XLP Options History — October 2022

In October 2022, XLP traded between $66.47 and $73.19. ATM implied volatility averaged 21.2%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.5% (HV 20d: 20.7%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.61.

Notable Days

  • 2022-10-10: Highest Volume — 119,643 contracts
  • 2022-10-06: Largest IV spike — 6.9% change
  • 2022-10-12: Highest IV Rank — 90.1%
  • 2022-10-11: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.12$66.47$73.19$67.89$72.86
Max Pain$69.40$69.00$72.00$72.00$69.50
ATM IV21.2%18.9%23.1%21.4%18.9%
Expected Move6.2%5.7%6.6%6.3%5.9%
HV 20d20.7%18.6%22.5%21.7%18.6%
HV 60d17.4%16.1%18.5%16.1%18.5%
IV Rank77.5%62.3%90.1%79.2%62.3%
IV Percentile86.5%64.7%98.4%92.9%64.7%
Term Structure-0.3%-1.2%0.2%-0.3%0.2%
VWIV22.5%20.4%25.4%21.5%21.7%
Skew 25d4.2%3.0%5.0%4.5%3.1%
Skew 10d8.0%3.9%12.0%9.1%7.6%
Call IV 25d19.5%17.6%21.2%19.5%17.6%
Put IV 25d23.7%20.6%26.0%23.9%20.7%
Bid-Ask Spread %24.063.7259.5714.2516.16
Gamma HHI0.100.070.130.130.07
Net GEX-31.1M-57.2M7.4M-46.7M4.7M
Net DEX295.5M-267.1M748.0M533.1M-219.6M
Net VEX-3.1M-3.4M-2.9M-3.2M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.611.2923.201.919.47
Total Volume32,553.52416,625119,64326,44761,024
Total OI422,219.667378,266468,435405,752405,595

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$67.89$72.0021.4%6.3%21.7%79.2%21.5%4.5%-0.3%-46.7M533.1M-3.2M1.9114.259,08317,364142,532263,220
2022-10-04$68.82$71.5020.0%5.9%22.5%69.8%21.5%4.5%-0.0%-45.5M407.7M-3.3M2.413.726,65416,048142,795264,096
2022-10-05$68.65$71.5020.1%5.9%21.6%70.6%21.8%4.3%0.0%-45.4M423.7M-3.2M3.644.046,01221,858143,849265,799
2022-10-06$67.57$69.0021.5%5.9%22.0%79.8%24.0%4.5%-0.3%-51.9M591.4M-3.1M2.2849.157,01916,010145,152275,146
2022-10-07$66.47$69.0021.9%6.3%21.3%82.2%24.1%4.7%-0.3%-57.2M748.0M-2.9M2.895.477,11020,561147,584278,144
2022-10-10$66.81$69.0022.2%6.3%21.5%84.2%25.4%4.9%-0.1%-53.5M686.3M-2.9M23.205.644,943114,700143,900275,804
2022-10-11$67.36$69.0022.7%6.6%18.7%87.9%24.3%4.8%0.2%-47.6M547.7M-3.1M2.697.8311,24830,245144,207287,926
2022-10-12$67.83$69.0023.1%6.5%19.0%90.1%22.0%4.8%-0.2%-45.4M487.8M-3.4M2.068.386,82214,075150,805295,060
2022-10-13$68.75$69.0022.8%6.4%19.8%88.4%22.2%5.0%-0.5%-39.9M345.4M-3.4M3.297.879,56631,474154,843296,373
2022-10-14$67.60$69.0022.9%6.5%20.5%89.2%22.6%4.7%-0.6%-40.3M470.6M-3.2M1.7952.0910,62119,053154,880285,938
2022-10-17$68.39$69.0022.6%6.5%21.1%87.3%21.5%4.7%-1.2%-38.2M356.0M-3.2M1.2950.469,29312,008155,326283,595
2022-10-18$69.02$69.0021.9%6.3%21.4%82.7%22.8%4.3%-0.8%-33.5M272.2M-3.2M1.8812.567,58514,246159,225287,816
2022-10-19$68.77$69.0021.7%6.2%21.5%81.1%22.5%4.1%-0.8%-37.9M308.7M-3.1M2.8430.957,29320,734160,841293,970
2022-10-20$67.90$69.0021.4%6.2%21.8%79.0%23.9%4.3%-0.8%-54.2M447.9M-3.0M3.0451.398,09224,631160,793294,412
2022-10-21$68.97$69.0021.0%6.1%21.2%76.1%22.3%3.9%-0.7%-16.5M271.0M-3.1M1.7159.577,23412,361162,921305,514
2022-10-24$70.17$69.0020.9%6.2%22.0%75.8%23.0%4.0%-0.1%-8.8M60.6M-3.0M1.4131.346,9129,713134,427243,839
2022-10-25$71.11$69.0019.7%5.9%21.0%67.5%20.4%3.7%-0.1%-3.0M-48.9M-3.0M1.4418.947,85111,295136,580243,929
2022-10-26$71.61$69.0019.7%5.9%20.4%67.4%22.0%3.2%-0.2%-309.4K-104.4M-2.9M1.6433.799,34615,371138,053247,608
2022-10-27$71.83$69.0019.3%5.9%18.8%64.7%21.8%3.1%0.0%1.1M-112.9M-3.0M2.3117.725,72113,237142,726251,840
2022-10-28$73.19$69.0018.9%5.7%18.6%62.6%21.3%3.0%0.1%7.4M-267.1M-2.9M2.6824.0310,64828,563143,912255,638
2022-10-31$72.86$69.5018.9%5.9%18.6%62.3%21.7%3.1%0.2%4.7M-219.6M-2.9M9.4716.165,82955,195142,195263,400