XLP Options History — October 2013

In October 2013, XLP traded between $39.67 and $42.93. ATM implied volatility averaged 12.6%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.4% (HV 20d: 11.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.61.

Notable Days

  • 2013-10-15: Highest Volume — 122,100 contracts
  • 2013-10-11: Largest IV spike — 53.7% change
  • 2013-10-11: Highest IV Rank — 100.0%
  • 2013-10-11: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.06$39.67$42.93$40.02$42.36
Max Pain$40.88$40.00$43.00$40.00$43.00
ATM IV12.6%9.8%19.8%12.3%11.2%
Expected Move3.6%2.8%6.4%3.5%3.2%
HV 20d11.2%10.1%12.6%10.7%11.6%
HV 60d10.0%8.8%11.1%9.6%11.1%
IV Rank50.6%30.5%100.0%49.6%40.7%
IV Percentile59.1%21.4%100.0%67.9%47.6%
Term Structure-0.2%-9.2%2.7%-0.1%0.4%
VWIV12.8%9.9%18.4%12.2%11.0%
Skew 25d2.7%-7.9%6.1%4.4%2.1%
Skew 10d6.6%-5.1%14.0%3.4%3.1%
Call IV 25d11.4%7.4%19.0%10.7%10.7%
Put IV 25d14.1%11.1%19.7%15.1%12.8%
Bid-Ask Spread %71.287.44149.0771.4558.83
Gamma HHI0.240.130.470.140.18
Net GEX13.4M-11.9M58.0M-9.8M7.3M
Net DEX-194.3M-464.5M-19.2M-55.3M-311.4M
Net VEX-2.0M-2.8M-1.7M-1.8M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.175.170.430.57
Total Volume24,955.9571,715122,1009,66211,666
Total OI411,415.522318,168548,380318,168548,380

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$40.02$40.0012.3%3.5%10.7%49.6%12.2%4.4%-0.1%-9.8M-55.3M-1.8M0.4371.456,7632,899153,496164,672
2013-10-02$39.91$40.0012.9%3.7%10.6%53.3%14.0%4.2%-0.1%-11.0M-53.2M-1.7M2.3753.761,7054,034158,313167,398
2013-10-03$39.75$40.0014.3%4.1%10.6%63.5%14.7%4.6%-1.2%-11.9M-33.2M-1.9M1.0554.7132,20133,703159,647170,350
2013-10-04$39.79$40.0013.0%3.7%10.6%54.1%17.6%4.7%-0.1%-8.3M-41.3M-1.9M4.1791.353321,383189,873201,177
2013-10-07$39.68$40.0015.0%4.3%10.3%68.2%18.4%4.9%-1.4%-9.1M-25.3M-1.9M2.5660.721,9545,010188,965200,530
2013-10-08$39.67$40.0016.3%4.7%10.3%77.5%17.4%6.1%-2.0%-11.1M-19.2M-1.9M0.3667.367,9162,867190,680203,594
2013-10-09$39.75$40.0016.1%4.6%10.1%76.6%17.3%5.5%-2.0%-10.6M-31.0M-1.9M1.5056.502,7504,131195,274205,950
2013-10-10$40.45$0.0012.9%3.6%11.9%53.3%0.0%4.9%0.9%13.3M-125.6M-2.0M0.227.445,1351,145197,023207,127
2013-10-11$40.57$0.0019.8%6.4%11.6%100.0%0.0%-7.9%-9.2%23.4M-157.1M-1.9M0.17149.074,658811197,287207,717
2013-10-14$40.70$40.0012.1%3.3%11.2%46.8%12.5%4.2%0.7%32.9M-182.5M-1.9M2.3374.433,3097,726197,045204,001
2013-10-15$40.40$40.0016.7%4.0%11.4%78.4%14.4%4.4%0.0%17.8M-123.9M-1.9M1.5186.8648,57273,528198,821200,096
2013-10-16$40.99$40.0011.0%3.2%11.9%39.4%11.4%3.8%0.8%58.0M-219.2M-2.1M4.4377.542,58211,451213,818243,202
2013-10-17$41.43$40.0010.7%3.1%12.6%37.3%10.8%3.6%-0.3%15.5M-222.0M-2.2M0.7132.154,6733,314188,684215,764
2013-10-18$41.49$40.0010.5%3.0%11.7%35.7%10.3%2.9%-0.3%14.0M-261.9M-1.9M2.0499.152,7715,656189,406218,282
2013-10-21$41.40$41.0010.0%2.8%11.6%32.5%10.7%2.6%1.9%14.5M-211.8M-2.0M5.1766.661,1205,787169,802199,165
2013-10-22$41.92$41.009.8%2.8%12.1%30.5%9.9%1.7%1.2%19.0M-282.5M-1.9M0.6678.6230,96520,429170,717203,941
2013-10-23$41.99$42.0010.1%2.9%11.5%32.7%10.2%1.9%1.0%23.8M-294.5M-2.1M0.9756.814,9964,828196,637219,007
2013-10-24$41.93$42.009.9%2.8%11.4%31.4%11.6%2.3%0.1%23.6M-281.2M-2.1M1.2667.577,4859,402201,505222,715
2013-10-25$42.05$42.0012.0%2.8%11.1%46.2%10.9%-7.3%0.4%45.6M-320.8M-2.0M0.35125.8315,6645,419207,735227,720
2013-10-28$42.57$41.5010.1%2.8%10.7%32.8%10.2%4.5%2.7%27.7M-376.9M-2.0M0.5374.3661,65732,792202,379230,898
2013-10-29$42.93$43.0011.0%3.1%10.9%39.2%10.9%1.4%1.3%27.2M-464.5M-2.5M1.3154.9421,87928,762246,621255,180
2013-10-30$42.57$43.0011.8%3.4%11.5%44.9%11.5%1.6%0.7%17.2M-374.2M-2.6M2.3073.398,53119,626257,660274,303
2013-10-31$42.36$43.0011.2%3.2%11.6%40.7%11.0%2.1%0.4%7.3M-311.4M-2.8M0.5758.837,4464,220260,867287,513