XLP Options History — April 2014

In April 2014, XLP traded between $42.77 and $44.29. ATM implied volatility averaged 10.4%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.2% (HV 20d: 7.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2014-04-17: Highest Volume — 112,143 contracts
  • 2014-04-16: Largest IV drop — 20.5% change
  • 2014-04-11: Highest IV Rank — 37.8%
  • 2014-04-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.42$42.77$44.29$42.99$44.24
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV10.4%8.9%11.9%10.1%10.3%
Expected Move3.8%3.7%4.0%3.8%3.9%
HV 20d7.2%6.6%8.2%6.7%7.9%
HV 60d10.1%8.2%10.5%10.5%8.2%
IV Rank26.0%14.4%37.8%23.9%24.8%
IV Percentile24.2%2.0%61.9%13.9%19.0%
Term Structure0.1%-0.6%1.4%0.1%0.1%
VWIV13.0%10.6%16.4%12.2%13.1%
Skew 25d3.2%1.4%4.2%3.3%3.7%
Skew 10d7.4%3.5%12.5%6.8%8.8%
Call IV 25d9.3%8.5%10.9%9.0%9.1%
Put IV 25d12.5%10.8%14.9%12.2%12.8%
Bid-Ask Spread %30.7616.9666.8716.9641.34
Gamma HHI0.320.180.530.180.45
Net GEX7.9M-33.9M56.7M-18.8M48.5M
Net DEX-217.7M-480.6M-32.7M-91.6M-439.2M
Net VEX-2.1M-2.5M-1.9M-1.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.067.780.402.48
Total Volume14,065.6191,451112,1431,61315,817
Total OI319,414.952265,198409,943265,198409,943

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$42.99$45.0010.1%3.8%6.7%23.9%0.0%3.3%0.1%-18.8M-91.6M-1.9M0.4016.961,151462129,612135,586
2014-04-02$43.08$45.0010.1%3.8%6.6%23.7%12.2%3.0%0.1%-14.3M-104.7M-1.9M0.6418.931,8001,155130,131135,983
2014-04-03$43.09$45.0010.2%3.9%6.6%24.4%13.5%2.9%-0.1%-10.5M-108.0M-1.9M0.6724.17947633131,286136,672
2014-04-04$42.95$45.0010.5%4.0%6.7%26.7%10.6%1.4%-0.3%-8.4M-102.3M-1.9M0.7531.998,5526,428131,754137,183
2014-04-07$42.98$45.0011.1%3.9%6.7%31.4%12.7%3.4%-0.2%-10.9M-102.6M-1.9M4.3529.781,1985,209136,512131,442
2014-04-08$43.21$45.0011.2%4.0%6.9%32.5%0.0%2.9%-0.1%-12.8M-124.2M-1.9M0.4436.851,717750137,187135,856
2014-04-09$43.39$45.0010.1%3.9%7.0%23.8%0.0%3.2%0.7%-11.8M-150.7M-1.9M2.7434.731,2203,344138,338136,443
2014-04-10$42.97$45.0011.7%3.9%7.8%36.0%13.1%3.9%-0.2%-15.0M-107.3M-1.9M2.2829.426,44614,709138,612138,362
2014-04-11$42.77$45.0011.9%3.9%8.0%37.8%12.7%4.0%-0.2%-25.6M-32.7M-1.9M1.7538.043,5036,135140,963150,226
2014-04-14$43.09$45.0011.5%3.9%8.2%34.6%0.0%4.2%0.1%-33.9M-82.0M-1.9M0.6224.912,6011,617139,626151,198
2014-04-15$43.20$45.0011.3%3.9%8.1%33.4%14.8%3.3%0.2%-32.8M-116.1M-1.9M3.0728.172,2366,864141,475151,038
2014-04-16$43.52$45.009.0%3.8%7.5%15.0%16.4%3.1%1.1%-13.6M-192.5M-1.9M1.8727.942,9485,513141,669155,572
2014-04-17$43.63$45.008.9%3.8%7.5%14.4%0.0%3.1%1.4%-16.4M-191.1M-2.0M0.0666.87105,3836,760142,264155,429
2014-04-21$43.63$45.009.7%3.8%7.1%20.6%0.0%2.8%-0.1%48.5M-340.7M-2.4M0.2726.533,053813235,441135,046
2014-04-22$43.65$45.0010.1%3.7%7.0%23.9%0.0%3.3%-0.3%52.2M-328.3M-2.4M6.4125.051,3548,681237,543136,304
2014-04-23$43.56$45.0010.2%3.7%6.7%24.5%10.6%3.0%-0.3%42.5M-315.1M-2.3M1.9325.964,5958,855238,089144,377
2014-04-24$43.73$45.0010.2%3.8%6.6%24.3%13.4%3.1%-0.2%45.0M-352.3M-2.5M2.5529.064091,042242,153144,913
2014-04-25$43.71$45.0010.4%3.7%6.6%26.3%14.9%3.7%-0.6%49.3M-370.6M-2.4M1.0225.101,7491,785242,185145,774
2014-04-28$44.29$45.009.3%3.8%7.9%17.3%12.5%2.7%0.1%56.7M-480.6M-2.4M3.2525.736,06919,746238,967135,304
2014-04-29$44.13$45.0010.4%3.9%7.9%26.0%11.7%3.0%0.1%49.0M-439.3M-2.3M7.7838.392,52019,609241,237150,019
2014-04-30$44.24$45.0010.3%3.9%7.9%24.8%13.1%3.7%0.1%48.5M-439.2M-2.4M2.4841.344,55111,266242,667167,276