XLP Options History — October 2016

In October 2016, XLP traded between $51.95 and $52.94. ATM implied volatility averaged 12.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.0% (HV 20d: 10.2%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 9.58.

Notable Days

  • 2016-10-27: Highest Volume — 97,536 contracts
  • 2016-10-24: Largest IV drop — 9.2% change
  • 2016-10-11: Highest IV Rank — 38.5%
  • 2016-10-11: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.42$51.95$52.94$52.94$52.77
Max Pain$53.14$53.00$54.00$54.00$53.00
ATM IV12.2%10.6%13.7%12.1%12.0%
Expected Move3.6%3.1%3.9%3.5%3.8%
HV 20d10.2%7.2%15.3%15.2%7.2%
HV 60d10.2%9.9%10.4%10.2%10.1%
IV Rank25.1%10.2%38.5%23.9%23.7%
IV Percentile47.0%11.9%75.0%43.7%41.7%
Term Structure0.3%-0.9%1.4%0.6%0.0%
VWIV13.5%10.8%17.1%12.8%14.9%
Skew 25d3.7%1.5%4.6%3.7%3.0%
Skew 10d7.0%4.6%9.4%7.3%7.1%
Call IV 25d10.7%9.0%11.6%10.7%11.1%
Put IV 25d14.4%12.2%16.0%14.4%14.1%
Bid-Ask Spread %12.077.3518.0513.7110.10
Gamma HHI0.230.150.470.160.17
Net GEX-81.0M-128.4M-16.9M-81.4M-35.8M
Net DEX476.4M194.2M669.8M394.8M265.6M
Net VEX-3.2M-3.7M-2.6M-3.6M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.582.9432.247.109.15
Total Volume42,872.04811,29697,53622,40943,439
Total OI543,999.048395,483626,225592,203472,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$52.94$54.0012.1%3.5%15.2%23.9%12.8%3.7%0.6%-81.4M394.8M-3.6M7.1013.712,76619,643149,246442,957
2016-10-04$52.46$54.0012.8%3.8%15.3%30.8%17.1%3.6%0.4%-94.8M558.8M-3.6M11.8914.462,93034,849149,418443,836
2016-10-05$52.33$54.0012.4%3.6%15.2%27.3%13.8%3.6%0.3%-102.8M601.5M-3.6M13.9114.433,51748,928150,047456,161
2016-10-06$52.44$53.0012.6%3.9%15.2%29.0%13.5%3.4%1.4%-111.2M581.5M-3.7M17.7916.853,05654,363150,988475,237
2016-10-07$52.34$53.0012.4%3.8%12.4%26.6%13.6%3.9%1.1%-118.1M620.8M-3.5M11.6212.494,45751,768150,965451,193
2016-10-10$52.34$53.0012.8%3.7%10.6%30.4%14.7%4.0%-0.0%-104.8M561.8M-3.3M5.829.535,63832,819149,371442,718
2016-10-11$52.07$53.0013.7%3.9%9.6%38.5%13.8%4.6%-0.1%-115.0M669.7M-3.3M10.587.357,93083,868151,542440,674
2016-10-12$52.38$53.0012.9%3.8%9.9%31.5%14.1%4.1%0.1%-96.7M564.5M-3.4M5.5311.786,97038,524152,649435,236
2016-10-13$52.39$53.0012.8%3.9%9.3%30.7%16.3%4.2%1.3%-97.1M550.4M-3.5M7.9411.066,68953,099154,198451,809
2016-10-14$52.46$53.0013.0%3.8%8.8%32.2%12.1%3.5%0.8%-100.5M512.1M-3.3M6.519.084,59329,906154,417445,057
2016-10-17$52.15$53.0012.8%3.6%9.0%30.5%11.8%4.4%-0.1%-92.6M584.2M-3.1M8.469.316,21752,584153,857429,237
2016-10-18$52.31$53.0012.3%3.5%9.0%26.1%12.0%3.8%-0.9%-89.6M524.7M-3.0M6.2910.703,42421,534157,008418,688
2016-10-19$52.02$53.0012.5%3.6%8.9%27.5%12.7%4.5%-0.6%-103.0M636.0M-2.9M9.7614.022,47924,202157,208418,812
2016-10-20$51.95$53.0011.8%3.4%8.2%21.7%12.6%4.3%-0.2%-128.4M669.8M-2.8M8.0612.362,38719,235157,374422,521
2016-10-21$52.19$53.0011.8%3.4%8.3%21.5%13.8%4.0%0.0%-110.3M543.4M-2.8M6.1212.305,30032,454157,608422,064
2016-10-24$52.60$53.0010.7%3.2%8.4%11.6%10.8%3.8%0.3%-21.8M227.7M-2.7M2.9412.062,8698,427129,019266,523
2016-10-25$52.73$53.0010.6%3.1%8.4%10.2%11.2%1.5%0.5%-20.1M194.2M-2.6M3.3511.313,25210,908129,507267,078
2016-10-26$52.75$53.0010.7%3.3%8.4%11.6%11.7%3.2%0.4%-16.9M196.3M-2.6M3.798.215,25819,938130,090265,393
2016-10-27$52.43$53.0011.2%3.3%8.3%15.7%15.3%2.8%0.1%-23.2M254.6M-2.7M32.2418.052,93494,602131,865265,468
2016-10-28$52.72$53.0012.2%3.7%7.7%24.9%15.1%3.7%0.3%-36.0M292.9M-3.2M12.2714.273,20739,350132,541341,517
2016-10-31$52.77$53.0012.0%3.8%7.2%23.7%14.9%3.0%0.0%-35.8M265.6M-3.0M9.1510.104,27839,161131,881341,002