XLP Options History — October 2020

In October 2020, XLP traded between $61.91 and $66.51. ATM implied volatility averaged 19.1%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.8% (HV 20d: 14.3%). Max pain ranged from $64.00 to $64.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.84.

Notable Days

  • 2020-10-14: Highest Volume — 18,579 contracts
  • 2020-10-28: Largest IV spike — 22.9% change
  • 2020-10-30: Highest IV Rank — 31.1%
  • 2020-10-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.90$61.91$66.51$64.31$61.91
Max Pain$64.00$64.00$64.00$64.00$64.00
ATM IV19.1%16.9%25.3%17.6%25.3%
Expected Move5.5%4.6%7.6%4.6%7.6%
HV 20d14.3%10.6%19.2%19.2%15.2%
HV 60d14.4%13.9%15.7%14.5%15.7%
IV Rank19.7%15.6%31.1%17.0%31.1%
IV Percentile65.6%50.4%85.7%61.1%85.7%
Term Structure0.1%-1.1%1.9%1.9%-0.6%
VWIV19.7%16.1%28.0%16.6%28.0%
Skew 25d4.6%2.9%7.2%4.0%7.2%
Skew 10d9.0%5.8%16.3%7.4%16.3%
Call IV 25d17.4%15.5%22.7%15.8%22.7%
Put IV 25d22.0%19.2%29.9%19.8%29.9%
Bid-Ask Spread %9.384.7319.488.1811.45
Gamma HHI0.100.070.200.090.08
Net GEX2.3M-16.9M26.1M-3.7M-16.1M
Net DEX-58.9M-245.3M238.8M-28.8M238.8M
Net VEX-2.5M-2.7M-2.4M-2.4M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.1411.051.191.62
Total Volume10,299.6362,65318,5798,23514,938
Total OI315,467.273281,809343,436281,809327,254

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$64.31$64.0017.6%4.6%19.2%17.0%16.6%4.0%1.9%-3.7M-28.8M-2.4M1.198.183,7604,47596,557185,252
2020-10-02$64.24$64.0018.5%4.9%17.4%18.5%16.1%4.0%1.9%-3.7M-20.4M-2.4M1.6210.223,4465,57898,886188,348
2020-10-05$64.45$64.0019.6%5.8%17.4%20.6%18.5%4.6%0.5%-1.9M-33.5M-2.4M0.147.3514,5762,07196,085188,467
2020-10-06$64.10$64.0020.3%5.9%16.0%21.9%19.7%4.1%-1.1%-2.0M-16.8M-2.5M0.898.789,0188,011108,177188,398
2020-10-07$64.85$64.0019.5%5.6%15.4%20.4%20.3%4.0%0.0%3.1M-74.5M-2.6M0.5119.487,8453,962112,893192,812
2020-10-08$65.24$64.0018.2%5.3%14.7%18.1%20.2%4.1%0.6%8.1M-117.8M-2.6M3.0913.952,8338,740117,942196,048
2020-10-09$65.76$64.0017.3%5.0%14.9%16.4%17.9%4.1%0.7%10.3M-157.2M-2.6M1.0112.554,0574,108119,347203,107
2020-10-12$66.49$64.0017.1%5.1%15.1%16.0%16.2%4.7%0.6%13.3M-226.7M-2.5M0.348.289,1033,056119,261203,879
2020-10-13$66.51$64.0017.7%4.9%15.0%17.0%18.1%4.3%-1.0%14.4M-222.2M-2.4M1.1514.964,4965,182119,027204,073
2020-10-14$66.13$64.0017.4%5.1%15.2%16.5%18.6%2.9%0.7%12.3M-182.7M-2.5M0.3814.1213,4685,111120,427207,614
2020-10-15$66.22$64.0017.4%5.2%14.3%16.5%16.8%4.0%1.1%22.3M-214.1M-2.5M0.219.139,9152,042127,992208,643
2020-10-16$66.26$64.0016.9%5.0%14.1%15.6%18.0%3.6%1.0%26.1M-245.3M-2.6M0.804.734,6653,755133,659209,777
2020-10-19$65.31$64.0017.8%5.1%13.0%17.3%18.5%4.2%-0.5%6.7M-92.5M-2.5M1.365.692,0702,805113,153198,038
2020-10-20$65.47$64.0017.9%5.1%12.4%17.6%18.2%4.4%-0.1%8.5M-104.3M-2.4M2.576.841,6934,344114,382199,590
2020-10-21$65.41$64.0018.2%5.2%10.6%18.1%18.7%4.6%-0.6%3.9M-81.6M-2.5M11.056.854905,415115,150203,346
2020-10-22$65.33$64.0017.9%5.2%10.6%17.5%18.8%4.9%-0.3%-324.3K-56.6M-2.5M1.235.841,1901,463115,612206,259
2020-10-23$65.40$64.0017.6%5.1%10.6%16.9%18.6%4.8%-0.5%301.3K-60.7M-2.5M1.744.891,8073,139115,827207,186
2020-10-26$64.31$64.0019.7%5.8%11.6%20.8%22.4%5.3%-0.1%-9.1M25.8M-2.5M2.777.492,8087,789106,768204,384
2020-10-27$64.47$64.0019.9%5.8%11.5%21.1%21.5%5.4%-0.1%-10.0M15.7M-2.6M2.706.782,2666,124108,495208,135
2020-10-28$62.78$64.0024.4%7.1%14.8%29.6%26.3%6.3%-0.8%-15.5M172.7M-2.7M3.4810.851,4495,039110,256213,156
2020-10-29$62.74$64.0023.8%7.2%14.6%28.5%25.3%6.8%-0.2%-16.9M187.2M-2.7M0.687.9411,0377,453110,693215,925
2020-10-30$61.91$64.0025.3%7.6%15.2%31.1%28.0%7.2%-0.6%-16.1M238.8M-2.7M1.6211.455,7039,235113,250214,004