XLP Options History — November 2023

In November 2023, XLP traded between $67.94 and $70.56. ATM implied volatility averaged 11.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.2% (HV 20d: 11.9%). Max pain ranged from $68.00 to $69.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2023-11-27: Highest Volume — 35,285 contracts
  • 2023-11-10: Largest IV drop — 8.1% change
  • 2023-11-01: Highest IV Rank — 41.2%
  • 2023-11-01: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.48$67.94$70.56$67.94$70.44
Max Pain$68.90$68.00$69.00$68.00$69.00
ATM IV11.7%10.3%13.6%13.6%10.3%
Expected Move3.3%2.8%4.1%4.1%2.9%
HV 20d11.9%8.5%14.7%14.7%9.6%
HV 60d11.7%11.4%11.9%11.4%11.9%
IV Rank29.4%15.1%41.2%41.2%15.1%
IV Percentile34.4%14.7%53.2%53.2%14.7%
Term Structure0.1%-0.5%1.3%0.2%-0.0%
VWIV11.6%10.1%13.7%13.4%10.1%
Skew 25d2.3%1.9%2.8%2.8%2.0%
Skew 10d5.0%4.0%6.2%5.6%4.6%
Call IV 25d10.6%9.2%12.3%12.3%9.2%
Put IV 25d12.9%11.2%15.1%15.1%11.2%
Bid-Ask Spread %14.081.9676.3743.524.07
Gamma HHI0.130.100.180.110.16
Net GEX13.6M-8.0M34.1M-3.2M34.1M
Net DEX-82.0M-318.6M120.7M120.7M-172.7M
Net VEX-2.8M-3.0M-2.6M-2.7M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.476.131.843.29
Total Volume20,376.0959,00535,28520,20121,909
Total OI379,177.905345,311432,255358,594386,653

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$67.94$68.0013.6%4.1%14.7%41.2%13.4%2.8%0.2%-3.2M120.7M-2.7M1.8443.527,12413,077165,057193,537
2023-11-02$68.68$68.0012.9%3.7%13.7%35.5%12.7%2.6%0.2%10.8M-11.4M-2.8M1.027.969,3399,488169,856194,509
2023-11-03$68.87$69.0012.2%3.5%13.4%29.1%12.1%2.2%0.3%19.6M-59.9M-2.8M1.6535.107,53812,400174,108195,374
2023-11-06$68.90$69.0012.3%3.6%13.4%36.0%11.9%2.5%0.1%15.1M-58.2M-2.8M2.026.076,28812,729171,072198,658
2023-11-07$69.12$69.0012.3%3.6%12.9%35.2%13.7%2.5%0.2%16.0M-90.9M-2.7M2.853.984,56112,986169,755205,064
2023-11-08$68.81$69.0012.0%3.5%12.8%32.7%11.6%2.4%0.0%8.9M-11.8M-2.8M1.552.567,35411,397172,380215,337
2023-11-09$68.52$69.0012.5%3.5%12.0%38.0%12.8%2.4%-0.3%-169.2K49.4M-2.8M6.135.092,89517,746173,595215,688
2023-11-10$68.97$69.0011.5%3.3%12.0%26.8%12.3%2.3%0.1%17.4M-40.2M-2.7M1.982.447,23914,318174,104225,197
2023-11-13$69.27$69.0011.7%3.4%11.3%29.8%12.1%2.3%0.4%17.4M-91.2M-2.6M3.952.152,1208,382173,586220,170
2023-11-14$69.97$69.0011.5%3.3%11.7%27.6%11.4%2.2%0.6%30.1M-232.7M-2.6M1.5843.3810,83817,141174,264223,936
2023-11-15$70.41$69.0011.8%3.4%11.8%30.9%11.7%1.9%0.5%21.0M-318.6M-2.6M1.032.4615,94016,473177,578238,454
2023-11-16$69.53$69.0011.3%3.2%12.5%26.1%10.8%2.1%1.3%-2.7M-78.1M-2.8M0.8110.7912,98410,549180,486250,469
2023-11-17$69.44$69.0011.7%3.3%12.4%31.1%11.4%2.3%0.2%10.1M-47.2M-2.8M0.711.9615,08210,699183,270248,985
2023-11-20$69.53$69.0011.7%3.1%12.4%31.6%10.9%2.3%-0.5%-8.0M8.9M-2.8M1.715.204,0326,885164,474182,575
2023-11-21$69.62$69.0011.6%3.0%12.1%30.0%10.8%2.4%-0.4%-3.5M-25.2M-2.7M2.6976.377,15619,229165,803179,906
2023-11-22$70.13$69.0011.2%2.9%12.3%26.0%10.3%2.7%-0.4%11.9M-123.0M-2.8M2.852.923,3869,645169,769182,365
2023-11-24$70.31$69.0010.7%2.8%12.0%19.9%10.2%2.5%-0.5%20.6M-155.7M-2.8M3.882.841,8447,161170,708184,130
2023-11-27$70.25$69.0011.4%3.1%10.1%27.8%10.6%2.3%-0.3%21.1M-116.2M-2.8M0.474.7023,97111,314166,831178,480
2023-11-28$70.56$69.0011.0%3.1%8.5%23.8%11.0%2.4%-0.1%29.6M-194.3M-2.9M2.565.012,7256,974188,687183,705
2023-11-29$69.90$69.0011.0%3.1%9.4%23.7%10.7%2.2%-0.4%18.7M-74.0M-2.9M1.3227.1910,79014,190188,902185,259
2023-11-30$70.44$69.0010.3%2.9%9.6%15.1%10.1%2.0%-0.0%34.1M-172.7M-3.0M3.294.075,11316,796198,374188,279