XLP Options History — April 2018

In April 2018, XLP traded between $49.88 and $53.31. ATM implied volatility averaged 14.2%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 3.7% (HV 20d: 17.9%). Max pain ranged from $52.00 to $53.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2018-04-20: Highest Volume — 55,841 contracts
  • 2018-04-19: Largest IV spike — 19.4% change
  • 2018-04-02: Highest IV Rank — 67.7%
  • 2018-04-02: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.82$49.88$53.31$51.41$50.50
Max Pain$52.43$52.00$53.00$52.00$53.00
ATM IV14.2%11.6%17.3%17.3%12.7%
Expected Move4.1%3.3%5.2%5.2%3.7%
HV 20d17.9%15.5%20.5%15.5%17.3%
HV 60d16.6%15.5%17.6%15.5%17.6%
IV Rank46.3%28.4%67.7%67.7%36.0%
IV Percentile88.0%78.2%97.2%97.2%80.2%
Term Structure-0.2%-1.2%0.6%0.6%0.1%
VWIV15.0%12.1%20.1%19.6%13.9%
Skew 25d3.5%2.7%4.8%4.8%3.2%
Skew 10d7.9%5.8%12.2%12.2%6.4%
Call IV 25d12.8%10.7%15.8%15.8%11.3%
Put IV 25d16.3%13.5%20.5%20.5%14.5%
Bid-Ask Spread %5.512.709.999.923.63
Gamma HHI0.140.100.200.170.13
Net GEX-23.2M-46.5M1.5M-25.1M-29.0M
Net DEX172.6M-48.2M461.9M276.2M283.7M
Net VEX-1.5M-1.7M-1.3M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.904.722.323.04
Total Volume33,250.23815,97155,84118,96440,577
Total OI270,834.143229,910322,299298,152265,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$51.41$52.0017.3%5.2%15.5%67.7%19.6%4.8%0.6%-25.1M276.2M-1.7M2.329.925,70713,257115,810182,342
2018-04-03$52.08$52.0016.0%4.7%16.0%58.5%20.1%4.3%0.0%-21.5M172.9M-1.7M2.328.987,99018,526116,954185,828
2018-04-04$52.94$52.0015.0%4.5%17.3%52.2%18.9%4.2%0.1%-11.3M10.9M-1.7M1.296.0311,31314,594120,707189,390
2018-04-05$53.07$52.0014.3%4.1%17.1%47.4%17.9%3.8%0.4%-11.5M-48.2M-1.6M1.514.7011,82017,843123,740191,423
2018-04-06$52.41$52.0015.7%4.7%17.4%56.9%17.4%4.1%-0.1%-11.7M71.9M-1.7M2.089.8710,44321,676125,345196,954
2018-04-09$52.62$52.0015.6%4.2%17.2%56.3%16.4%4.0%-0.8%-15.1M84.2M-1.6M1.784.599,01316,06089,383157,715
2018-04-10$52.56$52.0015.5%4.1%17.2%55.1%15.8%3.6%-1.2%-17.2M96.5M-1.5M2.894.915,35215,44690,690158,928
2018-04-11$52.48$52.0014.4%4.3%17.2%47.9%14.5%3.5%0.4%-19.6M101.0M-1.5M2.497.286,25115,54391,059159,823
2018-04-12$52.47$52.0013.7%4.0%16.9%42.9%13.0%3.4%0.5%-19.5M91.0M-1.4M1.853.387,05713,04793,526159,127
2018-04-13$52.54$52.0013.1%3.7%16.8%38.7%13.9%3.2%-0.5%-24.9M83.5M-1.4M2.635.635,47714,39492,048158,905
2018-04-16$53.22$52.0013.0%3.7%17.4%38.1%13.8%3.0%0.0%-2.4M-24.2M-1.3M2.323.064,80611,16591,972156,117
2018-04-17$53.31$52.0012.0%3.5%17.0%31.4%12.1%3.0%-0.4%1.5M-47.1M-1.3M4.422.706,48428,63792,717157,181
2018-04-18$52.89$53.0011.6%3.3%17.2%28.4%12.4%2.7%0.1%-25.4M38.2M-1.4M0.955.7323,90222,79996,475177,966
2018-04-19$51.38$53.0013.8%4.0%19.7%43.8%13.5%3.0%-0.6%-33.4M365.0M-1.3M0.909.9928,13125,438109,386172,949
2018-04-20$50.45$53.0015.1%4.4%20.5%52.8%13.9%3.7%-0.9%-35.8M461.9M-1.3M4.044.3311,07244,769112,261174,973
2018-04-23$50.39$53.0013.9%4.0%20.1%44.7%13.5%3.5%-0.4%-32.1M327.1M-1.4M4.722.877,46935,26176,946152,964
2018-04-24$49.88$53.0014.8%4.3%19.7%50.5%14.5%3.5%-0.1%-42.5M409.4M-1.5M2.235.9313,23829,52479,125173,530
2018-04-25$50.19$53.0014.9%4.2%19.9%51.0%14.2%3.5%-0.8%-46.5M352.0M-1.6M1.953.6018,20735,56183,701171,728
2018-04-26$50.62$53.0013.1%3.8%19.4%39.2%13.9%3.2%-0.4%-35.9M279.7M-1.6M2.343.8512,38429,01491,835173,884
2018-04-27$50.77$53.0012.2%3.5%19.2%32.7%12.7%2.9%-0.1%-27.8M238.4M-1.6M1.024.8414,38714,62197,001179,845
2018-04-30$50.50$53.0012.7%3.7%17.3%36.0%13.9%3.2%0.1%-29.0M283.7M-1.6M3.043.6310,03630,54199,074166,190