XLP Options History — October 2023

In October 2023, XLP traded between $66.19 and $68.35. ATM implied volatility averaged 15.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.1% (HV 20d: 12.1%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.19.

Notable Days

  • 2023-10-11: Highest Volume — 82,906 contracts
  • 2023-10-05: Largest IV spike — 12.9% change
  • 2023-10-26: Highest IV Rank — 61.8%
  • 2023-10-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.39$66.19$68.35$68.30$67.78
Max Pain$68.70$68.00$71.00$71.00$68.00
ATM IV15.2%14.2%16.2%14.3%14.4%
Expected Move4.4%4.1%4.7%4.2%4.4%
HV 20d12.1%9.8%15.0%9.8%14.9%
HV 60d10.3%9.3%11.5%9.3%11.4%
IV Rank47.7%36.5%61.8%37.7%48.9%
IV Percentile71.8%58.3%82.1%59.9%61.9%
Term Structure-0.2%-1.5%0.3%-0.1%0.2%
VWIV15.3%11.4%16.7%13.7%15.4%
Skew 25d3.5%3.1%5.0%4.0%3.1%
Skew 10d7.4%6.5%9.2%8.4%6.6%
Call IV 25d13.7%12.7%14.4%12.7%13.1%
Put IV 25d17.2%16.1%19.0%16.7%16.2%
Bid-Ask Spread %19.613.5256.7311.983.81
Gamma HHI0.130.100.250.140.12
Net GEX-22.4M-54.3M-3.6M-29.8M-8.3M
Net DEX291.2M135.7M522.8M371.8M148.4M
Net VEX-2.5M-2.8M-1.9M-1.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.191.0716.881.541.32
Total Volume38,490.63614,78182,90633,39417,960
Total OI333,287251,480382,330251,480351,855

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$68.30$71.0014.3%4.2%9.8%37.7%13.7%4.0%-0.1%-29.8M371.8M-1.9M1.5411.9813,16420,230102,974148,506
2023-10-03$67.88$71.0015.2%4.4%9.8%43.9%16.1%4.2%-0.3%-26.5M356.5M-2.1M2.4510.3315,03736,853114,780154,048
2023-10-04$68.35$70.5014.2%4.1%10.3%37.0%11.4%3.9%-0.2%-22.4M275.6M-2.1M16.8818.021,87931,715114,400152,053
2023-10-05$67.16$70.0016.1%4.5%11.5%50.1%15.6%3.9%-0.3%-28.7M400.3M-2.0M8.5954.515,93651,004115,392154,911
2023-10-06$66.72$70.0016.2%4.3%11.4%51.2%16.5%5.0%0.1%-54.3M522.8M-2.1M1.8728.0628,32753,012118,789182,349
2023-10-09$66.66$69.0016.0%4.3%10.5%49.6%14.8%3.7%-1.1%-38.4M454.5M-2.2M1.834.9619,65936,016130,672185,596
2023-10-10$67.41$69.0014.2%4.1%11.8%36.5%13.8%3.4%0.3%-32.2M314.5M-2.3M1.9411.5014,42727,993143,045192,691
2023-10-11$67.00$69.0014.4%4.1%11.6%38.7%14.5%3.4%-0.1%-36.8M387.1M-2.3M2.7510.7522,13560,771152,129198,169
2023-10-12$66.19$68.0014.9%4.3%10.7%41.8%14.5%3.3%-0.0%-41.4M489.1M-2.4M1.8715.3820,70938,664166,120203,160
2023-10-13$66.59$68.0015.8%4.5%11.3%48.3%16.7%3.6%-0.1%-21.6M358.5M-2.6M2.307.9815,14434,776180,884201,446
2023-10-16$67.47$68.0015.4%4.4%12.7%45.7%15.5%3.1%-1.0%-13.4M210.5M-2.5M3.683.528,46231,111168,732188,268
2023-10-17$67.65$68.0014.6%4.2%12.8%39.9%15.2%3.6%-0.0%-9.4M196.3M-2.6M4.5156.736,49829,297172,256195,696
2023-10-18$67.98$68.0015.6%4.5%13.0%48.2%16.0%3.3%-0.8%-3.6M135.7M-2.7M3.657.4210,16737,110174,716198,119
2023-10-19$67.53$68.0015.5%4.5%12.7%50.3%16.3%3.5%-0.1%-13.7M221.8M-2.6M2.7719.625,36614,848172,197202,306
2023-10-20$67.32$68.0015.7%4.6%12.6%52.3%16.3%3.6%-1.5%-27.5M265.2M-2.6M2.694.725,89815,869173,681206,753
2023-10-23$67.25$68.0015.4%4.5%12.5%51.5%15.3%3.4%-0.0%-18.0M254.6M-2.6M1.0754.1510,25510,951136,535179,768
2023-10-24$67.80$68.0014.5%4.3%12.9%45.8%15.6%3.3%-0.0%-10.2M170.9M-2.7M1.214.2210,61212,811143,703183,569
2023-10-25$67.93$68.0015.3%4.5%12.5%52.7%15.9%3.2%-0.1%-8.0M150.4M-2.8M1.4853.187,83211,572146,915187,753
2023-10-26$67.53$68.0015.8%4.7%12.5%61.8%15.8%3.2%-0.1%-12.2M198.7M-2.8M2.728.263,96910,812152,517190,257
2023-10-27$66.47$68.0015.8%4.7%13.5%61.8%16.0%3.3%0.1%-25.9M354.7M-2.7M1.8621.366,81712,694156,746191,554
2023-10-30$67.65$68.0015.2%4.7%15.0%55.9%15.8%3.2%0.1%-11.0M169.2M-2.8M1.2120.978,33410,098154,507191,797
2023-10-31$67.78$68.0014.4%4.4%14.9%48.9%15.4%3.1%0.2%-8.3M148.4M-2.8M1.323.817,75510,205159,431192,424