XLP Options History — October 2015

In October 2015, XLP traded between $46.93 and $50.76. ATM implied volatility averaged 12.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 3.0% (HV 20d: 15.9%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2015-10-14: Highest Volume — 13,716 contracts
  • 2015-10-14: Largest IV spike — 14.2% change
  • 2015-10-01: Highest IV Rank — 53.3%
  • 2015-10-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.48$46.93$50.76$46.93$49.97
Max Pain$48.00$46.00$49.00$47.50$49.00
ATM IV12.9%10.9%17.9%17.9%12.1%
Expected Move3.7%3.1%5.3%5.3%3.6%
HV 20d15.9%13.6%19.0%17.6%13.6%
HV 60d17.1%16.1%17.5%16.1%17.5%
IV Rank22.0%9.0%53.3%53.3%16.7%
IV Percentile57.7%23.0%92.9%92.9%49.2%
Term Structure0.1%-0.9%1.1%0.1%0.4%
VWIV13.3%11.4%19.4%19.4%12.0%
Skew 25d3.7%2.9%4.9%4.1%4.7%
Skew 10d8.5%6.7%11.6%9.3%8.0%
Call IV 25d11.5%10.0%17.3%17.3%10.5%
Put IV 25d15.2%13.0%21.4%21.4%15.2%
Bid-Ask Spread %12.858.2823.4614.0113.60
Gamma HHI0.170.090.260.100.14
Net GEX7.4M-9.0M18.2M-9.0M3.2M
Net DEX-150.3M-203.8M32.2M32.2M-164.5M
Net VEX-967.2K-1.3M-749.8K-1.3M-789.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.654.280.651.11
Total Volume9,394.1822,67513,71612,79711,263
Total OI184,508.409164,608204,160193,995170,888

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$46.93$47.5017.9%5.3%17.6%53.3%19.4%4.1%0.1%-9.0M32.2M-1.3M0.6514.017,7365,06172,779121,216
2015-10-02$47.78$47.5016.0%4.3%18.3%41.2%16.3%3.9%-0.1%-216.4K-36.3M-1.2M1.0315.635,4935,64674,904121,800
2015-10-05$48.67$46.0014.8%4.2%19.0%33.8%15.1%4.5%-0.2%6.6M-128.6M-1.0M1.6912.459931,68274,897119,226
2015-10-06$48.38$47.0014.7%4.5%18.3%32.8%15.7%4.9%0.4%6.4M-99.4M-1.2M2.049.082,3094,70875,527119,750
2015-10-07$48.69$47.0014.4%4.0%17.4%30.9%13.0%4.2%0.3%8.4M-118.9M-1.2M1.609.163,0774,92176,071120,849
2015-10-08$49.32$47.0013.5%4.0%16.1%25.2%14.0%3.6%0.1%9.4M-160.1M-1.1M0.9210.446,4675,94577,082121,146
2015-10-09$49.46$47.0013.0%4.0%16.1%22.4%12.9%4.0%-0.3%8.4M-181.6M-1.1M1.9511.813,4736,78380,939123,221
2015-10-12$49.57$47.0012.3%3.5%16.0%17.7%11.8%4.0%-0.3%9.5M-176.7M-1.0M1.208.283,2773,92176,827118,176
2015-10-13$49.27$48.0012.4%3.8%16.2%18.9%15.2%4.1%0.9%9.5M-150.1M-1.1M1.1210.283,7394,17277,367118,341
2015-10-14$48.66$48.0014.2%3.8%16.5%30.0%14.5%4.3%-0.9%10.1M-121.3M-1.0M1.6913.895,0938,62378,566118,733
2015-10-15$49.18$48.0012.9%3.7%16.5%21.7%13.1%3.4%-0.2%9.8M-164.7M-890.7K1.7219.963,4185,86780,453123,163
2015-10-16$49.66$48.0011.6%3.2%16.7%13.7%11.4%3.0%-0.9%18.2M-196.0M-896.1K1.9716.903,5016,89378,689123,036
2015-10-19$49.79$48.0011.3%3.3%15.1%11.4%12.1%2.9%-0.1%7.7M-146.0M-943.3K1.6313.653,1775,18368,22096,388
2015-10-20$49.78$48.0011.3%3.2%15.0%11.9%11.6%3.7%0.3%7.9M-155.5M-899.2K1.838.913,0755,63868,69996,452
2015-10-21$49.78$49.0011.6%3.3%14.4%13.7%12.0%3.7%-0.0%9.4M-165.5M-828.2K1.979.663,0265,96369,71597,385
2015-10-22$50.76$49.0010.9%3.1%15.6%9.0%12.1%3.0%-0.5%9.5M-203.8M-847.5K2.9713.962,7548,16670,20497,458
2015-10-23$50.74$49.0011.7%3.4%15.6%14.1%11.4%3.0%0.2%7.5M-202.5M-833.7K4.2812.762,0868,93370,42699,991
2015-10-26$50.67$49.0012.0%3.5%14.3%15.8%12.1%3.2%1.1%7.1M-189.4M-882.1K3.309.391,9106,29769,96399,513
2015-10-27$50.67$49.0012.0%3.6%14.2%16.3%12.6%3.4%0.5%7.7M-192.1M-838.3K1.8912.012,8265,34470,11599,611
2015-10-28$50.40$49.0011.8%3.5%14.4%14.6%12.4%3.4%0.3%8.3M-189.8M-762.4K2.4823.462,7626,83670,93499,719
2015-10-29$50.44$49.0012.4%3.4%14.0%18.3%12.4%3.4%0.2%8.0M-196.5M-749.8K3.6513.501,8566,77971,11099,636
2015-10-30$49.97$49.0012.1%3.6%13.6%16.7%12.0%4.7%0.4%3.2M-164.5M-789.2K1.1113.605,3365,92771,07799,811