XLP Options History — November 2018

In November 2018, XLP traded between $54.52 and $56.92. ATM implied volatility averaged 15.1%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.7% (HV 20d: 15.8%). Max pain ranged from $54.00 to $54.50. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.61.

Notable Days

  • 2018-11-13: Highest Volume — 66,896 contracts
  • 2018-11-12: Largest IV spike — 17.1% change
  • 2018-11-21: Highest IV Rank — 63.2%
  • 2018-11-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.74$54.52$56.92$55.14$56.23
Max Pain$54.02$54.00$54.50$54.00$54.00
ATM IV15.1%12.7%17.1%15.9%13.6%
Expected Move4.6%4.1%5.1%5.1%4.4%
HV 20d15.8%11.3%19.1%19.0%11.4%
HV 60d13.8%13.5%14.2%13.5%14.0%
IV Rank48.4%30.5%63.2%54.2%37.4%
IV Percentile83.1%62.3%95.2%91.3%70.6%
Term Structure-0.1%-1.3%1.5%-0.1%-0.3%
VWIV17.1%15.0%22.8%20.6%17.3%
Skew 25d3.6%3.0%4.1%3.6%4.0%
Skew 10d7.9%6.1%11.1%10.1%7.8%
Call IV 25d13.5%11.6%15.2%14.6%11.6%
Put IV 25d17.1%14.7%18.7%18.2%15.6%
Bid-Ask Spread %5.502.8214.3412.253.53
Gamma HHI0.110.080.160.090.16
Net GEX-9.1M-37.9M16.2M11.8M-18.9M
Net DEX-108.1M-467.1M314.3M-228.7M-171.4M
Net VEX-2.7M-3.1M-2.2M-2.7M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.611.107.434.122.17
Total Volume38,015.76221,63566,89634,37224,472
Total OI443,795.857389,864500,601403,942500,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$55.14$54.0015.9%5.1%19.0%54.2%20.6%3.6%-0.1%11.8M-228.7M-2.7M4.1212.256,71927,653169,820234,122
2018-11-02$55.01$54.0015.5%4.9%19.1%51.2%17.4%3.4%-0.2%3.9M-214.6M-2.6M2.568.709,84825,193169,957239,251
2018-11-05$55.75$54.0015.8%4.7%18.9%53.8%16.9%3.9%-0.1%11.7M-289.3M-2.5M4.283.847,57132,441159,639230,225
2018-11-06$55.89$54.0014.8%4.5%18.9%46.2%15.2%3.5%-0.1%11.0M-304.6M-2.4M4.493.608,31337,345160,336240,217
2018-11-07$56.40$54.0013.1%4.2%18.4%33.3%15.0%3.1%-0.1%11.8M-384.3M-2.4M6.576.663,96526,038163,308252,129
2018-11-08$56.40$54.0012.7%4.1%16.0%30.5%15.1%3.0%0.1%12.9M-398.8M-2.2M5.3814.343,63719,549163,340252,238
2018-11-09$56.92$54.0013.0%4.1%16.1%32.7%16.6%3.2%0.4%16.2M-467.1M-2.3M3.795.079,42635,756163,386252,282
2018-11-12$56.64$54.0015.2%4.4%16.3%49.2%18.2%3.5%0.0%7.1M-325.9M-2.5M7.435.465,22638,849156,284260,371
2018-11-13$56.31$54.0016.2%5.1%16.6%56.9%18.4%4.1%1.5%-2.2M-202.7M-2.8M2.935.5517,02149,875158,185280,492
2018-11-14$56.00$54.0016.1%5.0%16.9%55.9%22.8%3.3%1.2%-11.6M-90.4M-3.0M1.855.5310,43419,351167,381313,431
2018-11-15$55.78$54.0015.7%4.8%17.0%53.2%17.1%3.8%1.2%-15.0M-40.6M-3.1M3.985.958,09932,206168,136315,806
2018-11-16$56.07$54.0014.6%4.4%15.3%44.6%15.7%3.4%1.3%1.9M-111.8M-3.0M5.333.669,80852,255171,633328,942
2018-11-19$55.85$54.0015.8%4.6%15.0%53.4%16.0%3.8%-1.3%-16.6M-6.7M-2.9M2.314.6213,15430,422147,960267,226
2018-11-20$55.09$54.0017.0%4.9%15.9%62.4%16.7%3.8%-0.9%-23.7M165.5M-3.0M4.933.508,15440,187155,830280,952
2018-11-21$54.52$54.0017.1%4.9%15.5%63.2%17.2%3.4%-1.2%-37.2M314.3M-3.0M3.524.086,08921,464158,679302,894
2018-11-23$54.79$54.0016.6%4.9%15.4%59.4%17.6%3.5%-1.3%-37.9M243.0M-3.0M3.976.275,24420,815160,292301,898
2018-11-26$54.82$54.0015.4%4.7%13.6%50.7%17.1%3.7%-0.5%-36.2M232.3M-2.8M1.102.8211,95513,152156,249298,603
2018-11-27$55.31$54.0014.7%4.6%13.8%45.2%16.5%4.0%-0.2%-31.4M106.3M-2.9M2.123.537,79216,555162,454299,006
2018-11-28$55.71$54.0014.4%4.5%11.4%43.6%16.2%3.6%-0.3%-25.8M3.7M-2.7M1.373.0125,58135,082161,784295,666
2018-11-29$55.98$54.5013.9%4.4%11.3%39.6%15.1%3.2%-0.6%-23.2M-98.5M-2.8M1.573.508,42113,214180,776317,932
2018-11-30$56.23$54.0013.6%4.4%11.4%37.4%17.3%4.0%-0.3%-18.9M-171.4M-2.7M2.173.537,71816,754182,231318,370