XLP Options History — April 2017

In April 2017, XLP traded between $54.53 and $55.73. ATM implied volatility averaged 10.1%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 5.2% (HV 20d: 4.9%). Max pain ranged from $54.00 to $55.50. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 9.67.

Notable Days

2017-04-11: Highest Volume — 109,862 contracts
2017-04-06: Largest IV spike — 13.4% change
2017-04-18: Highest IV Rank — 48.5%
2017-04-18: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.02	$54.53	$55.73	$54.53	$55.13
Max Pain	$54.53	$54.00	$55.50	$55.00	$55.50
ATM IV	10.1%	8.9%	11.8%	9.6%	9.3%
Expected Move	2.8%	2.2%	3.4%	2.2%	2.6%
HV 20d	4.9%	3.3%	6.6%	4.8%	6.5%
HV 60d	6.6%	6.3%	7.1%	7.1%	6.6%
IV Rank	27.4%	11.4%	48.5%	20.1%	16.8%
IV Percentile	24.4%	1.6%	58.3%	9.5%	7.5%
Term Structure	0.0%	-0.8%	1.8%	0.1%	0.4%
VWIV	11.0%	7.9%	15.4%	8.2%	8.7%
Skew 25d	2.8%	1.4%	4.0%	3.4%	2.7%
Skew 10d	6.8%	3.9%	9.7%	7.6%	5.3%
Call IV 25d	9.1%	7.9%	10.1%	7.9%	8.8%
Put IV 25d	12.0%	10.2%	14.0%	11.3%	11.6%
Bid-Ask Spread %	13.56	6.52	32.16	9.11	32.16
Gamma HHI	0.21	0.13	0.32	0.13	0.32
Net GEX	-26.3M	-104.7M	18.0M	-6.5M	-104.7M
Net DEX	80.1M	-18.7M	175.9M	41.8M	175.9M
Net VEX	-2.4M	-3.1M	-2.0M	-2.0M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.67	0.63	33.94	16.61	3.30
Total Volume	39,014.316	14,515	109,862	45,689	20,993
Total OI	381,931.053	249,277	528,073	249,277	448,808

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-04-03	$54.53	$55.00	9.6%	2.2%	4.8%	20.1%	8.2%	3.4%	0.1%	-6.5M	41.8M	-2.0M	16.61	9.11	2,594	43,095	82,038	167,239
2017-04-04	$54.63	$55.00	9.4%	2.3%	4.8%	18.6%	7.9%	1.6%	-0.8%	-10.1M	52.5M	-2.1M	8.49	9.87	3,106	26,379	82,917	199,523
2017-04-05	$54.56	$55.00	8.9%	2.5%	4.8%	11.4%	8.7%	1.9%	1.8%	-11.0M	58.6M	-2.1M	12.82	16.39	2,082	26,685	82,963	199,630
2017-04-06	$54.55	$54.00	10.1%	2.6%	4.6%	26.6%	11.3%	3.0%	-0.2%	-9.4M	60.5M	-2.2M	4.21	12.29	2,786	11,729	83,273	199,788
2017-04-07	$54.72	$54.00	9.7%	2.5%	4.6%	22.1%	13.0%	2.0%	-0.3%	-7.1M	46.7M	-2.2M	1.81	7.56	6,865	12,416	83,788	201,715
2017-04-10	$54.84	$54.00	9.2%	2.7%	4.7%	15.8%	12.7%	2.7%	0.1%	-2.0M	21.1M	-2.2M	2.82	6.52	3,870	10,895	87,227	201,021
2017-04-11	$54.82	$54.00	10.0%	2.8%	4.6%	25.2%	14.4%	3.2%	-0.1%	-4.0M	22.0M	-2.1M	33.94	6.62	3,144	106,718	84,426	203,341
2017-04-12	$55.05	$54.00	10.8%	3.0%	3.6%	35.2%	13.9%	2.9%	-0.3%	-36.6M	155.8M	-3.1M	17.67	9.46	3,207	56,657	84,504	400,775
2017-04-13	$54.93	$54.00	10.7%	3.1%	3.6%	34.1%	14.0%	3.6%	0.1%	-22.9M	115.6M	-2.7M	14.51	13.09	3,971	57,631	84,003	304,038
2017-04-17	$55.03	$54.00	11.4%	3.3%	3.3%	43.0%	15.4%	3.7%	-0.7%	-20.2M	62.3M	-2.3M	14.56	13.91	3,957	57,606	83,877	305,985
2017-04-18	$55.50	$54.00	11.8%	3.4%	4.5%	48.5%	10.8%	4.0%	-0.1%	-12.0M	-18.7M	-2.2M	0.63	10.59	14,190	8,890	84,250	305,891
2017-04-19	$55.19	$54.00	11.5%	3.3%	5.0%	44.1%	11.0%	3.8%	-0.1%	-9.3M	32.7M	-2.5M	18.95	17.69	4,187	79,343	94,154	308,242
2017-04-20	$55.18	$54.00	11.2%	3.2%	4.9%	41.1%	11.1%	2.9%	0.3%	-39.4M	169.0M	-3.1M	3.29	16.54	3,409	11,211	95,177	432,896
2017-04-21	$55.06	$55.00	11.0%	3.1%	4.9%	38.3%	11.2%	3.9%	0.3%	18.0M	130.7M	-2.8M	3.93	21.57	3,115	12,247	95,507	376,171
2017-04-24	$55.54	$55.00	9.8%	2.8%	5.6%	23.0%	9.4%	1.4%	-0.0%	-37.7M	108.2M	-2.8M	15.75	11.43	4,668	73,544	79,278	365,071
2017-04-25	$55.73	$55.00	9.2%	2.7%	5.7%	15.1%	9.1%	2.2%	-0.2%	-31.8M	291.3K	-2.2M	1.05	13.80	12,019	12,630	80,761	374,446
2017-04-26	$55.27	$55.00	9.1%	2.6%	6.5%	13.7%	9.2%	2.4%	0.4%	-70.9M	131.3M	-2.6M	4.80	12.65	2,983	14,326	70,971	374,837
2017-04-27	$55.17	$55.50	10.1%	2.7%	6.6%	27.4%	8.9%	2.6%	-0.6%	-82.9M	156.4M	-2.5M	4.64	16.35	3,216	14,908	71,141	377,018
2017-04-28	$55.13	$55.50	9.3%	2.6%	6.5%	16.8%	8.7%	2.7%	0.4%	-104.7M	175.9M	-2.6M	3.30	32.16	4,881	16,112	70,533	378,275