XLP Options History — March 2020

In March 2020, XLP traded between $48.28 and $62.86. ATM implied volatility averaged 42.3%, placing in the 79.3% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 8.8% (HV 20d: 51.1%). Max pain ranged from $58.00 to $64.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2020-03-03: Highest Volume — 68,934 contracts
  • 2020-03-05: Largest IV spike — 38.2% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.92$48.28$62.86$60.57$54.81
Max Pain$60.36$58.00$64.00$64.00$58.00
ATM IV42.3%20.8%62.4%25.1%39.5%
Expected Move12.3%6.5%17.9%7.3%11.4%
HV 20d51.1%32.5%67.3%32.5%62.9%
HV 60d30.6%19.3%40.6%19.3%40.6%
IV Rank79.3%50.6%100.0%68.1%57.6%
IV Percentile98.4%94.8%100.0%99.6%94.8%
Term Structure-0.8%-3.7%2.5%-1.3%-1.1%
VWIV41.7%24.1%56.6%24.1%39.6%
Skew 25d15.4%9.1%21.1%9.1%15.2%
Skew 10d29.7%17.3%40.4%18.3%30.3%
Call IV 25d36.9%18.0%54.9%20.4%32.6%
Put IV 25d52.3%27.4%72.9%29.6%47.8%
Bid-Ask Spread %31.936.0563.018.5333.58
Gamma HHI0.070.050.120.120.05
Net GEX-12.8M-47.9M-1.1M-24.6M-1.1M
Net DEX486.2M147.7M865.7M448.4M242.3M
Net VEX-2.3M-2.8M-1.6M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.166.630.500.49
Total Volume23,398.7736,06468,93423,8306,064
Total OI326,412.182256,195394,043284,663277,259

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$60.57$64.0025.1%7.3%32.5%68.1%24.1%9.1%-1.3%-24.6M448.4M-2.2M0.508.5315,9257,90597,291187,372
2020-03-03$60.77$63.0024.2%8.1%32.5%64.6%28.0%9.6%-0.6%-21.4M389.7M-2.4M6.638.029,03459,900104,831192,895
2020-03-04$62.86$63.0020.8%6.5%34.9%50.6%25.1%9.3%-0.5%-26.4M147.7M-2.5M5.466.058,91648,695108,584217,757
2020-03-05$61.73$61.0028.7%7.3%35.3%83.3%26.0%13.5%-1.6%-47.9M374.7M-2.7M3.7819.046,77825,648113,500253,469
2020-03-06$61.25$62.0032.5%8.5%35.3%98.7%32.1%17.2%-1.5%-30.0M437.4M-2.8M2.6113.8712,91133,652117,481263,838
2020-03-09$59.60$62.0038.4%10.0%36.3%100.0%34.0%16.6%-3.7%-24.9M545.9M-2.7M1.7415.205,90610,263116,193228,390
2020-03-10$60.12$61.0032.4%8.6%36.6%79.7%31.7%13.9%-2.9%-30.1M541.3M-2.6M2.0217.173,9898,074118,885230,957
2020-03-11$57.56$60.0039.5%10.9%39.2%100.0%33.0%17.5%-2.0%-20.7M714.2M-2.5M0.3313.3515,9995,297121,392234,381
2020-03-12$52.78$60.0052.4%14.9%48.6%100.0%46.8%13.5%2.5%-8.6M865.7M-2.0M0.1613.5512,0191,944136,473233,118
2020-03-13$55.31$60.0046.7%13.7%52.4%86.9%54.2%11.1%1.7%-8.0M750.6M-2.3M1.2525.134,3115,383145,027226,916
2020-03-16$54.08$60.0059.9%17.0%52.5%100.0%56.6%20.5%-1.9%-5.6M647.3M-2.3M0.8622.5113,79211,880136,684204,289
2020-03-17$56.59$60.0051.4%14.7%55.9%83.6%40.5%18.6%0.8%-5.1M525.3M-2.6M0.7925.6417,98114,285146,536206,004
2020-03-18$53.89$60.0062.4%17.9%57.8%100.0%55.5%21.1%-1.4%-2.5M616.6M-2.5M6.5252.683,86425,192159,243214,205
2020-03-19$54.04$60.0057.5%16.5%57.9%91.0%54.6%21.1%0.3%-1.5M651.4M-2.4M0.4555.9215,4896,940160,646217,640
2020-03-20$50.75$60.0050.0%14.4%60.8%77.0%43.8%18.0%-1.7%-5.3M802.4M-1.9M2.2260.397,52316,716173,202220,841
2020-03-23$48.28$60.0051.1%15.6%62.2%79.1%48.5%16.8%-1.1%-3.4M497.0M-1.6M0.8853.293,6953,249118,918150,351
2020-03-24$50.90$60.0043.8%13.3%66.5%65.5%48.6%12.0%-0.9%-4.1M407.0M-1.7M0.6455.6712,7758,200119,182137,013
2020-03-25$51.91$58.0043.6%14.1%67.3%65.2%53.3%13.4%1.5%-2.9M337.3M-2.0M1.0852.855,3035,713129,137140,717
2020-03-26$52.78$58.0043.9%13.5%67.2%65.7%51.8%16.8%-2.5%-3.6M307.5M-2.1M0.7353.775,0063,655130,374144,219
2020-03-27$53.98$59.0043.9%13.4%66.1%65.7%48.1%16.7%2.4%-2.3M246.2M-2.3M1.2763.014,5645,795131,882146,915
2020-03-30$55.59$59.0042.3%12.4%62.9%62.7%41.6%16.7%-1.2%-1.9M199.5M-2.4M0.2333.3111,7952,748124,996142,065
2020-03-31$54.81$58.0039.5%11.4%62.9%57.6%39.6%15.2%-1.1%-1.1M242.3M-2.3M0.4933.584,0661,998132,778144,481