XLP Options History — November 2014

In November 2014, XLP traded between $46.90 and $49.30. ATM implied volatility averaged 10.4%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 8.4%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.07.

Notable Days

  • 2014-11-18: Highest Volume — 79,250 contracts
  • 2014-11-28: Largest IV spike — 15.1% change
  • 2014-11-19: Highest IV Rank — 47.5%
  • 2014-11-21: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.03$46.90$49.30$46.90$49.30
Max Pain$45.89$44.00$46.00$44.00$46.00
ATM IV10.4%9.5%11.8%9.8%11.3%
Expected Move3.3%3.0%3.5%3.4%3.2%
HV 20d8.4%5.4%13.9%13.9%6.5%
HV 60d10.3%10.2%10.7%10.2%10.7%
IV Rank33.4%24.2%47.5%28.2%43.1%
IV Percentile51.1%26.6%86.9%36.1%77.8%
Term Structure-0.2%-2.7%0.8%0.1%-2.7%
VWIV13.9%11.2%15.6%14.6%11.2%
Skew 25d2.7%-0.9%3.7%3.2%-0.9%
Skew 10d5.8%3.5%10.2%6.5%3.5%
Call IV 25d9.2%8.5%10.1%9.0%9.4%
Put IV 25d11.8%8.4%13.8%12.3%8.4%
Bid-Ask Spread %33.3620.2144.9432.3844.94
Gamma HHI0.170.130.210.160.17
Net GEX-855.2K-6.5M7.8M3.5M3.1M
Net DEX-337.7M-418.3M-281.3M-286.1M-418.3M
Net VEX-1.6M-1.8M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.070.518.784.331.47
Total Volume40,474.5791,78079,25045,0756,271
Total OI294,061.474258,893318,872258,893281,717

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$46.90$44.009.8%3.4%13.9%28.2%14.6%3.2%0.1%3.5M-286.1M-1.5M4.3332.388,45536,620128,260130,633
2014-11-04$47.14$46.0010.7%3.5%13.6%36.6%14.5%3.1%0.3%7.8M-315.9M-1.5M6.0330.5910,73564,730128,385130,787
2014-11-05$47.48$46.0010.1%3.4%12.9%30.7%13.3%2.9%0.3%-1.8M-285.4M-1.7M4.6628.9810,01546,708130,179158,587
2014-11-06$47.58$46.0010.2%3.2%12.1%31.4%15.4%2.8%0.3%-1.5M-301.1M-1.6M4.7737.179,10443,443131,528162,953
2014-11-07$47.70$46.0010.2%3.2%12.1%31.7%15.0%2.9%0.4%-1.9M-308.1M-1.6M3.8929.9411,30443,920131,713167,815
2014-11-10$47.90$46.009.5%3.3%10.5%24.2%15.6%2.9%0.5%-2.6M-318.8M-1.6M2.6637.8812,73233,805131,851166,874
2014-11-11$47.84$46.009.6%3.2%10.6%25.8%15.6%2.9%0.7%-1.6M-322.5M-1.6M2.9032.2912,21935,399134,073139,968
2014-11-12$47.87$46.009.5%3.0%8.4%24.9%15.0%2.6%0.7%-3.2M-314.4M-1.7M2.9843.2212,29236,625136,274167,541
2014-11-13$48.03$46.0010.0%3.1%6.7%30.0%14.7%2.8%0.8%-2.4M-347.7M-1.6M2.0138.3421,40642,983136,558174,406
2014-11-14$47.76$46.0010.4%3.2%6.7%34.1%13.7%3.0%0.8%-6.5M-281.3M-1.8M1.0143.884,6044,663136,536179,418
2014-11-17$48.06$46.0010.8%3.1%5.6%37.3%14.4%3.4%-0.2%-5.0M-304.1M-1.8M1.9324.2521,07940,716136,228179,876
2014-11-18$48.29$46.0010.8%3.2%5.6%37.8%14.5%2.6%-1.5%-3.8M-365.3M-1.6M3.2921.9218,49260,758136,614182,258
2014-11-19$48.46$46.0011.8%3.3%5.6%47.5%12.2%3.7%-1.9%840.3K-369.3M-1.7M2.4920.212,6236,528137,381167,979
2014-11-20$48.25$46.0011.4%3.4%5.9%43.6%11.9%2.7%-0.6%-2.0M-361.3M-1.7M0.5135.8424,24612,352138,693172,389
2014-11-21$48.44$46.0011.2%3.5%5.5%41.4%12.0%2.5%-1.7%-2.5M-393.5M-1.3M0.8029.1216,55213,166132,064171,638
2014-11-24$48.42$46.0010.1%3.4%5.6%30.5%13.8%2.9%-0.1%4.1M-385.3M-1.4M8.7836.651,1349,962135,694147,374
2014-11-25$48.50$46.009.8%3.5%5.6%28.2%14.2%2.4%0.2%84.1K-372.6M-1.3M1.0635.1815,37416,222129,079152,836
2014-11-26$48.68$46.009.8%3.1%5.4%28.0%12.2%2.2%-0.2%-1.1M-364.6M-1.4M2.8731.034601,320128,210152,799
2014-11-28$49.30$46.0011.3%3.2%6.5%43.1%11.2%-0.9%-2.7%3.1M-418.3M-1.3M1.4744.942,5413,730128,337153,380