XLP Options History — November 2022

In November 2022, XLP traded between $71.15 and $77.03. ATM implied volatility averaged 17.3%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.9% (HV 20d: 16.5%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.65.

Notable Days

  • 2022-11-14: Highest Volume — 75,829 contracts
  • 2022-11-03: Largest IV drop — 10.2% change
  • 2022-11-02: Highest IV Rank — 69.8%
  • 2022-11-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.95$71.15$77.03$72.57$77.03
Max Pain$72.02$70.00$73.00$70.00$73.00
ATM IV17.3%15.9%20.0%18.3%15.9%
Expected Move5.1%4.4%5.9%5.6%4.8%
HV 20d16.5%13.6%19.4%18.4%14.6%
HV 60d18.9%18.6%19.3%18.6%18.9%
IV Rank49.7%36.3%69.8%58.5%36.3%
IV Percentile48.4%32.9%78.2%59.9%32.9%
Term Structure-0.0%-1.9%0.8%0.3%-0.1%
VWIV18.6%16.2%22.9%21.1%18.0%
Skew 25d3.0%2.2%3.8%2.9%3.1%
Skew 10d5.3%1.1%7.2%5.3%3.7%
Call IV 25d15.9%14.3%17.4%17.3%14.5%
Put IV 25d19.0%17.4%20.7%20.2%17.6%
Bid-Ask Spread %33.783.0069.4913.7113.41
Gamma HHI0.080.060.200.060.09
Net GEX-3.7M-44.1M11.1M-2.3M3.7M
Net DEX-236.5M-468.8M65.4M-119.9M-468.8M
Net VEX-3.0M-3.4M-2.6M-3.3M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.650.5113.833.436.23
Total Volume33,028.09517,68275,82932,91820,436
Total OI468,148.476399,549565,096436,069456,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$72.57$70.0018.3%5.6%18.4%58.5%21.1%2.9%0.3%-2.3M-119.9M-3.3M3.4313.717,43725,481142,594293,475
2022-11-02$71.49$70.5020.0%5.9%19.4%69.8%22.9%3.8%-1.9%-16.9M22.3M-3.4M2.9231.465,54116,201143,408308,078
2022-11-03$71.15$72.0018.0%5.3%18.4%56.1%18.9%2.2%0.4%-17.7M65.4M-3.3M1.6568.488,42813,907144,079309,539
2022-11-04$71.82$72.0017.6%5.2%17.1%53.3%18.1%2.5%0.3%-10.6M-40.3M-3.2M0.8469.4912,08110,194147,370309,444
2022-11-07$72.56$72.0017.8%5.2%17.2%54.1%19.3%2.7%0.4%-2.3M-158.8M-3.1M2.1149.817,71016,258149,177309,277
2022-11-08$72.79$72.0018.3%5.4%17.2%57.0%18.1%2.8%0.6%-1.5M-182.6M-3.1M0.516.9421,73111,154151,136313,335
2022-11-09$71.98$72.0018.3%5.4%17.9%57.0%22.5%2.6%0.8%-10.6M-68.2M-3.1M1.0266.2620,72621,049150,789317,615
2022-11-10$73.53$72.0017.0%5.0%18.7%48.3%19.7%2.8%0.4%1.6M-251.7M-3.1M1.7957.5916,68129,917152,310331,010
2022-11-11$73.61$72.0016.6%4.9%17.2%45.5%17.1%2.7%0.6%11.1M-281.9M-3.0M1.603.1518,35229,307161,562337,497
2022-11-14$73.38$72.0018.0%5.2%17.2%55.2%18.4%3.1%0.0%3.3M-239.8M-3.1M7.6358.198,79167,038168,098350,279
2022-11-15$73.61$72.0017.6%5.1%17.0%52.6%18.3%3.3%0.7%-44.1M-187.7M-3.1M10.3259.396,64968,636169,353395,743
2022-11-16$73.97$72.0017.6%5.1%16.8%52.7%17.9%2.9%0.1%2.8M-337.2M-2.9M4.8453.406,11029,583170,564367,735
2022-11-17$73.67$72.0017.6%5.0%16.0%52.4%17.4%3.1%0.4%-12.0M-244.1M-3.1M1.2512.5013,09216,311171,425382,864
2022-11-18$74.65$72.0016.7%4.7%15.8%45.0%18.5%2.8%0.5%3.5M-447.5M-2.9M2.6561.138,46722,402169,655381,186
2022-11-21$75.36$72.0016.9%4.8%15.1%46.8%16.8%3.2%-0.9%7.7M-331.0M-2.7M2.427.986,04314,600138,007261,542
2022-11-22$75.97$72.0016.0%4.5%14.8%40.0%16.2%3.3%-0.4%10.2M-380.6M-2.6M2.193.336,79914,867138,675264,213
2022-11-23$76.11$72.0016.2%4.4%14.7%39.4%16.2%3.1%-0.8%8.6M-380.7M-2.6M3.6915.335,12718,900140,053267,186
2022-11-25$76.20$73.0015.9%4.5%14.7%37.4%18.3%3.4%-0.8%4.3M-377.1M-2.7M13.837.541,19216,490140,729276,244
2022-11-28$75.95$73.0016.9%5.1%13.6%43.6%18.8%3.4%-0.2%-1.5M-301.8M-2.8M3.743.004,80317,966136,936278,799
2022-11-29$75.63$73.0016.7%5.1%13.6%42.7%17.8%3.5%-0.5%-14.5M-254.1M-2.8M1.9747.339,14917,984140,024293,958
2022-11-30$77.03$73.0015.9%4.8%14.6%36.3%18.0%3.1%-0.1%3.7M-468.8M-2.7M6.2313.412,82717,609148,034308,121