XLP Options History — April 2010

In April 2010, XLP traded between $27.48 and $28.13. ATM implied volatility averaged 11.0%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.6% (HV 20d: 7.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 12.08.

Notable Days

  • 2010-04-19: Highest Volume — 14,314 contracts
  • 2010-04-27: Largest IV spike — 37.8% change
  • 2010-04-27: Highest IV Rank — 43.6%
  • 2010-04-27: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.96$27.48$28.13$28.11$27.63
Max Pain$27.95$27.00$28.00$27.00$28.00
ATM IV11.0%8.8%15.6%10.0%12.9%
Expected Move3.3%2.9%4.5%2.9%3.7%
HV 20d7.4%5.8%8.9%7.5%8.7%
HV 60d9.4%8.9%9.8%9.6%9.3%
IV Rank22.7%12.5%43.6%17.9%31.5%
IV Percentile15.2%2.4%64.7%4.0%31.3%
Term Structure1.2%0.2%2.7%2.7%0.8%
VWIV12.0%9.9%16.7%10.1%13.6%
Skew 25d5.0%1.7%6.9%1.7%3.6%
Skew 10d6.2%2.0%10.7%2.5%2.0%
Call IV 25d8.7%6.7%11.9%8.1%11.8%
Put IV 25d13.7%9.8%16.7%9.8%15.4%
Bid-Ask Spread %19.0112.4326.7518.5726.20
Gamma HHI0.250.230.290.260.23
Net GEX-3.0M-7.0M-117.8K-1.6M-7.0M
Net DEX-55.4M-82.4M6.6M-79.1M-482.1K
Net VEX-1.9M-2.1M-1.7M-1.8M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.080.13105.772.004.76
Total Volume4,557.76226214,3149081,175
Total OI333,439.143308,129360,637308,129360,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$28.11$27.0010.0%2.9%7.5%17.9%10.1%1.7%2.7%-1.6M-79.1M-1.8M2.0018.57303605119,218188,911
2010-04-05$28.11$28.0010.3%3.2%7.2%19.2%16.7%3.9%1.5%-1.4M-81.8M-1.7M1.4426.752,2183,186119,491189,817
2010-04-06$28.02$28.0010.3%3.2%7.2%19.2%9.9%3.6%1.1%-2.1M-72.0M-1.8M0.8319.82545451120,008190,446
2010-04-07$27.84$28.008.8%3.2%7.6%12.5%11.1%5.8%1.3%-2.0M-51.6M-1.8M1.1320.195,2015,893119,449189,797
2010-04-08$27.89$28.0010.3%3.2%7.6%19.2%11.3%5.7%1.0%-2.3M-61.3M-1.7M2.5419.85170432119,449189,797
2010-04-09$28.04$28.0010.5%3.1%7.7%20.2%13.2%6.9%1.6%-1.4M-72.5M-1.8M0.2812.4320557123,445195,666
2010-04-12$28.13$28.009.8%3.3%7.8%17.0%11.3%2.9%1.2%-117.8K-82.4M-1.7M18.4815.324418,150123,455195,671
2010-04-13$28.04$28.0010.5%3.3%7.5%20.2%11.6%6.4%0.2%-1.0M-67.6M-1.8M1.3417.441,6592,216123,781203,613
2010-04-14$28.08$28.009.4%3.3%7.4%15.2%11.0%6.6%0.5%-260.4K-74.5M-1.8M105.7717.60525,500125,373205,472
2010-04-15$28.03$28.0011.2%3.2%7.3%23.6%11.2%6.0%1.3%-569.2K-63.9M-1.9M0.1318.7230138125,391209,867
2010-04-16$27.91$28.0011.4%3.3%7.4%24.3%11.3%5.0%1.2%-189.1K-49.2M-1.9M0.2117.001,657347125,519209,866
2010-04-19$28.02$28.0011.1%3.2%7.1%23.2%11.1%6.0%1.3%-3.8M-59.3M-1.9M1.6916.205,3139,001123,828207,248
2010-04-20$28.10$28.0010.9%3.1%6.9%22.0%10.9%5.1%1.2%-3.7M-68.5M-1.9M5.4018.729575,165128,922215,832
2010-04-21$28.10$28.0010.7%3.1%6.3%21.0%10.7%4.4%1.5%-3.4M-71.8M-1.9M57.5113.641146,556129,237214,351
2010-04-22$28.10$28.0010.8%3.1%5.8%21.9%11.2%5.9%1.4%-4.4M-62.2M-2.0M2.4125.35235566129,312219,711
2010-04-23$28.03$28.0011.1%3.2%5.8%22.9%11.3%4.6%1.2%-4.5M-60.2M-2.0M4.4025.234151,828129,524220,151
2010-04-26$27.97$28.0011.3%3.2%5.9%24.0%11.4%5.4%1.7%-4.9M-54.4M-2.0M1.7918.994,5338,130129,914219,975
2010-04-27$27.48$28.0015.6%4.5%8.4%43.6%13.1%4.8%0.2%-6.9M6.6M-2.1M2.1518.92452970129,937220,706
2010-04-28$27.70$28.0012.7%3.6%8.9%30.4%13.4%4.7%1.0%-6.1M-15.3M-2.0M10.2415.747147,310130,126221,220
2010-04-29$27.79$28.0012.2%3.5%8.8%28.0%15.8%5.8%1.0%-6.3M-22.5M-2.0M29.1416.65882,564130,478227,611
2010-04-30$27.63$28.0012.9%3.7%8.7%31.5%13.6%3.6%0.8%-7.0M-482.1K-2.1M4.7626.20204971130,472230,165