XLP Options History — March 2011

In March 2011, XLP traded between $28.96 and $29.98. ATM implied volatility averaged 11.7%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.8% (HV 20d: 9.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 3.69.

Notable Days

  • 2011-03-17: Highest Volume — 188,808 contracts
  • 2011-03-07: Largest IV spike — 50.5% change
  • 2011-03-16: Highest IV Rank — 55.8%
  • 2011-03-16: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.56$28.96$29.98$29.49$29.92
Max Pain$29.22$28.00$30.00$28.00$29.00
ATM IV11.7%7.5%16.6%13.8%9.8%
Expected Move3.4%2.2%4.7%3.9%2.8%
HV 20d9.9%8.4%11.0%8.6%9.9%
HV 60d8.2%7.3%8.8%7.3%8.8%
IV Rank27.4%1.2%55.8%43.0%15.2%
IV Percentile36.3%0.4%88.5%64.7%8.7%
Term Structure0.8%-2.0%2.0%-0.3%1.7%
VWIV12.5%9.8%16.6%13.7%9.8%
Skew 25d4.4%2.7%5.6%3.6%3.3%
Skew 10d9.5%4.7%12.7%4.7%4.8%
Call IV 25d10.4%8.0%15.0%10.8%9.9%
Put IV 25d14.9%12.5%20.5%14.4%13.2%
Bid-Ask Spread %32.5110.7956.8144.5556.81
Gamma HHI0.180.150.220.190.19
Net GEX1.3M-4.9M5.4M1.3M4.9M
Net DEX-28.3M-76.8M33.2M-49.6M-54.5M
Net VEX-1.2M-1.3M-1.0M-1.0M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.690.0131.190.500.07
Total Volume13,000.435310188,8083,9632,324
Total OI284,346.87245,726320,786279,543269,853

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$29.49$28.0013.8%3.9%8.6%43.0%13.7%3.6%-0.3%1.3M-49.6M-1.0M0.5044.552,6391,324151,798127,745
2011-03-02$29.39$28.0014.4%4.1%8.4%46.5%15.9%2.7%-2.0%-142.9K-35.6M-1.0M31.1912.701665,177152,788128,202
2011-03-03$29.71$28.007.5%2.2%9.0%8.2%10.0%5.0%0.3%2.7M-61.5M-1.1M0.8129.392,5202,036152,856133,264
2011-03-04$29.62$30.009.7%3.1%9.0%20.4%12.0%4.9%1.6%2.4M-49.7M-1.1M25.3812.6240310,227154,394135,036
2011-03-07$29.50$30.0014.6%3.9%9.0%44.3%11.8%4.6%0.5%1.4M-37.4M-1.2M0.9120.304,6004,179154,891143,966
2011-03-08$29.74$30.009.1%3.0%9.4%11.0%12.1%5.3%1.5%4.0M-56.5M-1.2M0.6424.401,179758158,681146,991
2011-03-09$29.91$30.007.5%2.9%9.4%1.2%11.4%5.6%2.0%5.4M-76.8M-1.3M2.2427.081,0992,466159,299146,950
2011-03-10$29.73$30.0010.8%3.1%9.6%20.9%11.0%4.7%1.6%4.5M-55.4M-1.3M1.9927.72244486159,946148,550
2011-03-11$29.78$30.0010.3%3.0%9.5%18.4%10.4%5.3%2.0%3.6M-55.0M-1.2M0.4721.16534249159,979148,448
2011-03-14$29.56$30.0010.9%3.1%9.5%21.7%12.3%4.4%1.9%1.9M-31.9M-1.2M11.4010.7925285160,311148,347
2011-03-15$29.25$30.0015.4%4.4%9.7%49.1%15.3%4.1%-0.0%-2.9M-3.8M-1.2M0.7426.427,6175,633160,326148,351
2011-03-16$28.96$29.0016.6%4.7%10.3%55.8%16.4%5.4%-0.3%-4.8M25.9M-1.2M0.6830.212,7311,853165,273153,492
2011-03-17$29.08$29.0015.4%4.4%10.3%49.0%16.6%5.0%-0.1%-4.2M12.3M-1.2M0.0139.48187,5821,226166,490154,296
2011-03-18$29.05$29.0014.4%4.1%10.0%42.6%14.5%4.8%0.7%-4.9M33.2M-1.2M1.6629.473,0625,094152,635154,304
2011-03-21$29.41$29.0013.5%3.9%11.0%37.6%10.3%4.9%0.2%-67.0K-696.5K-1.2M0.3637.551,276460133,748111,978
2011-03-22$29.37$29.0012.8%3.7%10.7%33.1%15.2%4.3%0.9%230.5K-836.7K-1.2M0.0943.7360555134,829111,913
2011-03-23$29.44$29.0012.5%3.6%10.7%31.4%11.3%4.2%0.6%385.9K-3.5M-1.2M2.3337.714,41510,295135,324111,927
2011-03-24$29.69$29.009.8%2.8%11.0%15.2%11.9%3.7%1.5%1.8M-15.7M-1.3M1.3241.503,4724,575139,616122,072
2011-03-25$29.69$29.009.7%2.8%10.9%14.4%11.8%3.0%1.4%2.2M-26.7M-1.2M0.1255.0329334142,199117,452
2011-03-28$29.68$29.0010.6%3.1%10.7%20.2%12.1%4.3%0.6%2.5M-28.0M-1.2M0.1038.761,136116142,414116,902
2011-03-29$29.88$29.009.8%2.8%10.6%15.4%9.9%4.5%1.8%3.1M-33.2M-1.2M1.7537.026781,187143,483116,942
2011-03-30$29.98$29.0010.0%2.9%10.5%16.1%11.2%4.7%1.4%3.8M-45.3M-1.2M0.1543.3511,0091,686144,013117,704
2011-03-31$29.92$29.009.8%2.8%9.9%15.2%9.8%3.3%1.7%4.9M-54.5M-1.3M0.0756.812,182142150,693119,160