XLP Options History — November 2013

In November 2013, XLP traded between $42.44 and $43.31. ATM implied volatility averaged 11.5%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.7% (HV 20d: 10.8%). Max pain ranged from $34.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2013-11-13: Highest Volume — 68,667 contracts
  • 2013-11-15: Largest IV spike — 37.0% change
  • 2013-11-15: Highest IV Rank — 67.0%
  • 2013-11-19: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.90$42.44$43.31$42.51$43.01
Max Pain$43.11$34.00$47.00$43.00$43.00
ATM IV11.5%10.6%15.0%11.8%11.2%
Expected Move3.7%3.0%4.0%3.1%4.0%
HV 20d10.8%8.6%12.2%11.5%8.6%
HV 60d10.8%10.4%11.5%11.1%10.4%
IV Rank42.5%36.5%67.0%45.1%40.5%
IV Percentile50.5%34.9%91.3%56.7%47.6%
Term Structure0.7%-2.1%9.7%9.7%0.1%
VWIV13.2%10.4%18.3%11.6%13.5%
Skew 25d1.8%-10.3%4.4%-10.3%2.5%
Skew 10d6.7%0.9%23.8%0.9%5.3%
Call IV 25d11.7%9.9%22.8%22.8%10.3%
Put IV 25d13.5%11.9%24.2%12.5%12.7%
Bid-Ask Spread %32.559.04107.77107.7711.42
Gamma HHI0.220.160.320.190.21
Net GEX23.5M10.2M34.5M21.4M21.2M
Net DEX-414.1M-522.5M-334.9M-366.7M-409.7M
Net VEX-2.2M-2.6M-1.8M-2.6M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.294.082.791.00
Total Volume15,796.752,52868,66715,3585,103
Total OI551,399.75524,191594,412553,882554,195

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$42.51$43.0011.8%3.1%11.5%45.1%11.6%-10.3%9.7%21.4M-366.7M-2.6M2.79107.774,05111,307266,268287,614
2013-11-04$42.57$41.5011.1%3.2%11.3%39.9%10.7%2.5%0.6%23.4M-381.2M-2.6M1.0854.374,0214,333264,522278,686
2013-11-05$42.66$41.5011.0%3.2%11.3%39.3%10.5%1.6%1.0%25.1M-409.9M-2.5M0.4977.084,2982,114265,166278,397
2013-11-06$43.07$44.0010.6%3.0%11.4%36.6%10.4%1.5%1.3%27.5M-522.5M-2.2M2.1179.5713,27127,997266,626279,069
2013-11-07$42.44$44.0011.5%3.3%12.1%42.9%11.0%1.8%1.6%19.1M-336.4M-2.6M1.1075.8125,41327,959271,158293,151
2013-11-08$42.67$44.0011.3%3.2%12.1%41.4%11.0%3.8%0.6%29.8M-399.4M-2.5M4.08107.204,97420,314274,221293,159
2013-11-11$42.58$0.0012.9%3.9%12.2%52.4%18.0%4.4%0.4%12.7M-340.3M-2.5M0.8614.062,3291,994254,452270,134
2013-11-12$42.61$34.0011.4%3.9%11.7%42.1%13.9%2.5%0.6%14.1M-334.9M-2.5M1.239.742,1362,637254,516269,675
2013-11-13$42.97$46.0010.6%3.9%11.1%36.5%14.2%2.0%1.3%30.0M-446.6M-2.1M1.0210.0933,99934,668254,768271,082
2013-11-14$43.28$47.0010.9%4.0%10.8%38.8%10.9%1.7%1.3%34.3M-505.4M-2.3M1.2210.305,6826,926286,108301,067
2013-11-15$43.31$47.0015.0%4.0%10.8%67.0%12.9%3.7%-1.3%34.5M-516.7M-2.2M0.299.7711,5483,405288,619305,793
2013-11-18$43.23$43.0011.6%4.0%10.8%43.6%13.9%2.3%-0.3%26.7M-461.4M-2.2M1.289.613,8594,943271,025275,663
2013-11-19$43.06$43.0011.6%4.0%10.3%43.2%14.4%2.4%-0.1%22.0M-410.8M-2.1M0.859.042,1561,830271,347277,687
2013-11-20$42.92$43.0011.5%4.0%10.4%42.8%17.6%2.5%-0.4%10.2M-336.4M-2.5M2.5210.583,1047,815271,494278,842
2013-11-21$42.87$43.0011.3%4.0%10.4%41.1%18.3%2.3%-0.4%15.0M-375.3M-2.0M0.749.883,8002,824272,338279,522
2013-11-22$43.16$43.0011.1%4.0%10.6%40.0%0.0%1.5%-2.1%24.5M-444.3M-2.0M1.459.462,3073,355275,290281,785
2013-11-25$43.08$43.0011.2%3.9%9.8%40.6%12.2%2.4%0.0%27.2M-444.5M-1.9M0.9011.864,0793,679269,319273,192
2013-11-26$43.05$43.0010.9%3.9%9.4%38.3%13.4%2.3%-0.0%23.9M-419.6M-1.8M1.2110.454,1615,016271,703276,576
2013-11-27$43.04$43.0010.9%3.9%8.8%38.6%13.5%2.4%-0.0%26.5M-420.5M-1.9M1.9012.898721,656273,516280,250
2013-11-29$43.01$43.0011.2%4.0%8.6%40.5%0.0%2.5%0.1%21.2M-409.7M-1.8M1.0011.422,5542,549273,358280,837