XLP Options History — November 2011

In November 2011, XLP traded between $30.28 and $31.90. ATM implied volatility averaged 18.1%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.6% (HV 20d: 16.6%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.87.

Notable Days

  • 2011-11-30: Highest Volume — 26,034 contracts
  • 2011-11-09: Largest IV spike — 51.5% change
  • 2011-11-25: Highest IV Rank — 64.0%
  • 2011-11-25: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.01$30.28$31.90$30.61$31.90
Max Pain$30.86$30.00$31.00$30.00$31.00
ATM IV18.1%12.8%21.1%19.1%16.4%
Expected Move5.3%4.3%6.1%5.5%4.7%
HV 20d16.6%14.2%18.2%14.4%18.2%
HV 60d17.6%17.2%18.0%17.7%18.0%
IV Rank50.3%25.6%64.0%54.5%42.3%
IV Percentile79.6%50.0%88.9%85.7%69.0%
Term Structure-0.6%-1.6%0.4%-0.7%-0.8%
VWIV19.8%16.9%26.8%22.3%18.7%
Skew 25d6.0%3.4%7.6%6.2%3.4%
Skew 10d13.5%7.6%17.4%13.1%7.6%
Call IV 25d16.2%14.1%18.6%18.6%15.1%
Put IV 25d22.2%18.5%25.1%24.8%18.5%
Bid-Ask Spread %28.0614.8543.0929.6336.70
Gamma HHI0.170.150.200.150.20
Net GEX-3.8M-9.8M4.8M-6.8M4.8M
Net DEX23.4M-90.8M132.7M81.5M-90.8M
Net VEX-1.8M-2.0M-1.6M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.1312.2610.030.23
Total Volume6,613.1931026,03412,70526,034
Total OI579,408.571517,163629,783579,332526,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$30.61$30.0019.1%5.5%14.4%54.5%22.3%6.2%-0.7%-6.8M81.5M-2.0M10.0329.631,15211,553274,361304,971
2011-11-02$30.79$30.0017.6%5.0%14.5%47.7%23.7%5.9%0.2%-6.2M54.5M-1.9M8.3528.501,22810,250274,646312,810
2011-11-03$31.17$30.0016.9%4.9%14.5%44.7%18.0%5.0%0.4%-3.5M2.7M-2.0M0.3230.1523476275,772322,714
2011-11-04$30.99$31.0016.2%4.9%14.7%41.4%19.5%6.8%-0.2%-4.3M17.6M-1.9M8.8922.124574,065275,874322,840
2011-11-07$31.33$31.0015.9%4.9%14.2%40.0%16.9%6.6%-0.2%-2.0M-15.9M-1.8M10.9225.383413,723275,865324,562
2011-11-08$31.56$31.0012.8%4.3%14.3%25.6%17.1%4.9%-0.0%1.8M-63.4M-1.8M3.4427.082,2587,763275,975330,371
2011-11-09$30.82$31.0019.4%5.6%16.7%56.0%20.2%7.6%-1.0%-6.0M46.3M-1.9M1.6023.498061,293277,961327,814
2011-11-10$31.12$31.0018.6%5.3%17.0%52.2%18.7%6.9%-0.7%-3.5M11.1M-1.9M12.2625.1885410,468277,948328,636
2011-11-11$31.51$31.0016.1%4.6%17.5%41.0%18.8%6.7%0.3%3.0M-62.6M-1.9M2.5943.098102,097278,205338,598
2011-11-14$31.25$31.0018.7%5.4%17.6%52.8%20.9%6.8%-0.7%-3.0M-15.9M-1.9M0.5538.42354196277,858339,040
2011-11-15$31.37$31.0018.4%5.3%17.5%51.5%17.9%5.5%-0.6%-208.9K-23.7M-1.8M1.7924.411,0481,872277,982338,937
2011-11-16$31.08$31.0019.0%5.4%17.8%54.0%19.2%7.1%-0.5%-5.5M14.5M-1.9M9.7240.273022,934278,432340,675
2011-11-17$30.97$31.0019.4%5.6%17.9%56.1%26.8%6.9%-0.6%-3.1M28.2M-1.8M1.5423.305,6128,645278,454343,350
2011-11-18$31.06$31.0018.3%5.3%16.8%51.1%19.3%6.1%-0.3%-3.7M9.8M-1.8M0.7320.164,0662,978281,034348,749
2011-11-21$30.56$31.0018.5%5.3%17.6%51.9%20.9%6.1%-0.4%-6.2M78.3M-1.7M1.2024.554,1615,008271,090246,073
2011-11-22$30.47$31.0020.6%5.9%17.4%61.7%18.5%5.7%-1.6%-6.9M85.1M-1.7M1.1422.712,6893,073272,589247,918
2011-11-23$30.28$31.0021.0%6.0%17.5%63.6%19.2%5.9%-1.5%-9.8M132.7M-1.6M3.4623.351,7426,023274,337247,820
2011-11-25$30.37$31.0021.1%6.1%16.7%64.0%20.6%5.9%-1.5%-9.4M120.8M-1.6M0.1314.8533945275,595249,159
2011-11-28$30.85$31.0018.5%5.3%17.8%51.8%18.9%5.3%-0.5%-5.7M52.8M-1.8M0.4337.74917390275,314250,413
2011-11-29$31.18$31.0018.4%5.3%17.3%51.5%19.5%4.0%-1.0%-4.1M26.6M-1.6M1.9528.26346675275,510250,585
2011-11-30$31.90$31.0016.4%4.7%18.2%42.3%18.7%3.4%-0.8%4.8M-90.8M-1.7M0.2336.7021,2104,824275,533251,210