XLP Options History — October 2021

In October 2021, XLP traded between $68.94 and $71.58. ATM implied volatility averaged 12.4%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.5% (HV 20d: 10.9%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2021-10-26: Highest Volume — 22,954 contracts
  • 2021-10-14: Largest IV drop — 11.9% change
  • 2021-10-04: Highest IV Rank — 39.7%
  • 2021-10-04: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.43$68.94$71.58$69.08$71.23
Max Pain$70.52$70.00$71.00$71.00$71.00
ATM IV12.4%10.1%16.2%15.0%10.2%
Expected Move3.6%2.9%4.5%4.4%2.9%
HV 20d10.9%7.4%12.5%12.2%7.4%
HV 60d10.0%9.7%10.2%10.1%9.7%
IV Rank14.6%0.0%39.7%32.1%0.4%
IV Percentile32.3%0.0%81.7%69.4%0.4%
Term Structure0.1%-0.4%0.6%0.1%0.5%
VWIV12.6%9.9%15.7%14.4%12.0%
Skew 25d2.9%2.0%4.4%4.2%2.2%
Skew 10d6.7%-0.1%13.9%9.5%3.2%
Call IV 25d11.4%9.0%14.6%13.6%9.0%
Put IV 25d14.3%11.1%19.0%17.8%11.1%
Bid-Ask Spread %28.579.5770.7110.2914.53
Gamma HHI0.090.070.120.090.09
Net GEX1.0M-21.8M16.6M-21.8M15.0M
Net DEX-8.7M-151.4M165.5M165.2M-123.1M
Net VEX-1.9M-2.0M-1.7M-2.0M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.122.780.482.00
Total Volume11,647.6192,62422,9545,46322,322
Total OI310,790.143292,843339,397295,945339,397

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$69.08$71.0015.0%4.4%12.2%32.1%14.4%4.2%0.1%-21.8M165.2M-2.0M0.4810.293,6801,78384,349211,596
2021-10-04$68.94$71.0016.2%4.5%12.1%39.7%15.7%4.4%-0.4%-18.7M165.5M-2.0M0.6428.642,6151,66584,391211,118
2021-10-05$69.28$71.0014.9%4.3%11.9%31.4%14.4%4.1%-0.1%-16.2M133.1M-2.0M1.549.572,9374,51086,611212,371
2021-10-06$69.74$70.0015.4%4.2%11.7%34.3%15.1%4.2%-0.3%-10.4M98.5M-2.0M0.1224.7211,0571,28888,441213,182
2021-10-07$70.17$70.0014.1%4.0%12.0%25.8%13.5%3.7%-0.1%-7.5M50.7M-1.9M0.4519.055,3312,39588,093213,418
2021-10-08$70.08$70.0013.7%3.9%11.9%23.5%13.5%3.8%-0.1%-6.7M7.8M-2.0M0.8970.711,3891,235100,130214,187
2021-10-11$70.08$70.0013.8%4.0%11.9%23.8%13.9%3.7%0.1%-2.4M30.8M-2.0M1.3232.731,3181,74494,998211,418
2021-10-12$69.92$70.0013.5%3.9%11.9%21.9%14.3%3.0%0.2%-3.0M35.9M-1.9M1.4138.012,2443,16496,142211,116
2021-10-13$70.16$70.0013.1%3.8%11.8%18.9%13.1%3.4%0.3%1.0M8.6M-1.8M1.4358.641,3891,98197,006212,315
2021-10-14$70.92$70.0011.5%3.4%12.5%8.6%12.4%2.0%0.4%6.1M-70.5M-1.8M1.1319.092,8253,19898,400214,413
2021-10-15$70.63$70.0011.8%3.4%12.4%10.5%12.2%2.0%0.1%7.2M-42.5M-1.8M2.7342.372,5016,82398,947215,677
2021-10-18$70.44$70.0011.9%3.4%10.2%11.2%12.6%2.2%-0.4%3.8M-24.1M-1.8M2.7830.642,6837,46888,287204,556
2021-10-19$70.33$70.0011.3%3.2%10.2%7.1%12.1%2.2%-0.0%50.6K-1.6M-1.8M1.0819.462,4472,63489,260209,523
2021-10-20$70.88$71.0011.2%3.2%10.6%6.3%11.7%2.5%-0.2%4.5M-41.2M-1.8M1.5214.397,68011,64491,562217,837
2021-10-21$70.78$71.0011.0%3.2%10.5%5.2%11.3%2.2%-0.4%4.1M-39.5M-1.8M2.0321.595,39410,97494,046219,332
2021-10-22$71.34$71.0010.5%3.0%10.8%1.8%11.0%2.2%0.0%13.1M-106.0M-1.7M1.7765.026,50411,48794,873220,277
2021-10-25$71.22$71.0010.7%3.1%10.6%3.3%10.4%2.1%0.3%8.8M-86.6M-1.8M1.1919.7410,41612,41794,973219,913
2021-10-26$71.58$71.0010.3%3.0%9.7%0.6%9.9%2.5%0.4%16.6M-151.4M-1.7M1.9420.457,80115,153100,747221,097
2021-10-27$71.15$71.0010.3%3.0%9.6%0.8%10.7%2.4%0.6%13.9M-101.9M-1.8M1.9627.266,34312,459104,055225,976
2021-10-28$71.18$71.0010.1%2.9%7.4%0.0%10.6%2.2%0.4%14.3M-90.2M-1.8M1.8812.977,54714,155105,317227,246
2021-10-29$71.23$71.0010.2%2.9%7.4%0.4%12.0%2.2%0.5%15.0M-123.1M-1.7M2.0014.537,43614,886108,416230,981