XLP Options History — April 2013

In April 2013, XLP traded between $39.68 and $41.43. ATM implied volatility averaged 11.6%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.3% (HV 20d: 11.3%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.98.

Notable Days

  • 2013-04-24: Highest Volume — 128,325 contracts
  • 2013-04-15: Largest IV spike — 25.9% change
  • 2013-04-18: Highest IV Rank — 76.5%
  • 2013-04-18: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.51$39.68$41.43$39.77$40.94
Max Pain$40.27$39.00$41.00$39.00$41.00
ATM IV11.6%8.6%14.8%8.6%11.7%
Expected Move3.3%2.5%4.2%2.5%3.3%
HV 20d11.3%8.2%13.5%8.2%13.0%
HV 60d8.9%7.6%10.3%7.6%10.2%
IV Rank50.6%26.3%76.5%26.3%51.3%
IV Percentile62.7%6.0%97.2%6.0%69.4%
Term Structure0.4%0.0%0.8%0.5%0.3%
VWIV12.4%9.4%16.0%9.4%13.3%
Skew 25d3.9%2.1%5.7%3.7%3.5%
Skew 10d8.5%4.8%14.6%9.4%7.4%
Call IV 25d10.5%7.4%12.4%7.4%10.5%
Put IV 25d14.3%11.1%17.4%11.1%14.0%
Bid-Ask Spread %27.606.7591.1542.3012.35
Gamma HHI0.250.180.330.270.26
Net GEX-10.3M-32.8M19.3M19.3M-29.3M
Net DEX-339.9M-415.6M-272.5M-363.9M-340.2M
Net VEX-2.9M-3.8M-2.2M-2.2M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.980.3510.533.081.76
Total Volume38,319.1364,208128,3255,04063,356
Total OI482,470.955299,053703,591299,053703,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$39.77$39.008.6%2.5%8.2%26.3%9.4%3.7%0.5%19.3M-363.9M-2.2M3.0842.301,2353,805201,18497,869
2013-04-02$40.19$39.0010.1%2.9%8.4%38.2%10.1%2.5%0.1%16.5M-414.9M-2.3M1.9529.8915,53230,238201,607101,505
2013-04-03$39.77$40.009.8%2.8%9.6%36.5%9.9%2.1%0.5%13.0M-330.1M-2.4M4.6330.054,18719,367213,304121,348
2013-04-04$39.94$40.0010.7%3.1%9.5%43.1%10.6%2.3%0.1%8.7M-353.0M-2.3M4.7323.452,68412,692215,472129,740
2013-04-05$39.68$40.0011.4%3.2%9.9%49.2%11.8%3.8%0.7%5.6M-285.5M-2.4M7.5435.642,39118,038215,246137,287
2013-04-08$40.11$40.0011.5%3.2%10.5%50.1%12.1%3.5%0.7%-110.6K-345.0M-2.3M0.6818.582,5081,700215,369146,415
2013-04-09$40.14$40.0011.1%3.2%10.5%46.3%11.1%3.3%0.8%-283.4K-346.0M-2.5M5.0020.3910,87754,383216,726146,335
2013-04-10$40.37$40.0011.8%3.4%10.5%52.7%11.6%3.8%0.5%-2.8M-362.5M-2.7M5.3929.747,38439,779223,718187,345
2013-04-11$40.57$40.0010.2%2.9%10.6%39.2%10.8%3.6%0.7%-6.7M-375.5M-2.9M1.8728.334,7098,806229,261221,580
2013-04-12$40.72$40.0010.7%3.1%10.6%43.3%11.8%3.8%0.4%-5.5M-398.6M-2.9M1.7725.721,6002,825231,917224,823
2013-04-15$40.23$40.0013.5%3.9%11.0%65.8%12.5%4.0%0.3%-15.0M-272.5M-2.9M4.1826.465,93024,810232,700226,733
2013-04-16$40.78$40.0010.9%3.1%11.6%45.2%11.9%3.8%0.8%-8.6M-415.6M-2.6M2.3325.175,43012,673236,918240,255
2013-04-17$40.52$40.0011.8%3.4%11.9%52.0%12.5%4.2%0.5%-11.5M-335.9M-3.0M2.8518.507,56621,592239,543243,086
2013-04-18$40.38$40.0014.8%4.2%11.6%76.5%14.7%5.0%0.0%-16.9M-286.2M-3.1M10.5325.415,99063,089240,713252,780
2013-04-19$41.00$41.0012.9%3.7%12.3%61.3%15.3%5.4%0.3%-32.8M-371.0M-3.2M9.1827.426,52059,827241,696306,509
2013-04-22$41.11$41.0013.1%3.8%12.1%62.9%15.8%5.7%0.1%-25.3M-285.4M-3.2M5.5326.244,31623,861229,830314,286
2013-04-23$41.43$41.0012.9%3.7%12.2%61.1%13.1%5.1%0.3%-23.1M-377.6M-3.1M0.3525.2236,91813,053232,203320,947
2013-04-24$40.80$41.0012.7%3.7%13.5%60.0%16.0%4.5%0.1%-26.1M-289.6M-3.7M1.7218.4647,10981,216267,659325,118
2013-04-25$40.87$41.0011.9%3.4%13.4%53.0%13.9%4.0%0.4%-28.2M-286.0M-3.7M2.3819.9711,66827,742307,157386,719
2013-04-26$40.92$41.0011.1%3.2%13.4%46.8%14.3%3.9%0.5%-29.8M-312.2M-3.8M9.6591.151,61615,590314,348386,351
2013-04-29$41.02$41.0011.8%3.4%13.4%52.1%10.1%4.1%0.3%-27.2M-329.5M-3.6M0.486.7539,55118,858303,340383,828
2013-04-30$40.94$41.0011.7%3.3%13.0%51.3%13.3%3.5%0.3%-29.3M-340.2M-3.7M1.7612.3522,97340,383324,150379,441