XLP Options History — March 2017

In March 2017, XLP traded between $54.66 and $55.45. ATM implied volatility averaged 9.5%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.0% (HV 20d: 6.5%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.82.

Notable Days

  • 2017-03-31: Highest Volume — 59,295 contracts
  • 2017-03-21: Largest IV spike — 13.4% change
  • 2017-03-24: Highest IV Rank — 29.5%
  • 2017-03-01: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.97$54.66$55.45$55.43$54.71
Max Pain$54.87$54.00$55.00$54.00$55.00
ATM IV9.5%8.0%10.3%10.3%8.5%
Expected Move2.7%2.3%3.3%3.3%2.3%
HV 20d6.5%4.8%7.6%7.3%4.8%
HV 60d7.6%7.1%8.6%8.5%7.1%
IV Rank13.8%0.0%29.5%20.2%6.7%
IV Percentile8.1%0.0%22.2%16.7%1.2%
Term Structure0.2%-0.9%1.1%0.2%-0.3%
VWIV9.8%8.0%12.7%12.3%8.0%
Skew 25d2.0%0.8%3.3%2.3%0.9%
Skew 10d4.3%1.3%6.6%6.6%4.7%
Call IV 25d9.0%7.8%9.9%9.6%9.8%
Put IV 25d11.0%9.2%12.0%11.9%10.7%
Bid-Ask Spread %10.194.2817.8410.3510.45
Gamma HHI0.150.110.490.120.12
Net GEX-1.2M-47.7M9.9M-1.1M3.3M
Net DEX-72.4M-187.6M1.9M-127.1M-10.9M
Net VEX-1.7M-1.8M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.820.6516.631.4816.63
Total Volume23,691.26113,47259,29527,78059,295
Total OI289,849.043188,908377,585339,436218,766

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$55.43$54.0010.3%3.3%7.3%20.2%12.3%2.3%0.2%-1.1M-127.1M-1.5M1.4810.3511,22016,56076,510262,926
2017-03-02$55.33$54.009.8%3.0%7.2%13.6%12.3%1.7%0.1%-1.3M-127.0M-1.5M1.446.309,82614,18679,100264,833
2017-03-03$55.08$54.009.7%3.1%7.5%11.7%12.7%1.4%0.3%-7.0M-98.4M-1.5M1.889.849,96818,70379,635265,214
2017-03-06$54.93$55.009.8%2.9%7.6%13.4%10.2%3.0%0.2%-6.9M-71.3M-1.5M0.944.6010,4769,84379,133268,429
2017-03-07$54.80$55.009.7%2.8%7.3%10.8%10.1%2.7%0.0%-7.4M-60.9M-1.5M0.685.9419,24513,11280,731268,607
2017-03-08$54.70$55.009.9%2.8%7.1%13.8%10.2%2.4%0.0%-6.8M-55.9M-1.7M0.844.2811,2679,46391,090270,728
2017-03-09$54.87$55.009.6%2.7%7.0%9.3%10.2%1.7%-0.0%-3.6M-84.0M-1.6M1.0312.329,2109,44491,753271,479
2017-03-10$55.04$55.009.3%2.7%7.0%5.1%10.2%3.3%-0.6%-388.8K-111.3M-1.6M1.205.667,8099,34492,928272,253
2017-03-13$55.08$55.0010.2%2.8%6.9%18.1%10.1%1.0%-0.1%-2.1M-117.9M-1.6M1.147.869,38310,70692,269271,762
2017-03-14$54.96$55.009.5%2.8%7.0%8.1%10.7%2.7%0.4%-2.9M-98.2M-1.7M1.296.318,34910,78595,794275,034
2017-03-15$55.45$55.0010.3%2.8%7.5%20.8%10.0%1.7%0.4%6.3M-185.2M-1.7M0.8815.3210,3809,14296,019275,509
2017-03-16$55.36$55.009.0%2.6%7.0%1.5%9.4%1.4%0.1%5.2M-187.6M-1.6M0.6517.8420,58613,46999,169278,416
2017-03-17$55.10$55.008.0%2.5%7.3%0.0%8.0%1.5%0.8%-47.7M-85.0M-1.6M1.6413.009,75616,04483,607279,883
2017-03-20$55.06$55.008.5%2.5%7.0%6.3%8.7%2.0%0.7%9.9M-61.0M-1.6M4.0111.343,56514,30874,121114,828
2017-03-21$55.03$55.009.6%2.8%5.8%20.8%9.6%3.0%0.0%8.5M-58.1M-1.7M2.9615.235,59016,54174,276114,632
2017-03-22$54.92$55.009.6%2.7%5.8%20.0%9.8%2.6%-0.1%7.7M-40.8M-1.8M3.9013.614,56117,80175,478116,060
2017-03-23$54.76$55.009.8%2.8%5.8%22.8%9.4%2.4%1.1%5.2M-17.6M-1.8M5.0412.933,94419,86875,622119,247
2017-03-24$54.66$55.0010.3%2.9%5.7%29.5%9.4%2.4%1.0%4.7M-11.2M-1.7M2.4011.043,9609,51277,483122,592
2017-03-27$54.66$55.0010.2%2.9%5.4%27.9%9.7%2.1%-0.9%2.8M1.9M-1.7M4.799.382,33511,18074,551122,203
2017-03-28$54.78$55.009.2%2.4%5.4%15.6%8.6%1.3%0.1%3.6M-17.5M-1.6M2.1610.356,64714,34474,840123,974
2017-03-29$54.84$55.008.5%2.3%5.0%6.3%8.5%0.8%0.4%1.2M-31.3M-1.7M2.4711.566,40515,82279,265128,753
2017-03-30$54.71$55.009.1%2.3%5.0%14.5%8.3%2.7%0.2%749.5K-8.6M-1.8M5.498.983,22517,72083,949133,077
2017-03-31$54.71$55.008.5%2.3%4.8%6.7%8.0%0.9%-0.3%3.3M-10.9M-1.8M16.6310.453,36355,93284,583134,183