XLP Options History — March 2018

In March 2018, XLP traded between $50.94 and $54.56. ATM implied volatility averaged 13.7%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.3% (HV 20d: 15.0%). Max pain ranged from $52.00 to $56.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.06.

Notable Days

  • 2018-03-21: Highest Volume — 59,256 contracts
  • 2018-03-22: Largest IV spike — 16.7% change
  • 2018-03-23: Highest IV Rank — 66.2%
  • 2018-03-23: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.14$50.94$54.56$53.26$52.68
Max Pain$53.64$52.00$56.50$56.50$52.00
ATM IV13.7%11.4%17.1%15.5%15.0%
Expected Move4.0%3.2%4.9%4.8%4.3%
HV 20d15.0%11.7%20.2%19.7%13.7%
HV 60d13.6%13.1%14.7%13.2%14.7%
IV Rank42.8%27.1%66.2%55.5%52.2%
IV Percentile91.8%84.1%96.8%95.6%93.3%
Term Structure0.1%-0.6%0.8%-0.6%-0.2%
VWIV14.6%12.8%17.4%15.1%16.1%
Skew 25d3.8%2.8%5.3%4.1%3.7%
Skew 10d7.9%5.5%11.7%8.3%6.9%
Call IV 25d12.4%10.3%15.2%14.4%13.3%
Put IV 25d16.2%13.1%20.4%18.5%17.0%
Bid-Ask Spread %11.445.8519.1219.129.93
Gamma HHI0.150.110.240.190.11
Net GEX-30.2M-57.0M-11.4M-37.4M-11.4M
Net DEX303.1M69.2M441.9M441.9M69.2M
Net VEX-1.6M-1.8M-1.4M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.824.161.831.39
Total Volume33,197.90519,95459,25638,00926,176
Total OI319,885.857211,839383,667312,894314,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$53.26$56.5015.5%4.8%19.7%55.5%15.1%4.1%-0.6%-37.4M441.9M-1.6M1.8319.1213,45424,555116,915195,979
2018-03-02$53.78$56.0014.3%4.2%20.2%47.3%15.0%4.2%0.1%-35.5M386.8M-1.7M2.2318.3510,31323,043126,189204,972
2018-03-05$54.26$54.0012.9%3.9%19.8%37.2%14.9%3.6%0.2%-31.2M309.1M-1.6M1.9212.949,84518,936123,609213,224
2018-03-06$54.17$54.0013.6%3.9%16.5%42.2%15.5%3.7%-0.0%-31.5M308.3M-1.6M2.4412.909,31522,724130,090217,620
2018-03-07$53.77$54.0013.3%3.9%16.6%40.2%14.4%3.8%0.3%-39.4M387.2M-1.7M4.1610.485,41822,531135,720222,555
2018-03-08$54.16$54.0013.0%3.8%16.8%37.9%13.7%3.6%0.2%-32.7M308.8M-1.7M1.569.5312,43919,404137,521223,521
2018-03-09$54.55$54.0011.6%3.3%15.3%28.8%13.5%3.3%0.2%-18.8M236.4M-1.6M3.0512.005,80317,701143,580223,731
2018-03-12$54.56$54.0011.7%3.3%15.3%28.9%13.0%3.3%-0.1%-15.0M205.7M-1.5M2.175.856,28813,666140,423224,723
2018-03-13$54.49$54.0011.7%3.6%15.0%29.1%12.8%3.1%0.8%-17.2M228.1M-1.4M2.8010.136,34817,802140,712225,096
2018-03-14$53.92$54.0011.6%3.4%15.3%28.4%13.1%3.3%0.1%-30.6M341.5M-1.4M2.188.9110,47922,811141,396223,580
2018-03-15$53.57$54.0011.5%3.2%15.4%27.9%12.8%3.4%-0.1%-57.0M409.7M-1.5M2.127.099,37619,837145,310232,096
2018-03-16$53.36$54.0011.4%3.4%14.3%27.1%13.7%2.8%0.8%-17.5M426.1M-1.4M3.188.008,99028,583146,609237,058
2018-03-19$52.78$54.0013.2%3.8%14.2%39.5%14.8%4.1%0.1%-29.8M208.1M-1.4M1.888.9111,11220,88368,720143,119
2018-03-20$52.59$54.0012.9%3.7%12.0%37.2%13.0%3.4%0.4%-34.3M229.3M-1.5M0.827.5318,56615,25474,443148,113
2018-03-21$51.99$54.0013.2%3.8%11.8%39.5%13.2%3.4%0.3%-37.3M298.4M-1.4M1.1518.1727,62231,63482,114152,060
2018-03-22$51.55$52.0015.4%4.4%12.0%54.7%14.7%4.5%0.3%-34.1M346.8M-1.6M1.4614.2812,81618,71898,884166,265
2018-03-23$50.94$52.0017.1%4.9%11.7%66.2%15.4%5.3%-0.1%-38.5M426.5M-1.7M1.0315.7927,40828,219103,191172,980
2018-03-26$51.64$52.0015.8%4.4%12.8%57.3%17.0%4.6%-0.2%-25.4M299.7M-1.7M3.069.628,14524,956117,325179,954
2018-03-27$51.59$52.0016.6%4.8%12.5%63.0%17.4%4.7%-0.3%-32.4M326.8M-1.8M1.4711.8110,33115,174117,714194,575
2018-03-28$52.33$52.0015.9%4.6%13.5%58.4%16.9%3.8%-0.3%-26.5M170.6M-1.8M1.308.8017,59622,885118,829192,518
2018-03-29$52.68$52.0015.0%4.3%13.7%52.2%16.1%3.7%-0.2%-11.4M69.2M-1.7M1.399.9310,93015,246123,634190,936