XLP Options History — April 2019

In April 2019, XLP traded between $55.16 and $57.66. ATM implied volatility averaged 10.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.7% (HV 20d: 7.5%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2019-04-16: Highest Volume — 60,696 contracts
  • 2019-04-16: Largest IV spike — 10.4% change
  • 2019-04-03: Highest IV Rank — 15.4%
  • 2019-04-03: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.30$55.16$57.66$55.91$57.66
Max Pain$55.90$55.00$57.00$55.00$57.00
ATM IV10.1%9.2%11.4%11.0%9.7%
Expected Move2.9%2.6%3.4%3.2%2.8%
HV 20d7.5%6.4%9.3%8.4%7.8%
HV 60d9.2%7.5%10.5%10.5%7.7%
IV Rank6.6%0.4%15.4%12.9%3.4%
IV Percentile7.2%0.4%33.3%20.2%3.6%
Term Structure0.1%-0.4%0.9%0.1%0.2%
VWIV10.4%9.7%11.7%10.3%10.0%
Skew 25d2.3%1.9%2.8%2.8%1.9%
Skew 10d5.8%3.9%8.4%6.4%6.4%
Call IV 25d9.3%8.5%10.4%9.9%8.8%
Put IV 25d11.6%10.7%13.0%12.7%10.7%
Bid-Ask Spread %3.372.684.643.143.66
Gamma HHI0.280.180.460.260.27
Net GEX-59.4M-115.0M-4.1M-32.3M-9.4M
Net DEX-106.0M-340.8M189.4M-89.2M-340.8M
Net VEX-2.2M-2.4M-1.9M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.337.481.447.48
Total Volume26,689.6194,81260,69631,07239,378
Total OI369,323312,492472,457316,492327,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-04-01$55.91$55.0011.0%3.2%8.4%12.9%10.3%2.8%0.1%-32.3M-89.2M-2.2M1.443.1412,72618,346105,392211,100
2019-04-02$55.48$55.0011.0%3.3%9.0%12.4%10.8%2.0%0.2%-70.5M36.0M-2.3M1.313.6514,65419,138106,515226,404
2019-04-03$55.16$55.0011.4%3.4%9.3%15.4%11.7%2.6%-0.1%-87.3M189.4M-2.4M3.713.6012,77247,347108,147243,261
2019-04-04$55.41$55.0010.5%3.2%8.8%8.9%10.5%2.3%0.2%-98.6M93.4M-2.3M0.902.884,4454,016111,052250,321
2019-04-05$55.51$55.0010.4%2.9%8.8%8.5%10.7%2.3%0.1%-105.7M27.1M-2.3M0.722.6811,5028,290113,450242,272
2019-04-08$55.76$55.009.9%2.9%7.3%5.3%10.7%2.3%0.2%-70.5M-25.9M-2.2M0.463.143,2931,519110,500251,466
2019-04-09$55.70$55.0010.3%2.9%7.3%8.1%10.0%2.3%-0.4%-76.4M-7.7M-2.1M0.342.9511,8804,064110,557251,553
2019-04-10$55.91$55.009.9%2.9%7.1%5.1%10.0%2.1%0.1%-68.2M-67.2M-1.9M0.643.729,4236,026107,073252,393
2019-04-11$55.99$56.009.6%2.8%7.1%3.2%9.8%2.6%0.1%-64.3M-106.7M-2.1M0.333.729,7113,241112,409255,930
2019-04-12$56.11$56.009.6%2.8%7.0%3.2%9.7%2.1%0.0%-52.3M-167.2M-2.0M1.703.158,41314,281115,770255,343
2019-04-15$56.53$56.009.2%2.6%7.4%0.4%10.4%2.3%0.9%-48.0M-221.1M-1.9M7.163.344,16529,822110,366260,108
2019-04-16$56.50$56.0010.2%2.9%7.1%7.1%10.0%2.3%-0.3%-64.6M-198.2M-2.0M3.624.0113,13047,566111,464288,039
2019-04-17$56.84$56.009.6%2.8%7.2%2.9%9.7%2.1%0.1%-54.0M-236.8M-2.1M1.302.9620,95827,319115,506324,678
2019-04-18$56.90$56.009.8%2.8%6.4%4.1%10.6%2.4%-0.1%-24.1M-267.2M-2.2M1.892.7910,26719,444131,903340,554
2019-04-22$56.88$56.0010.2%3.0%6.4%7.2%10.5%2.4%-0.0%-42.4M-186.3M-2.1M3.984.648,34933,214121,029225,202
2019-04-23$56.69$57.0010.4%3.0%6.6%8.6%10.4%2.3%-0.2%-78.7M-73.8M-2.4M1.503.454,6797,031128,643255,668
2019-04-24$56.91$57.009.9%2.9%6.5%5.3%10.1%2.2%-0.1%-61.8M-159.7M-2.3M0.573.1210,2635,894129,144256,056
2019-04-25$56.52$57.0010.5%3.0%7.1%9.3%10.6%2.7%-0.0%-115.0M-25.4M-2.3M1.203.397,7289,254130,420256,746
2019-04-26$56.92$57.009.6%2.8%7.3%3.2%10.7%2.0%0.1%-4.1M-204.8M-2.2M0.573.118,0344,540131,565257,922
2019-04-29$57.00$57.009.9%2.9%7.0%4.8%10.0%2.0%0.2%-19.0M-193.4M-2.1M1.813.618,67115,689120,797191,695
2019-04-30$57.66$57.009.7%2.8%7.8%3.4%10.0%1.9%0.2%-9.4M-340.8M-2.0M7.483.664,64634,732125,445201,925