XLP Options History — November 2017

In November 2017, XLP traded between $52.58 and $56.08. ATM implied volatility averaged 10.4%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.0% (HV 20d: 10.4%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2017-11-03: Highest Volume — 59,204 contracts
  • 2017-11-22: Largest IV drop — 12.6% change
  • 2017-11-15: Highest IV Rank — 72.8%
  • 2017-11-15: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.33$52.58$56.08$53.26$56.08
Max Pain$54.95$54.00$55.00$54.00$55.00
ATM IV10.4%9.0%12.5%10.1%9.7%
Expected Move3.2%2.9%3.6%3.0%3.3%
HV 20d10.4%8.2%12.0%9.0%10.6%
HV 60d8.8%8.0%9.5%8.0%9.3%
IV Rank40.2%23.5%72.8%31.9%34.4%
IV Percentile67.4%23.4%95.2%66.7%55.6%
Term Structure0.1%-0.7%1.5%0.3%-0.1%
VWIV11.7%10.0%13.8%10.8%11.8%
Skew 25d2.3%1.8%2.9%2.8%2.1%
Skew 10d5.0%3.0%6.3%6.2%4.7%
Call IV 25d9.5%7.9%11.4%9.4%8.6%
Put IV 25d11.8%10.0%13.9%12.2%10.7%
Bid-Ask Spread %5.833.5912.3612.368.81
Gamma HHI0.180.120.460.240.17
Net GEX-23.3M-101.3M13.6M-57.0M13.6M
Net DEX88.1M-258.5M417.1M299.7M-258.5M
Net VEX-2.0M-2.3M-1.8M-1.8M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.417.561.151.87
Total Volume24,801.66711,69859,20413,50834,014
Total OI346,395.952298,832383,637298,832375,411

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$53.26$54.0010.1%3.0%9.0%31.9%10.8%2.8%0.3%-57.0M299.7M-1.8M1.1512.366,2767,23291,859206,973
2017-11-02$53.14$55.0010.5%3.3%8.8%36.0%11.7%2.3%0.3%-68.8M304.5M-1.8M3.935.207,49929,48894,256205,651
2017-11-03$53.10$55.0010.1%3.3%8.2%31.7%13.8%2.5%0.2%-101.3M293.9M-1.8M7.565.696,91652,28897,143205,223
2017-11-06$52.58$55.0010.4%3.2%8.8%35.2%11.9%2.5%0.7%-59.1M417.1M-1.8M2.624.695,88615,44397,080224,002
2017-11-07$53.13$55.0010.3%3.3%8.9%34.4%13.4%2.3%1.1%-47.2M316.2M-1.9M4.643.715,11723,75497,771224,197
2017-11-08$53.69$55.0010.9%3.2%9.7%41.5%11.9%1.9%0.9%-36.5M228.7M-2.0M1.643.9310,45317,18098,449237,456
2017-11-09$53.76$55.0010.6%3.4%9.6%37.1%12.3%2.2%1.1%-36.6M205.7M-2.1M3.465.344,08614,125104,299244,408
2017-11-10$54.31$55.0011.0%3.4%10.3%42.3%12.5%1.8%1.5%-25.1M112.6M-2.3M4.044.635,75823,265109,466253,307
2017-11-13$54.58$55.0011.5%3.4%10.5%48.6%12.5%2.1%-0.4%-19.4M67.8M-2.1M2.274.737,48517,026103,897247,910
2017-11-14$54.78$55.0011.6%3.4%10.4%49.2%12.7%2.6%-0.5%-15.8M27.6M-2.1M2.754.525,73215,791107,067249,553
2017-11-15$54.17$55.0012.5%3.6%11.2%72.8%12.6%2.9%-0.6%-28.4M130.5M-2.1M1.8910.5510,26319,386108,245249,659
2017-11-16$54.92$55.0011.7%3.4%12.0%64.9%11.7%2.4%-0.7%-1.2M-26.2M-2.1M0.414.0221,8579,016113,003253,036
2017-11-17$54.74$55.0011.1%3.2%12.0%55.1%11.2%2.2%0.3%-751.3K-28.3M-2.2M0.855.3210,6169,072128,891254,746
2017-11-20$54.72$55.0010.9%3.2%12.0%52.1%10.4%2.4%-0.6%-2.6M4.3M-2.1M1.004.129,3689,411116,644224,898
2017-11-21$54.90$55.0010.5%3.2%12.0%45.9%11.6%2.4%-0.4%3.4M-39.0M-2.1M1.444.849,00713,009121,413227,107
2017-11-22$54.78$55.009.2%2.9%11.9%26.0%10.3%1.8%-0.6%-6.8M21.0M-2.0M2.036.565,40710,980125,486232,914
2017-11-24$54.77$55.009.0%3.0%11.9%24.3%11.2%2.3%-0.2%-7.1M637.5K-2.0M2.966.483,40710,094126,195233,989
2017-11-27$54.84$55.009.0%3.0%10.9%23.5%10.0%1.9%-0.4%-10.7M11.2M-2.0M1.633.595,7269,345123,933235,107
2017-11-28$55.21$55.009.2%3.0%10.4%26.5%10.1%2.1%0.2%5.8M-96.2M-1.9M2.135.323,7377,961126,605234,410
2017-11-29$55.52$55.009.4%3.3%10.3%29.7%11.5%2.3%0.1%12.6M-142.4M-1.9M1.958.019,62218,737127,301235,355
2017-11-30$56.08$55.009.7%3.3%10.6%34.4%11.8%2.1%-0.1%13.6M-258.5M-1.8M1.878.8111,87122,143129,769245,642