XLP Options History — April 2015

In April 2015, XLP traded between $48.33 and $49.60. ATM implied volatility averaged 12.1%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.0% (HV 20d: 9.2%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-04-02: Highest Volume — 53,147 contracts
  • 2015-04-17: Largest IV spike — 12.7% change
  • 2015-04-01: Highest IV Rank — 70.2%
  • 2015-04-01: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.19$48.33$49.60$48.75$48.33
Max Pain$49.48$49.00$50.00$49.00$50.00
ATM IV12.1%11.0%14.0%14.0%12.5%
Expected Move3.5%3.1%4.0%4.0%3.6%
HV 20d9.2%7.5%13.6%13.3%7.6%
HV 60d11.6%10.0%12.6%12.5%10.0%
IV Rank51.4%39.4%70.2%70.2%54.8%
IV Percentile69.8%55.2%90.1%90.1%74.6%
Term Structure-0.1%-0.9%0.9%0.1%-0.6%
VWIV11.4%6.9%14.8%13.8%12.6%
Skew 25d2.9%2.5%3.3%3.2%2.5%
Skew 10d5.8%4.7%7.2%7.2%5.1%
Call IV 25d10.9%10.2%12.4%12.4%11.3%
Put IV 25d13.8%12.9%15.6%15.6%13.9%
Bid-Ask Spread %8.365.9212.269.637.58
Gamma HHI0.180.120.720.120.16
Net GEX-17.3M-123.0M-5.7M-15.1M-14.5M
Net DEX-30.7M-97.3M69.1M23.3M69.1M
Net VEX-1.5M-1.7M-1.4M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.334.103.514.10
Total Volume22,495.3812,30353,14714,60420,437
Total OI238,340.19211,081270,404230,394216,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$48.75$49.0014.0%4.0%13.3%70.2%13.8%3.2%0.1%-15.1M23.3M-1.6M3.519.633,24011,36468,864161,530
2015-04-02$49.17$49.0013.1%3.9%13.6%61.3%14.8%3.0%0.0%-5.7M-52.7M-1.5M2.397.7515,66937,47869,341160,439
2015-04-06$49.57$49.0012.9%3.6%11.6%58.8%14.6%2.9%-0.4%-22.0M-66.6M-1.6M3.497.227,93127,68374,971188,205
2015-04-07$49.32$49.0012.7%3.8%11.6%56.7%12.8%3.3%0.7%-21.7M-42.5M-1.7M3.736.888,20330,56777,867192,537
2015-04-08$49.37$49.0012.5%3.8%10.2%54.7%13.6%2.9%0.9%-12.0M-65.7M-1.6M1.8610.018041,49979,029178,728
2015-04-09$49.53$49.0012.2%3.4%9.6%51.4%13.0%2.7%-0.2%-12.1M-85.3M-1.6M1.497.376,3949,51979,222179,470
2015-04-10$49.60$49.0011.6%3.2%8.9%45.8%11.9%2.6%-0.3%-13.7M-97.3M-1.6M0.435.9616,4227,04680,586183,565
2015-04-13$49.38$49.0012.9%3.7%8.9%58.8%11.7%3.3%-0.8%-12.7M-83.2M-1.7M0.455.9214,7396,66583,374180,383
2015-04-14$49.42$49.0012.5%3.6%8.0%55.2%11.4%3.1%-0.9%-12.2M-90.7M-1.7M0.566.6315,7728,88684,347181,918
2015-04-15$49.32$49.0012.2%3.5%7.7%51.4%11.9%2.8%-0.8%-16.7M-37.3M-1.6M0.677.3414,8029,95872,710185,167
2015-04-16$49.52$49.0011.0%3.1%7.8%39.4%10.7%2.7%0.5%-7.0M-69.5M-1.5M0.638.6316,09210,15072,398184,945
2015-04-17$49.04$50.0012.3%3.5%8.7%53.5%11.6%2.9%-0.0%-123.0M2.9M-1.6M0.448.8317,3057,54273,428186,947
2015-04-20$49.23$50.0012.1%3.4%8.5%50.8%7.8%2.9%-0.2%-7.3M-22.0M-1.5M0.469.8415,7487,29165,822145,259
2015-04-21$49.30$50.0011.4%3.2%8.5%44.1%8.1%3.0%0.0%-6.5M-19.6M-1.5M0.339.5415,7555,14265,969147,068
2015-04-22$49.35$50.0011.2%3.2%8.5%41.9%9.9%2.8%-0.2%-5.9M-42.6M-1.4M0.349.5615,1925,18866,148147,293
2015-04-23$49.19$50.0011.8%3.3%8.3%47.7%9.3%2.9%-0.1%-7.9M-19.7M-1.5M0.419.2015,9356,60366,239147,448
2015-04-24$49.16$50.0011.7%3.3%8.2%46.5%6.9%2.7%-0.1%-10.2M-19.5M-1.5M0.478.0813,9946,55165,768148,703
2015-04-27$48.91$50.0011.6%3.4%8.3%45.6%8.4%3.1%0.6%-10.7M14.5M-1.5M0.429.3013,8065,75764,991148,650
2015-04-28$48.90$50.0011.3%3.3%7.5%43.2%11.4%2.6%0.3%-12.0M9.2M-1.4M2.618.002,7037,05465,427149,058
2015-04-29$48.54$50.0011.8%3.5%7.5%48.2%13.0%2.7%0.3%-14.1M50.9M-1.5M1.6612.263,5845,93365,776149,536
2015-04-30$48.33$50.0012.5%3.6%7.6%54.8%12.6%2.5%-0.6%-14.5M69.1M-1.5M4.107.584,00916,42866,267149,751