XLP Options History — October 2018

In October 2018, XLP traded between $52.35 and $55.39. ATM implied volatility averaged 14.6%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.5% (HV 20d: 14.1%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.91.

Notable Days

2018-10-12: Highest Volume — 58,415 contracts
2018-10-11: Largest IV spike — 13.3% change
2018-10-29: Highest IV Rank — 72.5%
2018-10-29: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.93	$52.35	$55.39	$53.86	$55.12
Max Pain	$54.33	$54.00	$55.00	$54.50	$54.00
ATM IV	14.6%	11.1%	18.3%	11.1%	16.7%
Expected Move	4.3%	3.2%	5.8%	3.2%	5.4%
HV 20d	14.1%	10.5%	19.5%	10.5%	19.1%
HV 60d	11.4%	9.9%	13.6%	9.9%	13.6%
IV Rank	45.2%	18.9%	72.5%	18.9%	60.1%
IV Percentile	83.5%	45.2%	98.0%	45.2%	94.4%
Term Structure	-0.1%	-1.1%	0.4%	0.4%	-0.2%
VWIV	15.9%	11.2%	23.2%	11.6%	23.1%
Skew 25d	3.5%	2.4%	4.3%	2.4%	4.0%
Skew 10d	7.3%	4.2%	9.7%	4.9%	7.1%
Call IV 25d	13.3%	10.2%	16.6%	10.3%	14.9%
Put IV 25d	16.8%	12.7%	20.8%	12.7%	19.0%
Bid-Ask Spread %	4.66	2.16	8.86	4.50	8.65
Gamma HHI	0.12	0.08	0.20	0.15	0.08
Net GEX	-8.9M	-20.7M	12.2M	-6.2M	12.2M
Net DEX	-6.2M	-260.5M	221.6M	-1.5M	-237.2M
Net VEX	-2.3M	-2.8M	-2.0M	-2.0M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.98	3.53	3.53	3.07
Total Volume	32,879.304	18,017	58,415	25,645	36,694
Total OI	323,301.652	251,933	401,887	251,933	401,887

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-10-01	$53.86	$54.50	11.1%	3.2%	10.5%	18.9%	11.6%	2.4%	0.4%	-6.2M	-1.5M	-2.0M	3.53	4.50	5,658	19,987	96,951	154,982
2018-10-02	$54.19	$54.50	11.3%	3.2%	10.7%	20.8%	11.2%	2.5%	0.2%	-8.2M	-15.8M	-2.0M	2.00	2.89	6,951	13,867	97,514	164,082
2018-10-03	$53.56	$54.50	11.7%	3.4%	10.6%	23.2%	11.8%	2.4%	0.4%	-15.3M	57.9M	-2.1M	1.50	7.32	12,776	19,105	98,924	166,640
2018-10-04	$53.43	$55.00	12.8%	3.9%	10.5%	31.3%	12.9%	2.9%	0.3%	-16.9M	78.1M	-2.1M	1.83	3.81	14,276	26,167	106,063	171,373
2018-10-05	$53.42	$55.00	13.1%	3.9%	10.5%	33.6%	13.7%	3.2%	0.2%	-16.7M	75.1M	-2.1M	1.89	2.93	6,241	11,776	107,417	179,160
2018-10-08	$54.23	$55.00	13.4%	3.8%	11.8%	35.8%	14.1%	3.6%	-0.1%	-7.4M	-19.8M	-2.2M	0.98	2.71	13,418	13,172	107,374	170,295
2018-10-09	$54.10	$55.00	13.2%	3.8%	11.7%	34.7%	13.9%	3.4%	-0.1%	-9.5M	-32.6M	-2.2M	1.63	2.16	7,250	11,837	113,647	175,700
2018-10-10	$53.51	$55.00	14.9%	4.1%	11.4%	47.3%	16.6%	3.7%	-0.6%	-12.5M	39.4M	-2.2M	2.25	4.99	11,406	25,638	115,816	177,009
2018-10-11	$52.35	$55.00	16.9%	4.7%	13.5%	62.0%	15.7%	4.2%	-0.7%	-13.1M	221.6M	-2.2M	2.09	8.86	18,212	38,017	118,550	186,627
2018-10-12	$52.42	$54.00	16.8%	4.8%	13.6%	61.1%	17.0%	4.2%	0.0%	-17.8M	218.0M	-2.3M	2.72	5.14	15,689	42,726	123,873	197,839
2018-10-15	$52.87	$54.00	15.1%	4.3%	14.0%	49.0%	15.7%	3.9%	-0.1%	-20.7M	166.2M	-2.3M	1.46	2.83	14,377	20,994	124,670	201,685
2018-10-16	$53.25	$54.00	14.2%	4.1%	14.4%	41.9%	14.5%	3.4%	-0.1%	-18.1M	114.6M	-2.3M	1.36	3.25	13,568	18,435	129,705	204,335
2018-10-17	$53.45	$54.00	14.5%	4.2%	14.5%	44.4%	15.0%	3.4%	-1.1%	-16.9M	59.9M	-2.3M	1.00	2.87	11,055	11,004	132,658	207,813
2018-10-18	$53.53	$54.00	13.9%	4.0%	13.7%	39.4%	14.7%	3.5%	0.4%	-15.7M	53.2M	-2.3M	1.15	5.35	12,972	14,892	135,118	210,168
2018-10-19	$54.75	$54.00	14.0%	4.0%	16.0%	40.1%	14.6%	3.2%	0.1%	6.1M	-175.9M	-2.3M	1.02	3.51	12,035	12,298	137,702	213,534
2018-10-22	$54.30	$54.00	14.1%	4.2%	15.4%	41.2%	14.6%	3.4%	-0.1%	-6.4M	-53.4M	-2.3M	2.48	3.66	9,091	22,574	128,048	195,614
2018-10-23	$54.53	$54.00	14.6%	4.3%	15.3%	44.6%	15.2%	3.4%	-0.0%	-5.9M	-87.5M	-2.4M	1.39	3.70	10,149	14,097	132,904	204,098
2018-10-24	$55.28	$54.00	15.6%	4.8%	16.0%	52.5%	19.0%	4.3%	-0.1%	-876.3K	-198.1M	-2.5M	2.55	4.76	7,364	18,766	139,026	208,631
2018-10-25	$54.90	$54.00	16.4%	5.1%	16.1%	57.8%	18.3%	3.9%	-0.2%	-5.7M	-147.3M	-2.5M	2.47	5.12	10,280	25,417	141,632	215,490
2018-10-26	$53.82	$54.00	17.8%	5.6%	17.8%	68.8%	23.2%	4.2%	-0.5%	-14.9M	48.1M	-2.7M	1.87	6.29	19,284	35,984	149,409	220,600
2018-10-29	$54.14	$54.00	18.3%	5.8%	17.9%	72.5%	20.8%	4.2%	-0.2%	-2.4M	-45.1M	-2.8M	2.16	7.18	10,444	22,597	155,821	226,703
2018-10-30	$55.39	$54.00	16.5%	5.3%	19.5%	59.0%	19.0%	3.8%	-0.2%	8.4M	-260.5M	-2.6M	1.65	4.73	14,202	23,482	161,923	226,928
2018-10-31	$55.12	$54.00	16.7%	5.4%	19.1%	60.1%	23.1%	4.0%	-0.2%	12.2M	-237.2M	-2.7M	3.07	8.65	9,024	27,670	170,614	231,273