XLP Options History — March 2012

In March 2012, XLP traded between $33.06 and $34.08. ATM implied volatility averaged 10.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.4% (HV 20d: 6.7%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2012-03-15: Highest Volume — 151,928 contracts
  • 2012-03-15: Largest IV drop — 38.9% change
  • 2012-03-14: Highest IV Rank — 32.7%
  • 2012-03-06: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.61$33.06$34.08$33.16$34.08
Max Pain$33.05$32.00$34.00$32.00$33.00
ATM IV10.0%8.3%14.3%10.6%8.7%
Expected Move2.7%2.0%3.2%3.0%2.5%
HV 20d6.7%5.5%7.4%5.6%6.8%
HV 60d7.9%6.7%9.2%9.0%6.7%
IV Rank12.9%5.2%32.7%15.7%6.9%
IV Percentile15.3%2.0%56.0%15.5%6.0%
Term Structure1.6%-1.4%3.2%-0.9%1.1%
VWIV10.1%8.3%13.4%11.0%8.3%
Skew 25d2.9%1.0%4.6%1.3%2.4%
Skew 10d7.1%3.1%11.3%4.4%5.6%
Call IV 25d8.8%7.0%11.4%11.1%8.1%
Put IV 25d11.7%10.3%14.3%12.4%10.5%
Bid-Ask Spread %33.9910.6246.1732.6733.96
Gamma HHI0.170.150.220.150.17
Net GEX5.7M2.8M9.4M3.0M7.8M
Net DEX-89.5M-173.9M-23.9M-82.3M-98.5M
Net VEX-1.3M-1.5M-1.2M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.006.680.310.66
Total Volume10,793.5301151,92819,831576
Total OI269,158.909231,856312,459280,596232,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$33.16$32.0010.6%3.0%5.6%15.7%11.0%1.3%-0.9%3.0M-82.3M-1.4M0.3132.6715,1584,673129,920150,676
2012-03-02$33.19$32.0010.4%3.0%5.5%14.6%13.4%1.3%-1.4%4.1M-91.7M-1.4M0.6240.613,9492,440142,350154,257
2012-03-05$33.36$33.0010.9%3.1%5.6%16.8%10.8%3.6%2.4%5.1M-111.8M-1.4M0.2728.791,563417142,697156,666
2012-03-06$33.06$33.0011.0%3.2%6.7%17.5%11.1%4.6%2.7%2.8M-74.5M-1.5M0.6335.061,458915143,082156,757
2012-03-07$33.13$33.0010.6%3.1%6.7%15.3%11.1%4.2%2.7%3.5M-74.9M-1.4M0.3132.293,8931,199143,047157,333
2012-03-08$33.36$33.0011.6%3.1%7.0%20.1%11.0%3.6%2.2%6.2M-130.1M-1.3M0.3640.421,102400144,020157,889
2012-03-09$33.47$33.0011.8%3.1%6.8%21.0%9.8%3.4%2.5%6.0M-127.5M-1.3M2.9440.851,1853,487144,388158,287
2012-03-12$33.60$33.0012.5%2.0%6.8%24.1%11.2%3.8%3.2%6.7M-145.2M-1.2M1.6941.092,4444,139145,317159,794
2012-03-13$33.84$33.0013.4%2.5%7.0%28.5%9.1%2.5%2.5%9.4M-173.9M-1.2M0.8746.173,8943,393143,827157,575
2012-03-14$33.76$33.0014.3%2.6%7.1%32.7%10.3%2.5%2.6%7.6M-127.3M-1.3M1.9939.342,8175,614146,701160,278
2012-03-15$33.80$33.008.8%2.5%7.1%7.1%9.9%1.6%2.3%8.4M-122.5M-1.4M0.0235.05148,4483,480147,925164,534
2012-03-16$33.57$34.008.7%2.5%7.4%6.6%9.4%2.5%3.0%3.8M-23.9M-1.4M0.5740.62809462119,927167,125
2012-03-19$33.62$34.008.8%2.5%7.4%7.2%10.0%3.6%1.1%4.2M-26.2M-1.4M0.2330.011,202278110,771122,893
2012-03-20$33.61$34.008.6%2.5%7.0%6.2%10.1%3.4%1.2%5.5M-31.7M-1.3M1.1129.213,0873,426111,623123,029
2012-03-21$33.69$33.008.3%2.4%6.8%5.2%8.4%3.2%1.2%4.2M-53.0M-1.3M0.5624.89341190113,814118,042
2012-03-22$33.66$33.008.5%2.4%6.7%5.8%8.9%4.1%1.3%4.6M-54.5M-1.3M0.6110.62237145113,944118,096
2012-03-23$33.76$33.008.4%2.4%6.5%5.4%10.3%3.4%1.1%4.8M-72.2M-1.3M0.5130.17454230114,065118,077
2012-03-26$33.95$33.008.4%2.4%6.5%5.2%8.6%1.0%1.1%7.3M-99.0M-1.2M1.2442.151,7742,203114,474118,175
2012-03-27$34.00$33.009.1%2.6%6.5%8.8%11.0%2.6%0.8%7.5M-89.0M-1.3M6.6831.296094,067115,651116,822
2012-03-28$33.89$33.008.8%2.5%6.7%7.0%8.8%2.4%1.2%6.9M-82.7M-1.3M0.5732.21635363116,044116,012
2012-03-29$33.88$33.008.8%2.5%6.6%7.0%10.8%3.6%1.1%6.8M-75.9M-1.3M0.0030.433001116,551116,191
2012-03-30$34.08$33.008.7%2.5%6.8%6.9%8.3%2.4%1.1%7.8M-98.5M-1.2M0.6633.96347229116,660116,190