XLP Options History — October 2011

In October 2011, XLP traded between $29.24 and $31.55. ATM implied volatility averaged 18.2%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 18.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 8.40.

Notable Days

  • 2011-10-06: Highest Volume — 67,353 contracts
  • 2011-10-31: Largest IV spike — 27.2% change
  • 2011-10-03: Highest IV Rank — 96.7%
  • 2011-10-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.66$29.24$31.55$29.24$31.04
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV18.2%13.0%28.2%28.2%16.6%
Expected Move5.3%3.7%8.1%8.1%4.8%
HV 20d18.0%13.1%21.2%20.8%13.5%
HV 60d20.8%19.6%21.1%20.5%19.6%
IV Rank50.5%26.7%96.7%96.7%43.0%
IV Percentile80.9%54.4%99.6%99.6%75.4%
Term Structure0.7%-1.0%1.1%-1.0%0.5%
VWIV20.1%15.5%26.3%25.2%16.8%
Skew 25d5.6%3.6%8.2%8.2%4.8%
Skew 10d12.6%8.2%16.7%16.7%12.1%
Call IV 25d16.7%13.0%24.4%24.4%14.6%
Put IV 25d22.3%16.6%32.5%32.5%19.4%
Bid-Ask Spread %30.5519.4974.5723.9227.13
Gamma HHI0.130.110.150.130.15
Net GEX-2.2M-7.3M5.1M-5.0M-553.5K
Net DEX34.8M-97.5M165.7M165.7M-5.7M
Net VEX-2.1M-2.3M-1.8M-2.1M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.400.14105.071.037.64
Total Volume9,694.14376667,35317,5134,564
Total OI554,626.429491,702577,748491,702576,678

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$29.24$30.0028.2%8.1%20.8%96.7%25.2%8.2%-1.0%-5.0M165.7M-2.1M1.0323.928,6288,885263,466228,236
2011-10-04$29.55$30.0022.3%6.4%21.2%69.4%26.1%6.3%0.7%-5.4M153.8M-2.1M1.2723.361,5341,954267,231230,726
2011-10-05$29.55$30.0021.3%6.1%20.2%64.7%21.3%5.1%0.5%-5.5M145.2M-2.1M16.0725.0992214,812268,220231,403
2011-10-06$29.90$30.0020.3%5.8%20.8%60.1%20.3%4.3%1.0%-5.8M117.5M-2.1M105.0727.4163566,718268,161234,368
2011-10-07$30.07$30.0019.9%6.1%19.6%58.3%25.4%7.3%0.6%-7.3M114.5M-2.2M12.3843.0698712,217268,699290,185
2011-10-10$30.54$30.0017.4%5.3%20.4%46.7%22.0%6.5%1.0%-3.5M51.1M-2.3M0.8426.871,9541,643269,454293,785
2011-10-11$30.48$30.0019.3%5.9%20.3%55.6%22.2%6.8%0.6%-5.1M64.8M-2.2M0.8725.69410356269,221293,966
2011-10-12$30.72$30.0015.4%4.9%20.1%37.8%18.1%5.7%1.0%-4.2M33.9M-2.2M0.1446.764,918678269,104294,077
2011-10-13$30.64$30.0016.6%4.8%19.6%43.3%18.5%5.8%1.0%-4.5M50.9M-2.1M1.0019.492,8272,841271,484294,252
2011-10-14$30.80$30.0016.0%4.6%19.7%40.4%19.2%5.6%1.1%-3.2M18.1M-2.0M1.1132.03647720271,541296,948
2011-10-17$30.62$30.0017.2%4.9%19.5%46.0%18.5%6.0%0.8%-3.0M32.7M-2.2M7.8233.514053,169272,443297,172
2011-10-18$30.86$30.0017.2%4.9%19.7%46.0%18.4%5.6%0.6%-1.1M-2.5M-2.1M1.1934.608571,021272,697299,128
2011-10-19$30.93$30.0018.1%5.2%18.0%49.9%19.1%5.7%0.6%-3.5M20.8M-2.0M0.4619.962,7081,259272,778299,344
2011-10-20$30.96$30.0018.7%5.4%16.5%52.8%17.8%6.3%0.6%-1.3M-50.2K-2.1M0.2420.835,6191,360273,539300,462
2011-10-21$31.47$30.0018.1%5.2%17.0%50.3%20.7%4.9%0.7%4.9M-97.5M-2.2M0.9974.572,2492,233276,645301,103
2011-10-24$31.27$30.0017.2%4.9%15.4%45.9%17.1%5.6%0.6%1.5M-37.9M-2.0M0.8423.889,1147,630266,297290,044
2011-10-25$31.02$30.0017.8%5.1%15.8%48.7%18.2%4.9%0.1%-2.6M34.9M-1.9M0.9028.201,7721,597271,931292,883
2011-10-26$31.14$30.0017.1%4.9%13.7%45.6%26.3%4.7%0.5%1.1M-25.7M-2.0M1.1033.481,8622,049272,788293,936
2011-10-27$31.55$30.0014.3%4.1%13.9%32.4%16.4%4.8%0.9%2.6M-45.3M-2.0M2.2225.864,66510,340273,546295,059
2011-10-28$31.55$30.0013.0%3.7%13.1%26.7%15.5%3.6%1.1%5.1M-58.7M-2.0M13.1325.913414,477275,016299,139
2011-10-31$31.04$30.0016.6%4.8%13.5%43.0%16.8%4.8%0.5%-553.5K-5.7M-1.8M7.6427.135284,036274,367302,311