XLP Options History — March 2019

In March 2019, XLP traded between $53.60 and $56.09. ATM implied volatility averaged 10.9%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.8% (HV 20d: 8.1%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2019-03-26: Highest Volume — 50,063 contracts
  • 2019-03-11: Largest IV drop — 18.5% change
  • 2019-03-25: Highest IV Rank — 23.7%
  • 2019-03-07: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.73$53.60$56.09$54.23$56.09
Max Pain$54.52$54.00$55.00$54.50$55.00
ATM IV10.9%9.2%12.6%10.6%10.9%
Expected Move3.3%2.9%3.9%3.3%3.2%
HV 20d8.1%7.0%9.2%7.3%8.3%
HV 60d14.2%10.4%16.3%16.3%10.4%
IV Rank9.4%0.0%23.7%3.4%11.9%
IV Percentile19.0%0.0%49.6%6.7%17.1%
Term Structure0.2%-0.5%1.0%0.8%0.3%
VWIV11.5%9.8%14.3%11.5%10.6%
Skew 25d2.7%1.8%3.6%3.5%2.7%
Skew 10d6.4%4.4%8.6%7.4%6.0%
Call IV 25d9.8%8.6%11.0%9.0%9.6%
Put IV 25d12.5%10.5%14.6%12.5%12.2%
Bid-Ask Spread %4.932.9535.893.403.14
Gamma HHI0.200.110.260.250.23
Net GEX-12.0M-28.7M5.0M-16.7M-21.4M
Net DEX-14.8M-138.5M159.4M19.9M-138.5M
Net VEX-1.9M-2.3M-1.4M-1.8M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.3212.091.291.24
Total Volume21,903.9523,04150,0636,65337,564
Total OI254,819.381184,558303,291254,959303,291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$54.23$54.5010.6%3.3%7.3%3.4%11.5%3.5%0.8%-16.7M19.9M-1.8M1.293.402,9083,74596,896158,063
2019-03-04$54.09$54.5011.3%3.6%7.2%8.7%12.7%3.3%-0.1%-16.2M49.2M-1.8M10.713.491,16812,51495,744155,467
2019-03-05$54.15$54.5010.8%3.5%7.0%4.8%12.0%2.6%0.1%-20.9M62.9M-1.9M2.743.152,9588,09796,332166,833
2019-03-06$54.02$54.5011.2%3.5%7.0%7.8%12.9%2.9%0.1%-21.3M87.8M-1.9M3.243.322,1316,89798,594171,882
2019-03-07$53.64$54.5011.9%3.9%7.5%13.2%13.2%2.7%0.1%-18.6M159.4M-1.8M4.133.263,93716,267100,030175,300
2019-03-08$53.60$54.5012.3%3.9%7.5%16.3%14.3%3.6%0.1%-15.4M120.1M-1.9M0.8535.898,0906,888103,227166,776
2019-03-11$54.42$54.0010.0%3.4%9.2%0.0%11.8%3.5%1.0%-14.9M-13.2M-1.5M5.453.643,17417,291100,763168,190
2019-03-12$54.48$54.0010.0%3.3%9.1%0.0%11.9%2.8%0.6%5.0M-51.1M-1.4M12.093.291,21514,68799,749157,956
2019-03-13$54.84$54.009.4%3.0%9.0%0.0%10.1%2.5%-0.0%-3.8M-66.0M-1.7M0.323.1813,7574,38699,846169,069
2019-03-14$54.75$54.009.7%3.0%9.0%1.9%11.2%2.2%-0.5%-1.2M-66.7M-1.8M0.432.9510,6114,557107,791169,963
2019-03-15$54.70$54.009.2%2.9%8.3%0.0%10.3%1.8%-0.4%1.4M-21.1M-1.7M1.733.515,2419,08795,531170,934
2019-03-18$54.82$54.009.4%3.0%8.0%1.3%10.5%2.2%0.3%3.0M-58.9M-1.7M0.623.091,8721,16966,204118,354
2019-03-19$54.59$54.0010.5%3.1%7.8%9.3%10.9%2.2%0.0%-13.1K-38.5M-1.7M2.183.3212,35926,98666,353119,131
2019-03-20$54.57$55.0010.6%3.1%7.7%9.8%11.1%2.3%-0.0%-14.2M14.0M-1.8M1.364.4410,10613,75768,060137,443
2019-03-21$55.17$55.0010.8%3.2%8.7%11.6%10.7%2.2%0.1%-20.8K-90.0M-1.9M1.102.9918,18020,02576,475133,289
2019-03-22$55.14$55.0012.4%3.5%8.5%22.2%11.7%2.6%0.2%-8.3M-63.7M-2.1M1.534.2616,40025,10785,069149,197
2019-03-25$55.24$55.0012.6%3.6%8.2%23.7%11.7%2.9%0.1%-18.3M-34.5M-2.2M0.773.5113,70610,54986,923167,280
2019-03-26$55.56$55.0011.5%3.3%8.4%16.0%10.9%2.6%0.1%-17.3M-73.0M-2.2M0.752.9828,62421,43992,252174,504
2019-03-27$55.51$55.0011.5%3.3%8.3%16.4%10.9%2.9%0.3%-28.7M-29.0M-2.2M0.913.1715,22413,91493,762190,987
2019-03-28$55.75$55.0011.8%3.4%8.2%18.6%9.8%3.0%0.1%-23.5M-79.3M-2.3M3.663.612,87410,522102,863194,834
2019-03-29$56.09$55.0010.9%3.2%8.3%11.9%10.6%2.7%0.3%-21.4M-138.5M-2.2M1.243.1416,76020,804103,014200,277