XLP Options History — November 2019

In November 2019, XLP traded between $60.41 and $62.01. ATM implied volatility averaged 10.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.1% (HV 20d: 7.7%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2019-11-08: Highest Volume — 68,335 contracts
  • 2019-11-13: Largest IV drop — 10.9% change
  • 2019-11-21: Highest IV Rank — 17.2%
  • 2019-11-04: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.22$60.41$62.01$61.12$61.91
Max Pain$61.00$61.00$61.00$61.00$61.00
ATM IV10.8%9.9%11.7%10.3%10.3%
Expected Move3.3%2.8%3.8%2.8%3.2%
HV 20d7.7%7.0%8.2%7.2%7.9%
HV 60d9.9%9.0%11.4%11.1%9.0%
IV Rank11.2%5.1%17.2%7.9%7.6%
IV Percentile21.6%6.0%40.9%11.5%12.3%
Term Structure0.2%-0.6%1.7%-0.2%-0.2%
VWIV11.9%9.5%13.4%11.0%11.1%
Skew 25d2.7%1.7%3.7%2.9%1.7%
Skew 10d5.7%3.7%8.7%5.9%4.4%
Call IV 25d9.3%8.6%10.0%8.7%9.1%
Put IV 25d12.0%10.6%13.3%11.7%10.8%
Bid-Ask Spread %4.172.0911.382.493.09
Gamma HHI0.150.120.210.120.19
Net GEX22.6M-21.1M59.8M8.0M55.8M
Net DEX-179.4M-386.0M17.5M-183.5M-369.3M
Net VEX-2.4M-2.8M-2.0M-2.8M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.344.301.560.80
Total Volume16,016.452,24168,33517,6122,241
Total OI437,148.95390,889478,457462,504424,063

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$61.12$61.0010.3%2.8%7.2%7.9%11.0%2.9%-0.2%8.0M-183.5M-2.8M1.562.496,88210,730198,323264,181
2019-11-04$60.41$61.0011.3%3.8%7.9%14.6%13.4%3.2%0.6%-5.0M17.5M-2.7M4.302.585,18522,280192,846240,875
2019-11-05$60.72$61.0011.1%3.4%7.6%13.4%12.9%3.5%0.5%2.5M-48.7M-2.7M1.413.983,3834,766194,598251,802
2019-11-06$60.93$61.0010.4%3.4%7.5%8.5%12.5%3.4%0.5%14.5M-120.0M-2.7M3.202.541,3104,197196,687253,736
2019-11-07$60.72$61.0010.9%3.4%7.5%11.7%12.9%3.0%0.7%18.5M-56.6M-2.7M1.7411.384,7378,222197,107255,418
2019-11-08$60.68$61.0010.8%3.3%7.5%11.4%12.2%2.7%1.4%2.9M-53.6M-2.6M2.053.7722,41345,922199,331257,749
2019-11-11$60.65$61.0011.0%3.4%7.1%12.5%12.5%3.5%0.3%-21.1M12.9M-2.7M1.602.092,1133,375201,705271,428
2019-11-12$60.75$61.0011.3%3.4%7.0%15.0%12.5%3.7%0.3%-10.3M-30.8M-2.7M0.872.7518,20215,842202,327271,753
2019-11-13$61.41$61.0010.1%3.4%7.9%6.4%12.3%3.2%1.7%37.7M-268.5M-2.6M1.723.782,9255,037202,637270,862
2019-11-14$61.25$61.0010.6%3.4%7.6%9.9%12.0%2.6%1.0%49.8M-235.5M-2.5M1.153.023,8644,460204,788272,511
2019-11-15$61.20$61.0010.2%3.2%7.6%6.8%11.4%1.8%1.1%59.2M-236.1M-2.4M0.805.172,1571,717204,899273,558
2019-11-18$61.64$61.0011.0%3.2%8.0%12.4%11.5%2.2%-0.6%21.4M-246.8M-2.3M2.773.617,16519,879175,152230,853
2019-11-19$61.58$61.0011.4%3.3%8.0%15.1%11.1%2.3%-0.5%26.0M-240.6M-2.3M0.683.212,0421,385179,717224,947
2019-11-20$61.70$61.0011.6%3.3%7.9%16.9%12.2%2.5%-0.5%31.1M-268.1M-2.3M2.035.561,9233,903180,073225,378
2019-11-21$61.35$61.0011.7%3.4%8.1%17.2%12.3%2.9%-0.6%23.4M-192.9M-2.2M0.734.7614,04810,190181,154225,986
2019-11-22$61.28$61.0011.2%3.3%7.9%13.9%12.2%3.0%-0.5%11.2M-170.0M-2.1M1.936.002,3524,551168,012233,639
2019-11-25$61.33$61.0010.8%3.2%7.7%11.1%11.5%2.4%-0.2%26.1M-197.8M-2.0M0.665.2211,2177,420167,227223,662
2019-11-26$61.80$61.0010.0%3.0%8.2%5.5%9.5%2.0%-0.1%39.6M-313.8M-2.0M0.344.1217,7686,075174,180229,024
2019-11-27$62.01$61.009.9%3.0%8.1%5.1%10.5%2.0%-0.2%59.8M-386.0M-2.1M1.324.243,6414,810190,086230,705
2019-11-29$61.91$61.0010.3%3.2%7.9%7.6%11.1%1.7%-0.2%55.8M-369.3M-2.1M0.803.091,245996191,779232,284