XLP Options History — March 2013

In March 2013, XLP traded between $38.21 and $39.78. ATM implied volatility averaged 8.9%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 0.9% (HV 20d: 8.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.38.

Notable Days

  • 2013-03-14: Highest Volume — 293,142 contracts
  • 2013-03-15: Largest IV spike — 78.9% change
  • 2013-03-11: Highest IV Rank — 44.2%
  • 2013-03-01: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.85$38.21$39.78$38.21$39.78
Max Pain$38.90$35.00$40.00$35.00$39.00
ATM IV8.9%5.4%11.0%10.6%7.8%
Expected Move2.2%1.5%3.0%3.0%2.2%
HV 20d8.0%7.2%9.3%8.8%8.2%
HV 60d10.8%9.3%11.3%11.1%9.3%
IV Rank28.0%0.0%44.2%40.8%19.8%
IV Percentile17.1%0.0%56.7%41.3%3.6%
Term Structure1.0%-1.5%1.9%-1.5%1.5%
VWIV9.0%4.7%12.0%10.8%8.0%
Skew 25d3.4%2.1%4.5%2.1%3.6%
Skew 10d7.3%4.9%9.8%5.8%8.3%
Call IV 25d7.9%6.5%10.7%10.7%6.5%
Put IV 25d11.2%9.8%12.9%12.8%10.2%
Bid-Ask Spread %31.254.5244.1035.8244.10
Gamma HHI0.390.260.550.400.28
Net GEX28.8M18.4M41.5M23.3M19.8M
Net DEX-356.2M-434.2M-243.0M-356.0M-387.6M
Net VEX-1.8M-2.1M-1.2M-1.2M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0114.150.695.96
Total Volume26,878.21,650293,14219,6384,551
Total OI321,651.35236,798433,791321,453300,047

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$38.21$35.0010.6%3.0%8.8%40.8%10.8%2.1%-1.5%23.3M-356.0M-1.2M0.6935.8211,6208,018176,455144,998
2013-03-04$38.53$40.009.2%2.5%8.9%28.7%12.0%4.0%0.9%34.3M-378.7M-1.5M1.3336.952,8033,737187,718151,795
2013-03-05$38.63$40.009.5%2.3%8.0%31.0%9.4%3.9%1.5%37.2M-404.9M-1.4M0.1234.9719,2982,285190,030155,298
2013-03-06$38.55$39.009.0%1.8%7.4%27.6%10.5%4.3%1.3%37.1M-392.8M-1.5M0.2930.043,312959193,237155,608
2013-03-07$38.54$39.0010.2%1.7%7.4%37.2%8.9%3.9%1.3%34.2M-386.8M-1.5M0.1831.685,9261,066195,066156,054
2013-03-08$38.62$39.009.0%1.8%7.3%27.1%9.8%3.1%1.5%41.1M-417.2M-1.5M0.094.5252,4554,818200,601157,000
2013-03-11$38.66$39.0011.0%1.6%7.3%44.2%9.6%3.3%1.5%36.4M-404.1M-1.8M3.0827.601,0453,223232,810160,642
2013-03-12$38.63$39.0010.4%2.2%7.3%39.3%9.4%3.2%1.3%36.1M-415.5M-2.0M10.7935.214855,233273,025160,766
2013-03-13$38.72$39.008.6%1.5%7.2%23.5%4.7%4.3%1.9%37.2M-404.9M-1.7M0.3535.681,849644233,052162,664
2013-03-14$38.83$39.005.4%1.5%7.2%0.0%7.4%4.0%1.8%41.5M-434.2M-1.7M0.0134.52291,1072,035234,129163,153
2013-03-15$38.47$39.009.6%2.7%8.2%34.4%9.5%2.9%1.5%18.4M-247.4M-1.7M0.7520.144,1773,128196,035164,602
2013-03-18$38.37$39.0010.1%2.9%8.3%38.1%10.2%3.5%0.4%22.2M-243.0M-1.8M1.7636.515971,053183,75953,039
2013-03-19$38.63$39.008.6%2.5%7.9%26.0%9.0%4.5%0.8%21.8M-265.9M-1.9M0.6722.275,6693,817184,02253,788
2013-03-20$39.09$39.007.9%2.3%8.8%20.6%8.4%2.7%1.0%26.5M-306.9M-2.0M1.6336.826,86411,207186,01555,430
2013-03-21$38.94$39.008.7%2.5%8.9%26.9%7.7%2.6%0.8%21.8M-284.6M-2.1M1.5036.333,3194,980191,82763,766
2013-03-22$39.30$39.009.1%2.6%9.3%30.6%8.5%2.7%0.6%22.6M-346.1M-1.9M14.1539.862,10029,708194,35264,700
2013-03-25$39.27$39.009.2%2.6%7.9%31.0%8.5%2.6%0.7%21.4M-320.9M-2.0M1.474.813,7545,534194,70487,438
2013-03-26$39.64$39.007.3%2.1%8.4%15.6%7.9%2.9%0.8%22.6M-374.2M-2.0M2.2138.192,6545,872195,88989,449
2013-03-27$39.61$39.007.6%2.2%8.2%18.0%9.0%3.4%0.8%19.6M-351.6M-2.1M0.4638.9111,3915,271198,25391,811
2013-03-28$39.78$39.007.8%2.2%8.2%19.8%8.0%3.6%1.5%19.8M-387.6M-2.1M5.9644.106543,897205,61094,437