XLP Options History — March 2010

In March 2010, XLP traded between $27.22 and $28.13. ATM implied volatility averaged 11.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.4% (HV 20d: 7.9%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 7.43.

Notable Days

  • 2010-03-18: Highest Volume — 280,556 contracts
  • 2010-03-08: Largest IV spike — 144.2% change
  • 2010-03-12: Highest IV Rank — 30.8%
  • 2010-03-04: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$27.22$28.13$27.22$27.93
Max Pain$26.65$25.00$27.00$25.00$27.00
ATM IV11.3%6.1%14.9%12.8%9.3%
Expected Move3.3%2.7%3.8%3.7%2.7%
HV 20d7.9%6.1%12.7%12.7%7.2%
HV 60d10.0%9.5%10.6%10.5%9.6%
IV Rank20.7%0.0%30.8%20.5%14.5%
IV Percentile11.0%0.0%44.8%16.3%2.4%
Term Structure1.1%-0.7%2.5%-0.6%1.9%
VWIV11.3%9.3%13.2%12.7%9.3%
Skew 25d4.2%0.7%7.4%7.2%0.7%
Skew 10d6.3%1.2%12.9%9.8%1.2%
Call IV 25d8.7%6.4%10.6%8.1%8.3%
Put IV 25d12.9%8.9%15.4%15.4%8.9%
Bid-Ask Spread %17.8710.2723.4414.1319.19
Gamma HHI0.260.240.330.270.25
Net GEX-23.0K-4.2M3.9M3.1M-2.0M
Net DEX-82.3M-136.0M-46.0M-79.7M-63.2M
Net VEX-1.6M-1.8M-1.4M-1.4M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.430.0074.090.341.87
Total Volume19,641.391276280,5562,0247,676
Total OI296,818.304250,396339,734250,396301,026

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$27.22$25.0012.8%3.7%12.7%20.5%12.7%7.2%-0.6%3.1M-79.7M-1.4M0.3414.131,516508113,243137,153
2010-03-02$27.32$25.0013.0%3.7%12.5%21.3%11.0%7.0%-0.2%3.0M-92.0M-1.4M2.1612.004,3249,331113,403137,589
2010-03-03$27.33$25.0012.3%3.5%11.6%18.9%10.3%7.4%0.4%3.2M-90.8M-1.4M0.6310.272,6331,670116,326143,586
2010-03-04$27.42$25.0013.3%3.8%11.2%22.4%12.7%6.6%-0.7%3.4M-99.6M-1.4M1.1116.5510,09811,209118,897145,948
2010-03-05$27.59$27.006.1%3.0%7.7%0.0%11.0%3.9%1.3%3.6M-109.0M-1.6M0.1720.47701117128,771156,479
2010-03-08$27.49$27.0014.9%3.6%7.8%28.6%9.9%3.7%1.2%3.8M-104.4M-1.5M0.0820.9825620129,024156,582
2010-03-09$27.45$27.0013.0%3.6%7.8%22.4%12.0%3.3%1.4%3.9M-98.9M-1.5M61.1219.7389154,454128,977156,578
2010-03-10$27.41$27.0012.8%3.7%7.2%29.7%12.0%4.7%0.6%-1.8M-54.3M-1.8M0.4523.001,792808129,777209,957
2010-03-11$27.46$27.0013.0%3.7%7.1%30.6%13.0%3.9%1.1%-23.5K-67.3M-1.8M1.4823.441,1901,762130,828197,209
2010-03-12$27.48$27.0013.0%3.7%6.8%30.8%13.0%3.4%0.5%-561.9K-71.8M-1.7M3.0619.97263805130,670198,595
2010-03-15$27.69$27.0011.0%3.1%7.0%21.8%12.9%3.7%1.5%-313.6K-85.1M-1.7M0.1115.146,116649130,868199,295
2010-03-16$27.82$27.0010.6%3.0%6.5%20.2%11.8%3.3%1.7%-179.1K-101.1M-1.7M1.2718.414,1465,268132,603199,683
2010-03-17$27.94$27.0010.3%2.9%6.2%18.6%10.1%3.9%2.0%-830.4K-135.2M-1.5M2.0715.717511,558131,845204,853
2010-03-18$27.97$27.0010.4%3.0%6.1%19.0%10.3%4.0%1.9%-1.0M-136.0M-1.5M0.0016.65280,51442130,790204,720
2010-03-19$27.77$27.0010.2%2.9%6.8%18.1%13.2%4.7%2.5%-474.1K-46.0M-1.6M1.2321.69483592108,356205,712
2010-03-22$27.91$27.0010.4%3.0%6.9%19.3%10.7%3.9%1.4%-4.2M-52.7M-1.6M0.5320.289,0004,739100,000167,572
2010-03-23$28.13$27.0010.9%3.1%6.8%21.3%10.9%2.5%0.5%-2.8M-76.3M-1.7M1.6718.102,6894,481108,746172,307
2010-03-24$27.93$27.0010.3%3.0%7.3%19.0%9.5%3.8%1.2%-2.6M-59.7M-1.7M0.0616.212,284130110,988175,225
2010-03-25$27.89$27.0010.6%3.0%7.4%20.1%10.7%3.7%0.9%-2.4M-61.5M-1.7M0.9517.11316299113,239175,216
2010-03-26$27.91$27.0010.8%3.1%7.0%21.2%13.2%4.0%0.8%-2.2M-54.5M-1.7M74.0917.1611815113,307175,496
2010-03-29$28.04$27.0010.7%3.1%6.8%20.7%10.7%1.4%1.1%-1.7M-73.6M-1.7M1.5916.753,6525,800113,307175,998
2010-03-30$28.09$27.009.9%2.8%6.8%17.0%9.9%5.6%1.8%-1.6M-79.7M-1.7M14.9618.063385,055116,375179,702
2010-03-31$27.93$27.009.3%2.7%7.2%14.5%9.3%0.7%1.9%-2.0M-63.2M-1.8M1.8719.192,6715,005116,620184,406