XLP Options History — November 2016

In November 2016, XLP traded between $50.39 and $52.82. ATM implied volatility averaged 13.7%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.6% (HV 20d: 13.1%). Max pain ranged from $52.00 to $53.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.20.

Notable Days

  • 2016-11-18: Highest Volume — 111,926 contracts
  • 2016-11-07: Largest IV drop — 14.9% change
  • 2016-11-14: Highest IV Rank — 58.2%
  • 2016-11-14: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.32$50.39$52.82$52.55$50.66
Max Pain$52.95$52.00$53.00$53.00$52.00
ATM IV13.7%12.3%15.8%13.8%13.0%
Expected Move4.2%3.5%4.7%4.5%4.5%
HV 20d13.1%6.5%16.1%6.6%16.1%
HV 60d12.2%10.1%13.3%10.1%13.3%
IV Rank39.0%26.3%58.2%39.1%32.6%
IV Percentile71.2%50.0%88.9%75.4%65.1%
Term Structure-0.1%-1.7%1.6%-0.2%0.8%
VWIV15.5%12.3%20.6%20.6%17.1%
Skew 25d3.8%2.1%5.0%4.2%3.8%
Skew 10d8.4%1.3%12.7%10.2%12.6%
Call IV 25d12.3%10.6%14.1%12.1%12.3%
Put IV 25d16.1%14.3%18.8%16.3%16.1%
Bid-Ask Spread %11.415.8018.3318.3316.34
Gamma HHI0.160.120.170.160.17
Net GEX-82.1M-116.2M-38.2M-38.2M-104.6M
Net DEX653.5M281.0M893.8M326.7M823.1M
Net VEX-2.9M-3.3M-2.5M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.6710.6810.682.06
Total Volume46,671.09520,220111,92657,62630,327
Total OI540,970.19475,152607,558475,152602,157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$52.55$53.0013.8%4.5%6.6%39.1%20.6%4.2%-0.2%-38.2M326.7M-3.2M10.6818.334,93552,691133,814341,338
2016-11-02$52.58$53.0013.3%4.2%6.5%34.8%16.4%3.9%0.2%-40.4M333.6M-3.2M5.6914.427,41342,168135,419355,892
2016-11-03$52.06$53.0014.6%4.4%7.4%47.1%17.3%2.1%-0.1%-54.1M458.2M-3.3M5.2610.887,41339,023138,244357,850
2016-11-04$51.59$53.0015.4%4.5%8.0%54.5%17.8%4.6%-0.2%-55.6M566.7M-3.2M2.925.969,32527,184138,457359,529
2016-11-07$52.43$53.0013.1%4.2%10.0%33.5%15.5%3.5%1.6%-49.9M389.5M-3.1M3.419.699,01330,728138,602373,170
2016-11-08$52.82$53.0012.3%3.8%10.1%26.3%13.0%5.0%0.7%-40.6M281.0M-3.1M1.078.2910,38711,144139,495375,611
2016-11-09$52.04$53.0013.2%4.0%11.3%34.0%14.5%4.7%0.5%-57.8M462.0M-2.9M2.7213.389,00624,539140,626366,538
2016-11-10$50.55$53.0014.9%4.5%15.2%49.6%16.5%4.0%0.9%-92.8M840.9M-2.7M4.1915.1018,73378,467140,959373,702
2016-11-11$50.55$53.0015.0%4.4%15.2%50.2%13.6%4.2%0.7%-116.2M848.7M-2.8M0.6714.1651,38834,443143,693395,012
2016-11-14$50.39$53.0015.8%4.7%15.1%58.2%17.6%4.6%-1.7%-98.2M893.8M-2.5M7.0410.827,52152,944108,631396,402
2016-11-15$50.73$53.0014.4%4.1%15.4%44.9%15.3%3.5%0.3%-109.4M833.7M-2.5M2.2011.569,87021,721109,068415,778
2016-11-16$50.83$53.0014.0%4.0%15.3%41.1%15.1%3.0%-0.7%-95.7M789.6M-2.5M1.9811.3213,56226,900117,225416,930
2016-11-17$50.71$53.0013.7%3.9%15.3%39.1%14.8%3.0%-0.8%-100.3M815.5M-2.6M1.7510.0522,53039,403118,097430,194
2016-11-18$50.59$53.0013.3%3.9%15.2%35.2%15.5%2.6%-0.7%-106.0M836.6M-2.6M6.998.9614,00197,925126,130439,973
2016-11-21$50.79$53.0012.9%3.5%14.9%31.5%12.3%3.5%-0.5%-99.5M781.4M-2.8M0.8710.5314,51512,694103,219470,220
2016-11-22$51.18$53.0013.5%3.8%15.2%36.4%15.3%3.3%-0.4%-91.4M692.4M-3.0M2.6112.2611,49229,994104,675472,355
2016-11-23$50.82$53.0012.4%3.9%15.3%26.6%14.0%3.4%-0.4%-94.4M787.7M-3.0M1.0813.6114,61815,748107,697487,427
2016-11-25$51.22$53.0014.0%4.2%15.6%41.4%14.6%4.4%-0.4%-89.8M670.0M-3.0M0.8610.4313,65611,762113,179494,379
2016-11-28$51.29$53.0013.2%4.1%15.5%33.9%15.1%3.8%-0.6%-91.8M649.8M-2.8M1.355.808,60311,617110,539473,401
2016-11-29$51.37$53.0012.7%4.1%15.5%29.6%14.4%4.3%-0.5%-96.3M641.8M-2.8M1.737.6811,24319,447113,124481,623
2016-11-30$50.66$52.0013.0%4.5%16.1%32.6%17.1%3.8%0.8%-104.6M823.1M-2.9M2.0616.349,90820,419117,413484,744