XLP Options History — October 2019

In October 2019, XLP traded between $60.10 and $61.44. ATM implied volatility averaged 12.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.1% (HV 20d: 10.9%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.04.

Notable Days

  • 2019-10-08: Highest Volume — 54,566 contracts
  • 2019-10-02: Largest IV spike — 22.2% change
  • 2019-10-02: Highest IV Rank — 48.1%
  • 2019-10-02: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.85$60.10$61.44$61.18$60.95
Max Pain$61.00$61.00$61.00$61.00$61.00
ATM IV12.0%9.8%16.1%13.2%10.6%
Expected Move3.4%2.7%4.6%3.7%3.0%
HV 20d10.9%8.7%11.9%8.7%8.8%
HV 60d12.9%11.4%13.5%12.6%11.4%
IV Rank19.5%4.6%48.1%27.8%10.1%
IV Percentile35.0%4.4%86.1%56.7%18.3%
Term Structure0.1%-0.6%0.8%0.1%0.2%
VWIV12.2%9.1%15.6%12.5%9.6%
Skew 25d3.9%3.0%5.6%4.3%3.7%
Skew 10d7.8%5.5%12.3%8.3%6.4%
Call IV 25d10.2%8.6%13.4%11.0%9.1%
Put IV 25d14.1%11.8%18.7%15.3%12.7%
Bid-Ask Spread %3.982.0820.552.392.66
Gamma HHI0.140.110.220.140.11
Net GEX-10.0M-61.3M23.3M9.9M-1.8M
Net DEX-96.5M-324.0M147.6M-175.9M-100.8M
Net VEX-3.0M-3.4M-2.7M-3.3M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.415.100.960.41
Total Volume22,049.2174,25554,56613,67910,930
Total OI466,462.391410,590522,862410,590461,619

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$61.18$61.0013.2%3.7%8.7%27.8%12.5%4.3%0.1%9.9M-175.9M-3.3M0.962.396,9886,691180,134230,456
2019-10-02$60.10$61.0016.1%4.6%10.1%48.1%15.5%5.4%-0.0%-8.0M64.7M-3.3M1.642.6413,85022,763185,917235,018
2019-10-03$60.45$61.0014.5%4.4%10.4%37.0%15.0%5.2%0.1%-8.6M5.0M-3.3M1.222.9316,35419,974191,376243,965
2019-10-04$61.33$61.0012.6%3.9%11.6%24.1%14.3%4.7%0.4%15.9M-259.1M-3.4M2.652.682,6376,982202,110253,509
2019-10-07$60.92$61.0013.7%4.0%11.9%31.7%13.8%4.6%0.3%4.1M-133.9M-3.3M1.102.085,5006,056201,688252,678
2019-10-08$60.44$61.0015.8%4.6%11.7%46.3%15.1%5.6%-0.1%-9.7M2.1M-3.3M1.654.0920,62333,943205,823256,614
2019-10-09$60.78$61.0014.4%4.1%11.7%36.0%15.6%5.3%-0.1%-11.4M-66.4M-3.4M4.1920.552,2199,303207,271273,243
2019-10-10$60.90$61.0013.9%4.0%11.5%33.1%14.9%4.7%0.2%-12.8M-92.4M-3.3M2.492.754,68311,639208,586278,986
2019-10-11$60.97$61.0012.8%3.6%11.4%25.3%12.6%4.0%-0.1%-57.1M-116.6M-3.2M1.3912.5812,53617,441208,304286,056
2019-10-14$60.53$61.0012.3%3.5%11.1%21.4%13.0%4.0%0.8%-34.9M17.5M-3.1M2.052.275,20910,693199,936274,851
2019-10-15$60.34$61.0011.4%3.3%11.0%15.4%11.1%3.1%-0.1%-56.6M104.0M-2.9M2.503.1715,49238,807200,735280,434
2019-10-16$60.27$61.0011.3%3.2%11.0%14.9%11.4%3.3%-0.0%-61.3M147.6M-3.0M3.822.973,66614,021212,421296,325
2019-10-17$60.69$61.0010.3%2.9%11.3%7.9%11.3%3.2%0.8%-29.1M-37.8M-2.9M2.143.5614,25430,544210,125290,386
2019-10-18$60.84$61.0010.2%2.9%11.2%7.1%11.6%3.3%0.5%-9.9M-86.2M-3.0M0.982.478,1097,952216,767306,095
2019-10-21$60.91$61.0010.4%2.9%11.1%8.7%11.1%3.6%-0.2%-553.2K-156.1M-2.8M4.922.312,95914,567190,625250,168
2019-10-22$60.94$61.0010.6%2.9%11.1%9.9%10.2%3.0%-0.6%-17.7M-150.9M-2.9M2.263.134,47510,101191,588268,844
2019-10-23$61.24$61.0010.7%3.0%11.2%10.4%10.3%3.6%-0.1%-2.2M-231.6M-2.9M0.872.8311,52010,060193,168274,335
2019-10-24$61.44$61.009.8%2.7%11.1%4.6%9.1%3.1%-0.1%23.3M-324.0M-2.9M0.642.676,9694,486200,944280,860
2019-10-25$61.16$61.0010.2%2.8%11.1%7.1%10.0%3.2%-0.0%19.2M-251.6M-2.9M1.072.5310,12610,847203,635282,809
2019-10-28$60.90$61.0010.2%2.9%11.0%7.4%10.6%3.1%0.3%-1.4M-94.0M-2.7M5.102.622,11910,811191,649249,657
2019-10-29$60.94$61.0010.1%2.8%10.9%6.5%10.5%3.0%0.4%1.1M-102.1M-2.8M1.532.561,6792,576191,675257,198
2019-10-30$61.22$61.0010.4%3.0%8.8%8.2%10.7%3.1%0.7%19.0M-182.1M-2.8M1.353.0810,20813,770192,043258,009
2019-10-31$60.95$61.0010.6%3.0%8.8%10.1%9.6%3.7%0.2%-1.8M-100.8M-2.8M0.412.667,7423,188198,574263,045