XLP Options History — October 2017

In October 2017, XLP traded between $52.66 and $54.60. ATM implied volatility averaged 9.5%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.6% (HV 20d: 7.9%). Max pain ranged from $53.50 to $54.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.83.

Notable Days

  • 2017-10-09: Highest Volume — 287,809 contracts
  • 2017-10-09: Largest IV spike — 11.0% change
  • 2017-10-30: Highest IV Rank — 42.4%
  • 2017-10-30: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.90$52.66$54.60$53.86$53.10
Max Pain$53.93$53.50$54.00$53.50$54.00
ATM IV9.5%8.5%11.0%9.3%10.6%
Expected Move2.7%2.3%3.3%2.5%3.1%
HV 20d7.9%6.8%9.0%7.4%9.0%
HV 60d7.6%7.3%8.0%7.5%8.0%
IV Rank25.0%12.9%42.4%22.3%38.0%
IV Percentile42.9%10.7%81.3%36.5%75.0%
Term Structure0.0%-0.7%0.5%0.2%0.1%
VWIV10.0%8.7%13.8%9.3%10.7%
Skew 25d2.0%1.4%3.0%1.7%2.3%
Skew 10d4.7%3.3%7.2%3.7%6.5%
Call IV 25d8.8%8.2%9.7%8.9%9.6%
Put IV 25d10.8%9.8%12.7%10.6%11.9%
Bid-Ask Spread %4.692.7612.414.254.61
Gamma HHI0.200.160.260.230.23
Net GEX-33.3M-126.5M14.8M-20.9M-61.9M
Net DEX183.5M15.1M376.6M172.9M340.9M
Net VEX-2.0M-2.5M-1.8M-1.9M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.9010.222.833.38
Total Volume47,637.04512,953287,80925,52326,833
Total OI393,400.591236,914603,519239,538298,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$53.86$53.509.3%2.5%7.4%22.3%9.3%1.7%0.2%-20.9M172.9M-1.9M2.834.256,66318,86079,136160,402
2017-10-03$53.90$53.509.1%2.3%7.4%19.6%10.0%1.6%0.3%-20.5M166.8M-1.9M2.373.6710,03323,76678,076158,838
2017-10-04$54.13$53.509.2%2.3%7.4%21.1%8.7%1.4%0.0%-20.7M138.0M-2.0M0.903.7125,39122,87483,480165,840
2017-10-05$54.34$54.008.8%2.7%7.5%15.8%9.4%1.5%0.1%-11.4M90.2M-2.1M1.204.7812,61715,17992,337170,059
2017-10-06$53.82$54.008.9%2.6%8.0%17.4%9.3%1.7%0.1%-15.0M187.7M-2.0M1.034.5314,41414,89893,310171,021
2017-10-09$53.61$54.009.9%2.7%7.6%29.0%10.3%1.9%-0.3%-19.2M208.8M-2.0M10.224.9625,643262,16692,928170,468
2017-10-10$54.14$54.009.7%2.8%8.6%26.3%9.9%1.8%0.1%-126.5M259.3M-2.5M4.403.5832,572143,355106,018392,050
2017-10-11$54.25$54.009.3%2.7%8.6%21.9%9.7%1.5%0.0%-103.5M159.7M-2.3M2.993.6018,21054,394110,746476,543
2017-10-12$54.45$54.008.9%2.7%8.8%17.3%9.1%1.7%0.5%-54.2M80.6M-2.2M1.364.889,60713,105113,687489,832
2017-10-13$54.55$54.008.7%2.5%8.7%15.1%9.5%1.6%-0.1%-4.6M15.1M-2.1M1.644.109,52515,664109,979490,121
2017-10-16$54.60$54.008.5%2.4%8.7%12.9%8.9%1.9%0.1%1.1M28.0M-2.0M1.153.4911,03612,725106,797467,298
2017-10-17$54.37$54.009.3%2.7%8.8%22.6%9.0%1.9%-0.6%1.2M81.5M-2.0M1.213.0610,18512,362106,632469,325
2017-10-18$54.31$54.009.5%2.7%8.2%24.7%9.5%2.1%-0.7%14.8M77.6M-1.9M4.142.762,96612,280106,872470,381
2017-10-19$53.99$54.009.5%2.7%7.6%24.6%10.4%2.1%-0.2%-22.6M166.8M-1.9M4.524.312,75312,444107,333471,450
2017-10-20$53.86$54.009.4%2.7%7.6%23.3%9.5%2.2%-0.3%-28.6M193.3M-1.9M9.325.153,45632,222107,933471,817
2017-10-23$53.87$54.009.3%2.7%7.2%21.8%9.7%2.1%0.2%-34.3M206.4M-1.9M8.724.783,30628,81484,636184,739
2017-10-24$53.67$54.009.9%2.9%7.2%28.9%10.2%2.4%0.1%-36.5M233.9M-1.8M8.374.423,74431,32285,770185,537
2017-10-25$53.51$54.0010.0%3.0%6.8%30.8%10.3%2.6%0.3%-38.0M270.0M-1.9M2.035.894,2688,68586,979187,254
2017-10-26$53.71$54.0010.3%3.0%6.9%33.5%11.2%2.5%0.1%-39.5M242.2M-1.9M4.4612.414,47019,94388,691187,261
2017-10-27$53.08$54.0010.8%3.2%8.0%40.0%13.8%2.6%0.0%-40.3M340.1M-1.8M2.955.596,89820,34289,741196,720
2017-10-30$52.66$54.0011.0%3.3%8.4%42.4%11.8%3.0%0.2%-51.4M376.6M-1.8M5.064.574,62823,39788,709200,006
2017-10-31$53.10$54.0010.6%3.1%9.0%38.0%10.7%2.3%0.1%-61.9M340.9M-1.8M3.384.616,12720,70689,710208,351