XLP Options History — April 2012

In April 2012, XLP traded between $33.44 and $34.35. ATM implied volatility averaged 10.4%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.1% (HV 20d: 8.3%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2012-04-17: Highest Volume — 75,297 contracts
  • 2012-04-10: Largest IV spike — 39.2% change
  • 2012-04-10: Highest IV Rank — 28.9%
  • 2012-04-10: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.98$33.44$34.35$34.35$34.18
Max Pain$33.80$33.00$34.00$33.00$34.00
ATM IV10.4%8.8%13.5%9.2%11.2%
Expected Move3.0%2.5%3.7%2.6%3.2%
HV 20d8.3%6.4%10.5%7.1%10.4%
HV 60d7.3%6.7%7.9%6.8%7.8%
IV Rank14.5%7.5%28.9%9.0%18.3%
IV Percentile17.3%7.9%52.4%9.5%24.6%
Term Structure0.9%0.5%1.1%0.9%0.8%
VWIV10.4%5.5%11.7%5.5%11.1%
Skew 25d3.2%1.8%4.3%2.3%2.7%
Skew 10d7.2%3.5%9.7%5.1%6.3%
Call IV 25d9.5%8.0%10.4%8.0%10.1%
Put IV 25d12.7%10.3%14.6%10.3%12.7%
Bid-Ask Spread %37.5127.4058.5035.8045.04
Gamma HHI0.200.120.330.180.28
Net GEX11.0M2.3M24.8M9.4M21.2M
Net DEX-94.3M-175.9M-27.7M-116.3M-107.3M
Net VEX-1.3M-1.6M-1.1M-1.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.018.200.670.70
Total Volume7,337.649875,2976,719959
Total OI263,772.75233,015308,025233,015299,512

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$34.35$33.009.2%2.6%7.1%9.0%5.5%2.3%0.9%9.4M-116.3M-1.2M0.6735.804,0352,684116,811116,204
2012-04-03$34.16$33.009.1%2.6%6.5%8.7%9.1%2.5%0.8%8.6M-107.5M-1.3M0.2631.852,114543119,543118,289
2012-04-04$34.09$33.009.0%2.6%6.6%8.3%9.0%1.8%0.7%8.0M-98.5M-1.2M0.8835.624,5754,032118,977118,398
2012-04-05$34.05$33.008.8%2.5%6.4%7.5%9.0%2.3%1.1%6.0M-89.1M-1.2M0.1827.401,826323120,179121,384
2012-04-09$33.72$34.009.7%2.9%7.3%11.4%10.2%3.9%1.0%3.1M-53.3M-1.2M0.1828.35811144116,243121,577
2012-04-10$33.44$34.0013.5%3.7%7.8%28.9%11.4%4.2%1.0%2.3M-27.7M-1.2M6.5534.406404,194116,471121,358
2012-04-11$33.59$34.009.9%3.0%7.6%12.4%11.1%4.3%0.9%2.9M-44.0M-1.2M1.3734.28210288116,692120,396
2012-04-12$33.61$34.0010.1%2.9%7.5%13.1%10.6%3.9%0.6%3.5M-64.1M-1.3M0.3134.39681210116,827120,519
2012-04-13$33.68$34.0010.5%3.0%7.6%15.2%11.7%4.0%1.0%3.3M-48.4M-1.2M0.0730.151,00772117,289120,597
2012-04-16$33.83$34.0010.7%3.1%7.3%15.9%11.0%3.8%1.0%3.0M-57.7M-1.2M0.4532.25412185117,835120,619
2012-04-17$34.16$34.0011.0%3.2%8.0%17.4%10.0%2.8%0.8%4.1M-112.3M-1.1M0.0158.5074,865432117,938120,560
2012-04-18$34.12$34.0011.1%3.2%8.0%17.6%11.1%3.5%0.5%16.3M-146.5M-1.5M0.3234.742,305732180,121120,820
2012-04-19$33.99$34.0010.6%3.0%8.2%15.5%11.4%3.4%1.1%14.2M-117.1M-1.5M8.2032.549457,746181,698121,166
2012-04-20$34.31$34.0010.2%2.9%8.7%13.6%10.2%2.9%1.0%22.1M-175.9M-1.5M0.6348.382,0061,265182,003126,022
2012-04-23$33.83$34.0010.7%3.1%10.2%15.8%11.3%3.0%0.8%14.0M-81.1M-1.4M5.8333.737494,363163,522119,178
2012-04-24$33.83$34.0010.4%3.0%10.0%14.5%11.2%3.0%0.8%12.9M-67.0M-1.5M4.7436.556343,008163,736120,686
2012-04-25$34.01$34.0010.7%3.1%10.2%16.0%11.0%3.1%0.7%16.8M-94.9M-1.4M0.2936.075,9991,711164,300123,648
2012-04-26$34.30$34.0010.7%3.1%10.5%15.9%10.7%2.3%0.9%24.8M-141.8M-1.6M2.2349.922,3625,266169,549124,796
2012-04-27$34.27$34.0010.6%3.0%10.5%15.7%10.8%3.3%0.9%23.3M-135.3M-1.6M3.0050.206041,815170,733129,259
2012-04-30$34.18$34.0011.2%3.2%10.4%18.3%11.1%2.7%0.8%21.2M-107.3M-1.5M0.7045.04563396170,702128,810