39.8%16.1%2.8%0.0%12.9M-242.3M-1.3M0.1993.952,220421255,524218,044
2010-11-26$28.50$28.0016.2%4.6%10.6%56.9%17.7%4.6%-1.5%10.4M-210.1M-1.4M1.6613.25239396257,646218,286
2010-11-29$28.45$28.0017.1%4.9%10.6%61.7%18.4%4.9%-1.7%9.5M-212.4M-1.3M1.8271.901,6302,974250,748218,338
2010-11-30$28.32$28.0017.4%5.0%10.6%63.7%17.2%2.8%-2.1%8.4M-192.9M-1.3M2.3379.882,7556,412251,803218,871