XLP Options History — November 2020

In November 2020, XLP traded between $63.07 and $68.01. ATM implied volatility averaged 16.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.5% (HV 20d: 18.1%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2020-11-03: Highest Volume — 23,634 contracts
  • 2020-11-04: Largest IV drop — 12.3% change
  • 2020-11-02: Highest IV Rank — 29.0%
  • 2020-11-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.26$63.07$68.01$63.07$66.69
Max Pain$63.95$63.00$65.00$64.00$65.00
ATM IV16.6%14.4%24.1%24.1%15.3%
Expected Move4.8%4.1%7.4%7.4%4.4%
HV 20d18.1%14.2%19.7%16.8%14.2%
HV 60d16.8%15.9%17.3%16.1%15.9%
IV Rank15.1%11.1%29.0%29.0%12.7%
IV Percentile44.5%31.3%83.7%83.7%36.5%
Term Structure0.2%-0.8%1.0%-0.1%-0.1%
VWIV17.6%14.1%28.3%28.3%15.4%
Skew 25d3.7%2.8%7.0%7.0%2.8%
Skew 10d7.0%4.7%13.5%13.5%5.0%
Call IV 25d15.2%13.5%21.0%21.0%13.5%
Put IV 25d18.8%16.3%28.0%28.0%16.3%
Bid-Ask Spread %10.544.1040.7910.967.95
Gamma HHI0.100.070.280.070.10
Net GEX3.6M-13.6M29.5M-13.6M2.1M
Net DEX-202.2M-395.7M122.8M122.8M-199.6M
Net VEX-2.0M-2.6M-1.6M-2.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.109.281.971.31
Total Volume7,632.61,19723,63410,2068,237
Total OI338,637.7303,726367,216322,996303,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$63.07$64.0024.1%7.4%16.8%29.0%28.3%7.0%-0.1%-13.6M122.8M-2.6M1.9710.963,4426,764112,421210,575
2020-11-03$64.53$64.0022.0%7.1%18.7%25.1%26.5%6.0%0.4%-9.2M-7.0M-2.5M1.1120.9411,22412,410112,421210,575
2020-11-04$64.47$64.0019.3%6.1%18.3%20.1%21.7%4.6%-0.1%-7.5M-21.3M-2.5M9.2840.791,28111,884121,878221,597
2020-11-05$64.84$63.0018.4%5.4%18.2%18.4%19.3%3.8%0.1%-5.2M-60.5M-2.5M0.1020.358,663860121,620226,049
2020-11-06$65.26$63.0016.9%5.1%18.2%15.6%18.1%3.5%0.5%-3.3M-110.6M-2.3M0.7618.582,5581,935120,925226,016
2020-11-09$65.51$63.0017.0%4.8%17.7%15.8%17.6%2.9%-0.4%-3.7M-149.6M-2.2M1.1415.303,4663,939116,199219,702
2020-11-10$66.33$63.0017.1%5.1%18.3%15.9%17.6%3.1%0.4%-1.5M-215.4M-2.1M1.696.571,2372,096115,930221,246
2020-11-11$66.77$63.0015.2%4.4%18.4%12.4%16.7%2.9%0.3%2.5M-263.8M-2.0M0.849.336,9395,853115,942222,172
2020-11-12$66.31$64.0016.4%4.8%18.6%14.6%17.2%3.6%0.6%-683.1K-222.5M-2.1M0.686.088,4225,689120,690226,007
2020-11-13$67.58$64.0014.9%4.2%19.7%11.9%16.3%3.4%-0.3%10.5M-352.4M-1.9M0.634.978,8035,530126,153229,367
2020-11-16$68.01$64.0014.7%4.2%18.9%11.6%15.5%3.5%0.4%13.6M-395.7M-1.9M0.516.802,8291,439132,267228,936
2020-11-17$67.70$64.0014.4%4.1%19.1%11.1%14.6%3.0%1.0%13.3M-379.6M-1.9M2.734.106751,846133,679229,625
2020-11-18$67.03$64.0015.1%4.3%19.5%12.3%16.0%3.3%0.4%6.9M-316.9M-1.9M1.164.331,0411,212133,796230,457
2020-11-19$66.98$64.0015.0%4.3%19.5%12.2%16.4%3.3%0.7%4.8M-310.1M-1.8M1.644.251,5392,524133,966230,926
2020-11-20$66.67$64.0015.1%4.2%19.6%12.2%14.8%3.1%1.0%3.0M-284.0M-1.9M1.404.381,1581,616134,622232,594
2020-11-23$66.56$64.0015.2%4.3%18.5%12.5%15.4%3.6%0.2%5.9M-191.6M-1.8M6.215.689145,673108,434202,721
2020-11-24$67.01$65.0015.5%4.1%18.6%13.1%15.1%3.3%-0.8%11.7M-234.7M-1.7M1.675.046191,035108,520203,612
2020-11-25$66.98$65.0015.0%4.1%15.3%12.2%14.1%3.1%-0.5%13.6M-231.3M-1.7M0.225.385,0171,086108,729204,317
2020-11-27$66.88$65.0015.2%4.1%15.3%12.4%15.0%3.1%-0.1%29.5M-220.0M-1.7M1.778.97432765109,496204,846
2020-11-30$66.69$65.0015.3%4.4%14.2%12.7%15.4%2.8%-0.1%2.1M-199.6M-1.6M1.317.953,5604,677105,551198,175