XLP Options History — November 2012

In November 2012, XLP traded between $34.19 and $36.04. ATM implied volatility averaged 11.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.9% (HV 20d: 11.0%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2012-11-13: Highest Volume — 22,307 contracts
  • 2012-11-14: Largest IV spike — 49.1% change
  • 2012-11-06: Highest IV Rank — 36.4%
  • 2012-11-06: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.09$34.19$36.04$35.57$36.04
Max Pain$35.10$35.00$36.00$36.00$35.00
ATM IV11.9%9.2%13.7%11.0%13.4%
Expected Move3.5%2.9%3.9%3.2%3.8%
HV 20d11.0%9.2%12.8%9.2%12.7%
HV 60d10.2%9.2%11.1%9.2%11.1%
IV Rank24.1%5.5%36.4%18.3%34.5%
IV Percentile55.8%7.1%85.3%40.1%85.3%
Term Structure-0.7%-2.1%0.9%-0.1%-2.1%
VWIV12.2%10.1%14.1%11.7%13.4%
Skew 25d2.7%1.3%3.7%1.3%3.6%
Skew 10d6.8%4.4%17.2%17.2%6.3%
Call IV 25d10.9%8.5%12.5%11.7%11.8%
Put IV 25d13.6%11.0%15.6%13.0%15.4%
Bid-Ask Spread %24.257.3136.1026.5936.10
Gamma HHI0.190.140.240.180.21
Net GEX-2.9M-27.7M21.0M4.5M21.0M
Net DEX64.9M-122.4M263.7M30.1M-122.4M
Net VEX-1.7M-2.2M-1.4M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.244.760.241.82
Total Volume9,172.3331,52122,3074,04311,334
Total OI752,096.19726,215777,187726,215777,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$35.57$36.0011.0%3.2%9.2%18.3%11.7%1.3%-0.1%4.5M30.1M-2.0M0.2426.593,267776424,121302,094
2012-11-02$35.33$36.0012.9%3.7%9.3%31.0%11.6%2.4%0.9%11.2M20.1K-2.0M1.2932.521,5121,947425,201302,504
2012-11-05$35.15$35.0013.3%3.8%9.2%33.9%11.6%3.1%-0.4%7.2M26.8M-2.0M2.7321.763,87010,567425,423303,707
2012-11-06$35.40$35.0013.7%3.9%9.5%36.4%12.2%3.0%-0.8%8.8M13.0M-2.2M1.5122.693,9736,013428,101312,265
2012-11-07$34.97$35.0013.0%3.9%10.2%31.5%12.6%3.1%-0.7%3.0M71.4M-2.0M0.9622.207,0716,804430,787316,220
2012-11-08$34.60$35.0011.6%3.8%10.4%22.1%13.5%3.1%-0.3%-7.9M151.6M-1.8M1.007.312,5092,506428,707317,423
2012-11-09$34.61$35.0011.4%3.7%10.4%21.0%12.8%3.3%-0.2%-16.8M189.7M-1.7M0.3025.631,668497430,189315,822
2012-11-12$34.60$35.0010.9%3.6%10.4%17.7%11.6%3.1%0.1%-9.6M150.1M-1.7M0.6622.416,0383,988429,400315,946
2012-11-13$34.56$35.009.2%3.3%10.3%5.5%12.1%2.6%-0.3%-20.0M197.9M-1.6M2.8319.235,82616,481431,168315,525
2012-11-14$34.22$35.0013.6%3.7%10.3%36.2%13.1%2.9%-0.8%-26.8M257.2M-1.6M1.3523.081,6252,198436,199330,559
2012-11-15$34.19$35.0012.4%3.5%10.1%27.6%13.3%2.6%-0.6%-27.7M263.7M-1.5M0.2721.144,7521,261436,776330,643
2012-11-16$34.40$35.0012.1%3.5%10.3%25.4%11.3%2.5%-0.3%-25.8M235.6M-1.6M0.9822.516,8426,709434,881330,870
2012-11-19$34.97$35.0010.2%2.9%12.3%12.8%10.2%2.3%-0.1%-10.9M69.3M-1.5M0.6034.824,0652,433426,304317,976
2012-11-20$35.09$35.0010.6%3.0%11.8%15.3%10.5%1.6%-0.3%-12.7M59.9M-1.4M1.4522.916,0268,729428,200318,711
2012-11-21$35.12$35.0010.7%3.1%11.8%15.8%10.5%1.9%-0.6%-1.6M23.1M-1.5M3.0428.771,3464,095433,284322,682
2012-11-23$35.67$35.0010.2%2.9%12.2%12.9%10.1%2.9%-0.9%1.0M-42.0M-1.4M0.538.243,3041,745433,480323,160
2012-11-26$35.42$35.0012.2%3.5%12.5%26.6%12.0%3.1%-1.4%7.4M-28.6M-1.5M0.8228.388,8817,240434,622322,462
2012-11-27$35.38$35.0012.6%3.6%12.3%29.1%12.9%2.7%-1.6%6.4M-30.5M-1.6M3.4128.233451,176438,491324,082
2012-11-28$35.72$35.0012.0%3.4%12.7%24.8%14.1%3.7%-2.1%10.6M-56.7M-1.6M4.7627.713,51316,712439,289323,817
2012-11-29$35.92$35.0012.4%3.6%12.8%27.9%13.9%2.3%-1.6%17.2M-97.0M-1.7M0.8127.051,6401,335440,516335,226
2012-11-30$36.04$35.0013.4%3.8%12.7%34.5%13.4%3.6%-2.1%21.0M-122.4M-1.7M1.8236.104,0187,316440,866336,321