XLP Options History — April 2016

In April 2016, XLP traded between $51.76 and $53.69. ATM implied volatility averaged 11.7%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.1% (HV 20d: 10.6%). Max pain ranged from $53.00 to $53.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.17.

Notable Days

  • 2016-04-21: Highest Volume — 130,144 contracts
  • 2016-04-05: Largest IV spike — 15.4% change
  • 2016-04-21: Highest IV Rank — 21.7%
  • 2016-04-21: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.85$51.76$53.69$53.69$52.34
Max Pain$53.02$53.00$53.50$53.00$53.00
ATM IV11.7%10.0%13.0%10.0%12.3%
Expected Move3.4%2.6%3.7%2.6%3.5%
HV 20d10.6%8.7%12.3%8.7%11.0%
HV 60d11.8%10.4%13.0%13.0%10.4%
IV Rank13.8%3.0%21.7%3.0%17.9%
IV Percentile33.1%3.2%57.9%3.2%46.8%
Term Structure0.1%-0.4%0.7%0.6%-0.1%
VWIV12.9%10.5%14.7%10.5%13.4%
Skew 25d3.4%2.9%4.8%3.3%4.8%
Skew 10d7.3%5.6%9.1%7.6%9.1%
Call IV 25d10.2%7.8%11.7%7.8%11.0%
Put IV 25d13.7%11.2%15.8%11.2%15.8%
Bid-Ask Spread %10.865.4717.3816.0511.54
Gamma HHI0.190.160.350.170.16
Net GEX-54.3M-94.0M-28.2M-32.1M-57.1M
Net DEX116.0M-60.7M399.3M-60.7M246.9M
Net VEX-1.7M-2.2M-1.5M-1.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.171.3711.232.9510.55
Total Volume28,724.90510,523130,14412,59635,682
Total OI358,013.571237,527436,430395,642351,404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$53.69$53.0010.0%2.6%8.7%3.0%10.5%3.3%0.6%-32.1M-60.7M-1.6M2.9516.053,1879,40969,171326,471
2016-04-04$53.55$53.0010.6%3.1%8.8%7.1%11.7%3.3%0.2%-36.7M-6.2M-1.6M2.0211.575,37710,88061,746322,704
2016-04-05$53.18$53.0012.3%3.6%8.7%17.5%12.7%3.8%0.1%-49.2M49.0M-1.7M2.715.942,9247,92862,386325,156
2016-04-06$53.67$53.0011.4%3.2%9.1%12.2%14.6%3.1%-0.1%-34.9M-32.7M-1.5M2.7213.203,97910,82262,614325,737
2016-04-07$53.12$53.0012.1%3.7%9.8%16.1%12.1%2.9%0.4%-48.9M53.0M-1.6M2.188.916,06713,22563,887329,831
2016-04-08$53.33$53.0011.2%3.5%9.9%10.6%12.8%3.3%0.5%-43.2M20.0M-1.7M1.375.477,73510,58565,013332,028
2016-04-11$53.05$53.0012.3%3.6%10.0%18.0%14.1%3.5%-0.1%-49.2M37.1M-1.6M1.7511.066,23510,93064,527333,658
2016-04-12$53.35$53.0011.6%3.5%10.2%12.9%14.1%3.5%0.7%-30.7M3.0M-1.6M2.168.154,73910,22664,949338,874
2016-04-13$52.93$53.0011.6%3.4%10.6%13.4%14.7%3.5%0.5%-50.1M47.4M-1.5M5.7117.387,12540,66264,988341,583
2016-04-14$52.70$53.0012.0%3.4%10.7%15.7%13.2%3.6%-0.2%-67.7M129.7M-1.6M3.0510.764,88814,90865,737364,447
2016-04-15$53.02$53.0011.2%3.2%10.6%10.5%12.4%3.0%0.3%-65.0M44.7M-1.5M2.3611.978,29619,59166,146370,284
2016-04-18$53.23$53.0011.2%3.2%10.3%10.9%11.6%3.3%0.1%-28.5M12.8M-1.5M1.697.254,1927,08157,119180,408
2016-04-19$53.25$53.0010.9%3.1%10.3%8.6%12.2%3.0%0.2%-28.2M24.7M-1.6M2.219.443,2837,24057,786180,646
2016-04-20$52.62$53.0011.8%3.4%10.6%14.6%12.4%3.6%0.3%-36.0M103.4M-1.6M5.8211.285,74733,46657,976179,908
2016-04-21$51.76$53.0013.0%3.7%12.1%21.7%14.0%3.9%-0.2%-40.9M266.3M-1.8M11.2314.3210,639119,50560,149201,843
2016-04-22$51.93$53.5012.5%3.6%12.2%18.7%12.3%3.7%-0.4%-81.6M399.3M-2.2M2.978.289,11927,12064,984286,481
2016-04-25$52.23$53.0012.6%3.7%12.3%19.5%12.6%3.5%-0.1%-85.4M299.6M-2.1M2.037.817,56615,33566,956283,384
2016-04-26$52.11$53.0012.3%3.6%11.9%17.4%13.5%3.4%-0.0%-93.4M315.0M-2.1M10.039.484,31943,32170,648285,726
2016-04-27$52.40$53.0011.4%3.3%11.9%11.8%12.3%3.2%0.3%-94.0M233.3M-2.0M4.8617.115,03824,47570,769291,878
2016-04-28$52.29$53.0011.4%3.6%11.9%12.0%14.5%3.1%0.1%-86.5M251.3M-2.0M7.1411.052,50317,87472,502275,781
2016-04-29$52.34$53.0012.3%3.5%11.0%17.9%13.4%4.8%-0.1%-57.1M246.9M-2.0M10.5511.543,09032,59272,976278,428