XLP Options History — November 2021

In November 2021, XLP traded between $70.56 and $73.11. ATM implied volatility averaged 10.8%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.8% (HV 20d: 8.0%). Max pain ranged from $69.00 to $71.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.40.

Notable Days

  • 2021-11-30: Highest Volume — 31,915 contracts
  • 2021-11-26: Largest IV spike — 22.6% change
  • 2021-11-30: Highest IV Rank — 50.2%
  • 2021-11-30: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.43$70.56$73.11$71.36$70.56
Max Pain$69.62$69.00$71.00$71.00$71.00
ATM IV10.8%9.6%14.5%10.2%14.5%
Expected Move3.1%2.7%4.5%2.9%4.5%
HV 20d8.0%7.0%12.3%7.3%12.3%
HV 60d9.8%9.5%11.0%9.7%11.0%
IV Rank11.1%0.0%50.2%0.8%50.2%
IV Percentile13.6%0.0%79.0%1.2%79.0%
Term Structure0.2%-0.6%0.8%0.4%-0.0%
VWIV12.2%9.5%17.7%13.7%17.4%
Skew 25d2.5%1.9%3.8%3.0%3.8%
Skew 10d4.7%0.7%6.8%6.1%6.8%
Call IV 25d9.8%8.9%12.7%9.9%12.7%
Put IV 25d12.4%10.8%16.5%12.9%16.5%
Bid-Ask Spread %73.6619.4291.0371.8081.44
Gamma HHI0.140.080.190.100.08
Net GEX24.0M-31.7M42.9M8.6M-31.7M
Net DEX-236.5M-354.6M102.6M-124.3M102.6M
Net VEX-1.6M-1.9M-1.2M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.401.125.051.813.42
Total Volume22,111.76215,49231,91525,48831,915
Total OI366,549.857340,154390,101340,154390,101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$71.36$71.0010.2%2.9%7.3%0.8%13.7%3.0%0.4%8.6M-124.3M-1.7M1.8171.809,07816,410106,926233,228
2021-11-02$71.82$71.0010.2%2.9%7.4%0.6%11.8%2.2%0.4%18.8M-188.5M-1.6M2.1324.086,91214,724108,111234,778
2021-11-03$72.45$71.0010.0%2.8%7.6%0.0%10.6%2.2%0.1%26.4M-266.4M-1.5M2.2770.855,92113,430108,740238,611
2021-11-04$72.41$69.009.6%3.1%7.5%0.0%10.9%2.0%0.4%19.2M-236.1M-1.7M1.1232.6713,26114,860109,798242,086
2021-11-05$73.00$69.009.8%3.0%7.8%1.9%10.7%1.9%0.3%29.4M-327.0M-1.6M2.7687.755,24214,493115,642246,232
2021-11-08$72.43$69.0010.4%3.3%8.5%8.3%10.8%2.3%0.8%26.1M-255.1M-1.6M2.5889.447,12118,341115,813246,820
2021-11-09$72.60$69.0010.8%3.2%8.4%12.3%11.9%2.2%0.1%31.6M-275.0M-1.5M3.4889.575,35318,629115,165247,002
2021-11-10$72.78$69.0010.6%3.1%8.3%10.0%11.7%2.3%0.0%33.5M-311.2M-1.6M2.0072.187,74715,513116,173247,995
2021-11-11$72.86$69.0010.4%3.1%7.7%8.4%13.1%2.3%0.4%30.7M-318.5M-1.6M3.3019.424,26914,093117,595249,736
2021-11-12$72.93$69.0010.2%3.0%7.4%6.2%12.9%2.1%0.5%36.0M-320.5M-1.6M2.9187.924,86414,174118,344252,942
2021-11-15$73.05$69.0010.6%3.1%7.2%9.6%11.3%2.6%0.3%42.9M-354.6M-1.4M2.6787.304,97513,291117,968249,973
2021-11-16$72.88$69.0010.1%2.9%7.3%4.8%10.2%2.3%0.3%30.8M-291.2M-1.6M2.2986.806,38214,635119,411256,663
2021-11-17$72.70$69.009.9%2.8%7.0%3.1%10.8%2.5%0.7%30.2M-293.5M-1.4M1.5785.356,96710,905121,167258,202
2021-11-18$72.27$69.0010.6%3.0%7.4%10.3%10.8%2.7%-0.2%26.6M-226.1M-1.4M1.4691.037,94411,592121,544259,627
2021-11-19$72.05$69.0010.6%3.0%7.1%10.5%10.4%2.1%0.7%17.6M-198.6M-1.4M1.7074.166,75011,480122,214260,270
2021-11-22$72.82$69.0010.3%2.7%7.9%6.7%9.5%2.2%-0.4%33.8M-272.0M-1.2M1.1783.617,1348,358111,843242,711
2021-11-23$73.11$69.0011.1%3.0%7.8%15.2%12.3%2.5%-0.4%36.4M-296.7M-1.4M1.4288.9111,14715,816114,717244,279
2021-11-24$72.82$70.0010.7%3.0%7.6%11.1%11.2%2.5%-0.4%31.3M-268.7M-1.5M1.2187.748,62510,418121,330253,025
2021-11-26$72.00$71.0013.1%3.9%8.8%35.9%17.7%3.2%-0.6%10.2M-68.0M-1.9M4.1449.664,57018,899121,492255,161
2021-11-29$72.23$71.0012.3%3.6%8.9%27.0%17.2%3.6%-0.1%16.2M-176.9M-1.5M5.0585.234,64523,464119,906264,206
2021-11-30$70.56$71.0014.5%4.5%12.3%50.2%17.4%3.8%-0.0%-31.7M102.6M-1.8M3.4281.447,22324,692120,401269,700