XLP Options History — March 2014

In March 2014, XLP traded between $42.10 and $43.00. ATM implied volatility averaged 10.5%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.7% (HV 20d: 8.8%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2014-03-20: Highest Volume — 123,537 contracts
  • 2014-03-21: Largest IV spike — 18.3% change
  • 2014-03-03: Highest IV Rank — 46.7%
  • 2014-03-21: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.66$42.10$43.00$42.10$43.00
Max Pain$43.43$42.00$45.00$42.00$45.00
ATM IV10.5%8.9%12.1%12.1%10.0%
Expected Move3.9%3.7%4.0%3.9%3.8%
HV 20d8.8%7.3%12.3%12.3%8.4%
HV 60d11.0%10.4%12.1%11.7%10.5%
IV Rank30.8%13.8%46.7%46.7%23.0%
IV Percentile25.3%4.0%65.9%65.9%9.5%
Term Structure0.0%-1.3%1.1%-0.1%0.4%
VWIV14.1%10.8%20.4%13.4%13.4%
Skew 25d3.4%2.4%4.0%3.9%3.1%
Skew 10d7.1%1.7%9.3%8.3%8.4%
Call IV 25d9.5%8.9%10.8%10.6%9.1%
Put IV 25d12.9%11.4%14.9%14.5%12.3%
Bid-Ask Spread %18.039.2327.0814.7913.95
Gamma HHI0.240.180.440.220.18
Net GEX-8.5M-21.2M-3.9M-8.8M-6.2M
Net DEX-169.6M-210.9M-125.1M-136.2M-162.0M
Net VEX-1.4M-1.8M-1.1M-1.2M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0411.492.115.29
Total Volume15,348.7141,610123,5379,92734,858
Total OI241,257.286206,961266,104239,720217,089

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$42.10$42.0012.1%3.9%12.3%46.7%13.4%3.9%-0.1%-8.8M-136.2M-1.2M2.1114.793,1926,735121,434118,286
2014-03-04$42.71$42.0010.9%3.8%9.4%38.3%0.0%3.6%-0.1%-5.6M-200.3M-1.1M0.8719.192,7802,407123,275123,760
2014-03-05$42.55$42.0010.8%3.8%9.7%37.7%15.9%3.5%0.2%-6.0M-183.2M-1.3M0.2814.794,1221,169124,538124,691
2014-03-06$42.63$42.0010.7%3.9%9.7%37.2%14.5%3.4%0.3%-4.2M-189.1M-1.3M1.6815.828511,429128,142124,564
2014-03-07$42.64$42.0010.8%3.8%9.5%37.9%12.2%3.3%-0.2%-5.3M-204.4M-1.1M1.4411.88659951128,455125,656
2014-03-10$42.65$42.0010.8%3.7%8.9%37.6%0.0%3.4%-1.1%-3.9M-208.0M-1.1M4.3919.437683,374124,933112,186
2014-03-11$42.68$42.0010.6%3.8%8.9%36.4%0.0%3.6%-1.0%-5.5M-204.3M-1.2M2.4223.975001,212125,248114,815
2014-03-12$42.74$42.0010.8%3.8%8.1%38.0%11.4%3.3%-1.3%-3.9M-210.9M-1.2M11.4920.992,44128,054125,455115,646
2014-03-13$42.58$42.0011.0%3.8%7.9%39.3%20.4%3.7%-0.7%-12.2M-156.7M-1.3M3.5621.501,0733,815127,252126,827
2014-03-14$42.58$42.0011.8%3.9%7.7%44.9%10.8%4.0%-0.6%-14.0M-153.5M-1.4M3.3211.552,4638,186127,996129,975
2014-03-17$42.83$42.0010.1%3.8%7.6%23.9%12.5%3.5%0.4%-7.2M-189.1M-1.3M3.3018.302,0336,709128,015130,136
2014-03-18$42.99$45.009.9%3.9%7.3%22.0%0.0%3.4%0.5%-5.4M-190.4M-1.3M1.0519.411,9051,995129,457130,387
2014-03-19$42.56$45.009.6%3.8%8.3%19.8%0.0%3.7%0.9%-10.9M-157.3M-1.4M3.0026.343,2749,837129,240131,525
2014-03-20$42.74$45.008.9%3.9%8.3%13.8%0.0%2.4%1.1%-13.8M-181.5M-1.3M0.0415.39118,2955,242130,249135,855
2014-03-21$42.50$45.0010.5%4.0%8.5%26.7%0.0%3.1%-0.4%-21.2M-125.9M-1.4M2.5127.083,8639,679122,131138,433
2014-03-24$42.46$45.0010.5%4.0%8.5%26.8%17.0%3.3%0.3%-7.6M-148.3M-1.3M10.8115.358979,694115,00991,952
2014-03-25$42.79$45.009.2%3.9%8.8%16.7%0.0%3.0%0.4%-8.0M-125.1M-1.8M0.259.233,022769115,44796,739
2014-03-26$42.67$45.0010.3%3.8%8.9%24.8%13.3%3.3%0.5%-10.9M-146.3M-1.7M4.6921.471,2916,061117,54597,439
2014-03-27$42.64$45.0010.6%3.9%8.8%27.4%0.0%3.2%0.5%-8.7M-136.1M-1.7M3.1620.502,6638,427118,26294,929
2014-03-28$42.75$45.0010.7%3.8%8.5%28.4%14.7%3.6%0.1%-10.1M-152.7M-1.7M1.0717.777,5648,064120,306103,124
2014-03-31$43.00$45.0010.0%3.8%8.4%23.0%13.4%3.1%0.4%-6.2M-162.0M-1.7M5.2913.955,54429,314118,28898,801