XLP Options History — October 2024

In October 2024, XLP traded between $80.22 and $82.84. ATM implied volatility averaged 13.2%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.6% (HV 20d: 8.6%). Max pain ranged from $82.50 to $83.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 4.87.

Notable Days

  • 2024-10-17: Highest Volume — 47,821 contracts
  • 2024-10-10: Largest IV spike — 19.5% change
  • 2024-10-29: Highest IV Rank — 73.6%
  • 2024-10-31: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.52$80.22$82.84$82.84$80.30
Max Pain$82.98$82.50$83.00$83.00$82.50
ATM IV13.2%11.1%15.4%12.8%14.2%
Expected Move3.9%3.5%4.5%3.7%4.5%
HV 20d8.6%7.9%9.3%7.9%8.1%
HV 60d9.7%8.5%10.2%9.6%8.5%
IV Rank50.3%27.8%73.6%46.1%60.3%
IV Percentile87.1%50.8%98.4%84.1%96.4%
Term Structure-0.0%-1.3%4.0%0.1%-0.1%
VWIV13.1%8.7%16.5%14.2%16.5%
Skew 25d3.9%-2.6%8.4%4.4%8.4%
Skew 10d9.2%1.2%13.7%10.9%9.5%
Call IV 25d11.6%10.7%13.2%11.3%12.8%
Put IV 25d15.5%9.5%21.2%15.7%21.2%
Bid-Ask Spread %53.4532.8563.0756.9160.69
Gamma HHI0.150.080.270.110.14
Net GEX-63.2M-95.4M-24.6M-25.1M-82.7M
Net DEX40.6M-175.2M241.2M-175.2M224.3M
Net VEX-3.1M-3.3M-2.8M-3.2M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.871.2010.731.576.38
Total Volume24,889.0878,38347,8218,54833,382
Total OI435,211.609376,288489,573422,387420,152

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$82.84$83.0012.8%3.7%7.9%46.1%14.2%4.4%0.1%-25.1M-175.2M-3.2M1.5756.913,3235,225167,188255,199
2024-10-02$81.91$83.0012.9%3.7%8.6%46.8%14.4%6.7%0.3%-59.7M1.4M-3.3M3.4152.787,74426,439168,341255,751
2024-10-03$81.19$83.0013.7%4.1%9.0%55.7%14.2%3.9%0.4%-73.3M152.1M-3.2M8.2548.253,94732,562170,699265,208
2024-10-04$81.41$83.0012.9%3.9%9.1%46.8%13.2%3.5%-0.5%-90.6M142.1M-3.2M2.1342.666,36313,539171,102277,249
2024-10-07$80.68$83.0014.7%4.1%9.1%65.3%14.2%3.2%-0.4%-82.7M241.2M-3.2M5.9654.485,09630,367169,812269,355
2024-10-08$81.03$83.0013.4%3.8%9.3%51.7%13.8%5.1%-0.1%-84.0M159.8M-3.2M7.3953.914,42032,662172,658270,285
2024-10-09$81.50$83.0011.1%3.9%9.0%27.8%12.1%4.2%4.0%-64.4M54.6M-3.1M2.6653.924,32911,534174,978274,869
2024-10-10$81.15$83.0013.3%3.8%8.4%50.7%11.3%3.7%-0.0%-95.4M143.4M-3.2M6.9756.755,05735,254175,597282,682
2024-10-11$81.59$83.0012.6%3.6%8.4%43.1%12.9%3.8%-0.4%-59.2M38.3M-3.1M6.0657.404,36126,439176,386281,497
2024-10-14$81.91$83.0012.5%3.6%8.4%42.9%11.0%3.6%0.3%-53.7M-26.3M-3.1M1.2056.553,9054,691173,996302,803
2024-10-15$82.44$83.0013.3%3.8%8.3%51.0%13.0%3.6%-0.4%-24.6M-133.2M-3.0M1.6657.0711,15918,525175,483304,314
2024-10-16$82.50$83.0013.1%3.7%8.1%48.6%11.7%4.1%-0.3%-28.8M-114.3M-3.0M1.8637.603,1695,898171,556304,160
2024-10-17$82.06$83.0013.0%3.7%8.2%47.3%8.7%4.2%-0.0%-60.9M-45.1M-2.9M10.2662.784,24743,574172,433305,797
2024-10-18$82.09$83.0012.3%3.5%8.2%40.7%14.9%3.2%-0.1%-62.0M-59.5M-3.0M4.4434.936,09927,107171,440318,133
2024-10-21$81.56$83.0012.8%3.6%8.4%46.2%11.2%3.6%-0.3%-50.3M-16.1M-3.0M1.6732.853,1405,243113,063265,624
2024-10-22$82.03$83.0012.4%3.6%8.7%41.7%12.3%4.1%-0.2%-43.0M-101.7M-2.8M1.4852.677,60211,265114,636261,652
2024-10-23$81.84$83.0013.3%3.7%8.7%51.4%13.2%3.4%-1.3%-51.3M-67.2M-3.1M8.4657.282,72423,053121,452270,470
2024-10-24$81.68$83.0013.4%3.9%8.7%52.5%12.9%2.9%-0.5%-69.7M-25.5M-3.2M10.7360.212,68528,815122,849288,005
2024-10-25$81.13$83.0013.7%4.1%8.8%55.6%13.0%3.7%-0.2%-50.9M98.1M-3.3M9.8763.072,75827,224123,826286,348
2024-10-28$81.28$83.0013.2%4.0%8.9%50.1%13.2%4.0%-1.1%-63.9M28.9M-3.2M3.7861.622,83410,723121,941288,284
2024-10-29$80.56$83.0015.4%4.3%9.3%73.6%14.1%-2.6%-0.0%-94.4M189.3M-3.3M4.0756.602,77511,299123,503295,652
2024-10-30$80.22$83.0014.2%4.5%8.6%61.1%14.6%4.1%-0.1%-82.7M225.0M-3.3M1.8158.373,5206,372124,229289,210
2024-10-31$80.30$82.5014.2%4.5%8.1%60.3%16.5%8.4%-0.1%-82.7M224.3M-3.3M6.3860.694,52528,857125,146295,006