XLP Options History — March 2016

In March 2016, XLP traded between $51.35 and $53.25. ATM implied volatility averaged 11.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.9% (HV 20d: 9.7%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 5.00.

Notable Days

  • 2016-03-24: Highest Volume — 114,271 contracts
  • 2016-03-15: Largest IV drop — 12.0% change
  • 2016-03-01: Highest IV Rank — 24.3%
  • 2016-03-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.37$51.35$53.25$51.35$53.08
Max Pain$52.25$50.00$53.00$50.00$53.00
ATM IV11.6%10.0%13.4%13.4%10.5%
Expected Move3.3%2.8%4.2%4.2%2.8%
HV 20d9.7%7.8%12.2%12.2%8.1%
HV 60d14.6%12.9%16.3%16.3%12.9%
IV Rank13.5%3.1%24.3%24.3%6.6%
IV Percentile28.7%4.0%57.5%57.5%10.3%
Term Structure0.3%-0.4%1.6%-0.0%0.1%
VWIV12.3%8.9%16.0%15.8%11.2%
Skew 25d3.4%1.1%5.0%5.0%2.8%
Skew 10d7.5%4.2%9.6%9.6%6.1%
Call IV 25d10.6%9.2%12.7%11.6%9.4%
Put IV 25d14.0%11.4%16.6%16.6%12.2%
Bid-Ask Spread %11.454.9123.3211.2911.53
Gamma HHI0.140.110.190.150.19
Net GEX-22.1M-65.9M-4.3M-8.8M-65.9M
Net DEX-3.1M-158.3M96.4M17.8M65.8M
Net VEX-1.6M-1.9M-1.2M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.000.3825.503.344.11
Total Volume33,975.7279,619114,27112,64835,937
Total OI285,757.091238,141405,181240,721405,181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$51.35$50.0013.4%4.2%12.2%24.3%15.8%5.0%-0.0%-8.8M17.8M-1.5M3.3411.292,9179,73168,656172,065
2016-03-02$51.51$50.0013.0%4.2%11.1%22.2%15.8%4.3%0.4%-9.7M16.9M-1.6M3.0911.973,1669,77469,300173,220
2016-03-03$51.81$51.0011.8%3.5%11.1%14.7%13.8%4.0%-0.1%-7.7M-23.8M-1.5M2.879.982,4937,16370,138175,117
2016-03-04$52.05$51.0012.2%3.5%10.3%17.0%14.4%3.5%-0.2%-4.3M-48.4M-1.5M13.7610.434,89567,36270,395175,776
2016-03-07$51.66$52.0012.5%3.4%10.7%18.7%12.1%3.7%-0.3%-18.9M45.0M-1.6M3.639.954,80117,42269,422203,953
2016-03-08$51.85$52.0012.4%3.6%10.7%18.4%14.0%3.8%0.4%-17.1M21.1M-1.6M2.8514.792,7897,95971,149204,781
2016-03-09$52.21$52.0013.2%3.7%10.6%23.3%16.0%4.0%-0.3%-12.6M-15.6M-1.6M4.837.312,39711,57471,830206,164
2016-03-10$52.20$52.0013.3%3.7%10.6%23.9%14.2%3.7%-0.4%-15.2M-11.6M-1.6M4.2912.102,63911,31771,938210,991
2016-03-11$52.43$52.0011.8%3.6%10.1%14.7%11.9%3.5%1.2%-12.6M-41.3M-1.5M5.388.652,61714,09072,380212,390
2016-03-14$52.44$53.0012.2%3.6%9.7%17.1%11.6%4.3%-0.3%-14.2M-32.7M-1.5M3.634.912,5229,15371,148208,554
2016-03-15$52.52$53.0010.8%3.1%9.6%7.9%11.9%4.0%1.1%-12.9M-49.8M-1.4M1.536.593,8075,81272,066209,381
2016-03-16$52.67$53.0010.2%2.9%8.8%4.5%12.1%3.1%1.1%-10.9M-81.9M-1.3M3.9123.325,96723,33672,914209,929
2016-03-17$53.08$53.0010.0%2.8%8.7%3.1%8.9%2.0%0.6%-5.6M-158.3M-1.2M3.928.672,59610,17275,926225,683
2016-03-18$52.69$53.0010.5%2.9%9.3%6.3%10.0%3.0%1.6%-21.9M-29.7M-1.3M0.7016.8723,04816,22064,029228,553
2016-03-21$52.83$53.0010.5%2.9%9.3%6.5%9.7%2.9%0.3%-19.6M-19.5M-1.5M0.3811.8916,4896,22457,389180,752
2016-03-22$52.33$53.0011.3%3.1%10.1%11.4%10.9%3.1%0.0%-26.8M41.3M-1.6M0.9810.7915,81915,57758,703183,304
2016-03-23$52.41$53.0011.3%3.1%10.1%11.4%11.3%2.9%0.4%-29.7M45.5M-1.7M0.8911.1314,38312,87059,689194,374
2016-03-24$52.33$53.0011.6%3.1%9.3%13.2%13.3%1.1%0.5%-33.6M65.8M-1.7M8.4915.6412,043102,22859,845200,302
2016-03-28$52.55$52.5012.0%3.2%7.8%16.0%11.6%3.5%0.3%-57.5M96.4M-1.9M6.2812.379,24958,07962,295289,708
2016-03-29$52.95$52.5010.8%2.9%8.0%8.2%10.4%2.9%0.3%-46.7M41.8M-1.8M5.6613.0910,78661,04562,854296,961
2016-03-30$53.25$52.5010.8%2.8%7.9%8.0%10.7%3.1%0.4%-34.1M-12.3M-1.7M25.508.643,35885,64064,676302,775
2016-03-31$53.08$53.0010.5%2.8%8.1%6.6%11.2%2.8%0.1%-65.9M65.8M-1.8M4.1111.537,02928,90865,474339,707