XLP Options History — November 2024

In November 2024, XLP traded between $79.62 and $83.25. ATM implied volatility averaged 12.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.8% (HV 20d: 9.2%). Max pain ranged from $79.00 to $82.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 2.17.

Notable Days

2024-11-06: Highest Volume — 58,320 contracts
2024-11-27: Largest IV spike — 11.5% change
2024-11-04: Highest IV Rank — 68.1%
2024-11-01: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.97	$79.62	$83.25	$80.15	$83.25
Max Pain	$79.97	$79.00	$82.50	$82.50	$80.00
ATM IV	12.0%	10.4%	14.9%	14.4%	11.1%
Expected Move	3.4%	3.1%	4.6%	4.6%	3.2%
HV 20d	9.2%	7.5%	10.7%	8.1%	10.1%
HV 60d	8.8%	8.4%	9.3%	8.5%	9.2%
IV Rank	37.6%	20.2%	68.1%	62.4%	27.6%
IV Percentile	67.6%	27.8%	98.0%	97.6%	50.8%
Term Structure	-0.1%	-2.1%	2.5%	-2.1%	-0.3%
VWIV	12.5%	10.9%	15.6%	15.6%	12.9%
Skew 25d	1.9%	-3.9%	3.4%	3.4%	1.4%
Skew 10d	3.5%	-3.7%	10.4%	6.6%	-1.1%
Call IV 25d	11.3%	9.5%	13.7%	13.2%	10.6%
Put IV 25d	13.2%	7.1%	16.6%	16.6%	12.0%
Bid-Ask Spread %	65.08	50.38	74.34	63.06	72.04
Gamma HHI	0.13	0.07	0.58	0.27	0.14
Net GEX	-43.9M	-167.2M	13.8M	-100.1M	13.8M
Net DEX	-50.3M	-477.4M	232.1M	232.1M	-477.4M
Net VEX	-2.9M	-3.2M	-2.3M	-3.2M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.17	0.23	7.40	1.93	0.60
Total Volume	16,922.1	2,233	58,320	11,539	2,233
Total OI	435,949.65	403,881	468,919	423,278	426,384

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2024-11-01	$80.15	$82.50	14.4%	4.6%	8.1%	62.4%	15.6%	3.4%	-2.1%	-100.1M	232.1M	-3.2M	1.93	63.06	3,944	7,595	127,536	295,742
2024-11-04	$80.35	$79.00	14.9%	4.1%	7.5%	68.1%	14.3%	3.0%	-1.9%	-51.9M	119.5M	-3.1M	1.43	58.37	3,380	4,839	124,117	279,764
2024-11-05	$80.72	$79.00	14.5%	3.9%	7.5%	64.1%	13.8%	2.9%	-1.8%	-49.9M	69.1M	-3.1M	0.23	59.57	16,976	3,875	125,455	281,319
2024-11-06	$79.62	$79.00	13.7%	3.6%	8.6%	55.5%	14.3%	3.1%	-0.6%	-61.8M	227.5M	-3.1M	7.40	65.90	6,940	51,380	139,989	282,063
2024-11-07	$80.06	$80.00	12.2%	3.4%	8.8%	39.5%	14.3%	2.3%	-0.4%	-75.3M	163.7M	-3.1M	3.19	67.46	6,771	21,631	142,371	311,341
2024-11-08	$80.81	$80.00	11.1%	3.2%	9.3%	28.0%	11.5%	2.6%	0.1%	-57.6M	-10.2M	-2.9M	0.89	63.46	8,954	7,935	144,653	320,205
2024-11-11	$80.62	$80.00	11.5%	3.3%	9.2%	32.3%	11.8%	1.4%	0.7%	-64.6M	36.2M	-3.0M	0.92	69.10	7,011	6,419	144,531	322,880
2024-11-12	$80.77	$80.00	11.6%	3.3%	8.8%	33.2%	11.1%	1.9%	0.3%	-53.6M	-36.5M	-2.7M	2.01	68.99	9,835	19,764	145,612	322,191
2024-11-13	$80.90	$80.00	11.4%	3.3%	8.8%	31.2%	10.9%	1.6%	0.1%	-53.6M	-4.3M	-3.0M	1.51	69.23	1,591	2,403	152,911	314,326
2024-11-14	$80.73	$80.00	12.0%	3.3%	8.7%	37.7%	12.1%	2.5%	-1.2%	-54.9M	-6.5M	-2.9M	3.98	74.34	3,782	15,050	153,352	314,699
2024-11-15	$79.97	$80.00	11.5%	3.4%	9.2%	32.0%	12.3%	1.8%	0.8%	-167.2M	143.9M	-2.8M	4.85	70.29	7,951	38,556	154,422	314,497
2024-11-18	$80.47	$80.00	11.8%	3.4%	9.4%	35.2%	12.3%	2.1%	0.2%	-25.9M	-33.0M	-3.0M	3.76	58.71	2,561	9,635	134,553	280,486
2024-11-19	$80.53	$80.00	12.0%	3.4%	9.1%	37.3%	11.7%	1.5%	0.1%	-26.9M	-49.2M	-3.0M	0.65	59.59	2,898	1,897	135,951	283,860
2024-11-20	$80.07	$80.00	12.1%	3.5%	9.2%	38.1%	12.1%	-3.9%	0.3%	-35.7M	34.1M	-3.1M	0.66	64.74	4,404	2,906	137,207	284,231
2024-11-21	$80.97	$80.00	11.2%	3.2%	10.2%	28.5%	11.1%	1.8%	0.1%	-21.2M	-107.1M	-3.0M	0.86	61.25	3,304	2,853	139,373	285,894
2024-11-22	$81.80	$80.00	10.8%	3.1%	10.6%	24.5%	11.9%	2.3%	0.2%	-4.3M	-246.9M	-2.8M	1.37	50.38	6,524	8,928	141,062	286,257
2024-11-25	$82.18	$80.00	10.7%	3.2%	10.7%	24.0%	12.7%	2.1%	2.5%	-2.2M	-306.5M	-2.6M	1.73	64.57	6,767	11,729	139,543	282,080
2024-11-26	$82.63	$80.00	10.4%	3.1%	10.2%	20.2%	11.7%	2.2%	0.8%	7.7M	-382.5M	-2.5M	5.24	71.14	1,487	7,793	142,040	282,481
2024-11-27	$82.70	$80.00	11.6%	3.2%	10.0%	32.8%	11.2%	3.0%	-0.4%	7.8M	-372.9M	-2.6M	0.28	69.32	4,642	1,299	142,450	281,165
2024-11-29	$83.25	$80.00	11.1%	3.2%	10.1%	27.6%	12.9%	1.4%	-0.3%	13.8M	-477.4M	-2.3M	0.60	72.04	1,397	836	144,851	281,533