XLP Options History — March 2015

In March 2015, XLP traded between $47.93 and $50.13. ATM implied volatility averaged 12.9%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.0% (HV 20d: 11.9%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.93.

Notable Days

  • 2015-03-06: Highest Volume — 80,224 contracts
  • 2015-03-06: Largest IV spike — 38.4% change
  • 2015-03-06: Highest IV Rank — 75.9%
  • 2015-03-13: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.87$47.93$50.13$50.13$48.82
Max Pain$48.86$48.00$49.00$48.00$49.00
ATM IV12.9%10.4%14.6%10.4%13.5%
Expected Move3.7%3.1%4.2%3.1%3.8%
HV 20d11.9%8.0%13.5%11.4%13.5%
HV 60d12.9%12.2%13.6%12.2%12.5%
IV Rank59.0%33.4%75.9%33.4%64.7%
IV Percentile80.4%51.6%94.8%51.6%83.7%
Term Structure0.1%-0.6%0.8%-0.0%0.0%
VWIV14.0%11.3%16.4%11.3%16.4%
Skew 25d3.0%1.9%3.9%1.9%3.4%
Skew 10d5.8%3.8%8.1%3.8%6.8%
Call IV 25d11.7%9.5%13.2%9.5%12.2%
Put IV 25d14.6%11.3%16.5%11.3%15.6%
Bid-Ask Spread %9.846.9713.867.168.37
Gamma HHI0.150.130.200.160.14
Net GEX-16.1M-27.7M1.7M1.7M-17.3M
Net DEX3.6M-117.0M104.5M-117.0M11.9M
Net VEX-1.5M-1.7M-958.1K-958.1K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.179.789.781.11
Total Volume23,041.2271,78380,22441,66134,288
Total OI207,253.864148,743239,941148,743234,780

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$50.13$48.0010.4%3.1%11.4%33.4%11.3%1.9%-0.0%1.7M-117.0M-958.1K9.787.163,86437,79749,63299,111
2015-03-03$49.91$48.0010.7%3.3%8.8%36.5%11.3%2.6%0.0%872.5K-96.2M-1.1M6.978.885,66039,42451,26099,436
2015-03-04$49.56$48.0011.3%3.5%8.4%42.5%11.3%2.5%0.1%-221.0K-90.3M-1.2M6.999.245,99041,86853,110103,249
2015-03-05$49.77$49.0010.5%3.1%8.0%34.9%12.8%3.2%-0.0%1.5M-83.6M-1.2M4.347.579,92243,08753,466103,399
2015-03-06$48.74$49.0014.6%4.0%11.1%75.9%14.6%3.9%-0.6%-2.6M-48.6M-1.4M5.8013.8611,80668,41858,027105,622
2015-03-09$49.04$49.0012.8%3.7%11.1%58.1%14.0%2.8%0.2%-21.8M-3.1M-1.5M4.0011.792,4839,92958,646142,196
2015-03-10$48.34$49.0013.6%4.0%12.1%66.0%13.7%2.9%0.1%-26.2M67.5M-1.6M2.049.323,7877,73658,947147,498
2015-03-11$47.93$49.0014.3%4.1%12.3%73.4%16.3%3.3%0.3%-23.4M104.5M-1.6M7.4210.624,35732,33161,057148,671
2015-03-12$48.47$49.0013.7%4.1%12.1%67.2%15.4%3.0%0.8%-27.6M61.5M-1.7M1.5411.871,5052,31563,793169,412
2015-03-13$48.24$49.0014.1%4.2%12.1%71.7%14.5%2.6%-0.4%-25.6M87.4M-1.6M4.0512.075492,22364,887169,422
2015-03-16$48.80$49.0013.4%3.9%12.8%64.4%15.8%3.4%-0.1%-21.1M32.4M-1.6M0.378.551,30148263,968166,624
2015-03-17$48.52$49.0013.1%3.8%12.9%61.5%14.2%2.5%0.1%-27.7M43.7M-1.5M0.598.792,5031,47564,323166,828
2015-03-18$48.50$49.0013.8%4.0%12.9%68.4%15.2%3.0%-0.3%-21.1M31.6M-1.6M0.3211.546,7762,17065,287166,812
2015-03-19$48.63$49.0012.2%3.5%12.7%52.4%14.9%3.1%0.6%-17.3M37.1M-1.6M0.176.976,3701,10569,514167,933
2015-03-20$48.91$49.0011.5%3.2%12.8%44.4%12.7%3.0%0.6%-17.7M9.9M-1.4M0.418.613,7901,56061,863167,943
2015-03-23$48.99$49.0011.8%3.4%12.7%47.7%11.6%2.7%0.2%-18.6M-13.8M-1.5M0.8011.125,1724,15055,485144,349
2015-03-24$48.89$49.0012.5%3.6%12.7%54.7%13.1%3.0%-0.0%-18.6M-7.2M-1.5M1.1710.635,1906,08658,153145,746
2015-03-25$48.61$49.0013.9%3.9%12.8%69.3%14.4%3.2%0.1%-19.5M26.9M-1.7M2.5912.823,8329,92360,983150,461
2015-03-26$48.47$49.0014.2%4.0%12.7%71.9%14.2%3.1%-0.2%-23.7M62.2M-1.7M2.597.645,20013,49063,646158,841
2015-03-27$48.71$49.0014.5%4.1%12.8%74.9%15.2%2.6%-0.1%-22.2M26.1M-1.6M0.409.4716,0966,46663,927161,337
2015-03-30$49.18$49.0013.3%3.8%13.3%63.2%16.0%3.3%0.1%-6.0M-62.6M-1.5M1.039.6916,94517,48675,762164,179
2015-03-31$48.82$49.0013.5%3.8%13.5%64.7%16.4%3.4%0.0%-17.3M11.9M-1.6M1.118.3716,22818,06069,119165,661