XLP Options History — April 2020

In April 2020, XLP traded between $53.33 and $60.40. ATM implied volatility averaged 29.2%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 16.7% (HV 20d: 45.9%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2020-04-14: Highest Volume — 49,704 contracts
  • 2020-04-02: Largest IV drop — 20.7% change
  • 2020-04-01: Highest IV Rank — 65.3%
  • 2020-04-01: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.11$53.33$60.40$53.33$58.26
Max Pain$57.48$55.00$59.00$58.00$58.50
ATM IV29.2%19.7%43.7%43.7%20.4%
Expected Move8.3%5.5%13.1%13.1%5.8%
HV 20d45.9%27.5%64.2%61.6%27.5%
HV 60d42.9%40.9%43.9%40.9%43.9%
IV Rank38.4%20.9%65.3%65.3%22.2%
IV Percentile88.8%82.9%95.6%95.6%82.9%
Term Structure-0.2%-1.9%1.7%-1.9%0.0%
VWIV30.3%20.4%54.4%54.4%20.4%
Skew 25d10.5%7.1%16.6%16.6%7.4%
Skew 10d20.6%11.5%36.2%36.2%14.4%
Call IV 25d25.0%16.6%36.3%36.3%17.7%
Put IV 25d35.4%23.7%52.9%52.9%25.1%
Bid-Ask Spread %17.3210.0747.3147.3110.20
Gamma HHI0.080.050.130.050.13
Net GEX-8.2M-28.3M3.1M-2.1M-28.3M
Net DEX107.6M-85.8M310.8M310.8M199.1M
Net VEX-2.6M-2.8M-2.2M-2.2M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.6812.553.751.12
Total Volume19,149.3335,97249,70426,87610,896
Total OI328,465.524279,615381,015279,615335,362

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$53.33$58.0043.7%13.1%61.6%65.3%54.4%16.6%-1.9%-2.1M310.8M-2.2M3.7547.315,66321,213133,752145,863
2020-04-02$54.77$55.0034.7%10.0%62.7%48.6%35.8%13.6%1.7%-3.8M274.9M-2.4M1.0019.438,8938,880134,582166,561
2020-04-03$54.91$55.0034.9%9.8%62.8%49.1%33.9%12.8%-0.3%-1.2M258.5M-2.5M1.3814.852,5103,462141,473173,491
2020-04-06$57.17$55.0031.3%8.7%64.2%42.3%31.3%10.9%-0.5%-816.0K96.5M-2.5M1.3512.513,4054,613139,620173,005
2020-04-07$57.38$55.0032.4%9.1%64.1%44.3%31.0%10.6%-1.3%-707.6K85.0M-2.6M3.8415.434,82918,534141,259176,269
2020-04-08$57.49$57.0031.3%8.9%62.3%42.2%33.5%10.9%-0.4%-2.1M86.0M-2.6M2.8813.114,30012,404143,037187,779
2020-04-09$58.48$57.0031.3%9.2%53.4%42.3%33.5%11.9%1.0%1.0M-22.6M-2.7M6.7516.384,11827,782144,333191,403
2020-04-13$57.81$57.0029.6%8.5%51.3%39.2%30.1%11.5%0.4%-5.9M124.9M-2.6M3.9014.752,82811,041136,764197,928
2020-04-14$60.05$57.0028.6%8.2%51.9%37.4%33.8%9.9%-0.7%3.1M-85.8M-2.7M4.0818.999,78939,915138,378202,366
2020-04-15$59.17$58.0029.9%8.6%50.1%39.8%31.2%10.2%-0.5%-8.0M63.1M-2.8M2.3315.162,9396,854139,791234,800
2020-04-16$59.73$58.0029.8%8.5%46.4%39.5%29.1%10.4%0.4%-2.5M-8.3M-2.8M1.5410.8910,80616,623140,388233,509
2020-04-17$60.40$58.0029.0%8.4%46.4%38.1%30.1%10.3%-0.8%-7.0M-80.6M-2.8M1.7812.268,23414,696138,107242,908
2020-04-20$59.58$58.0030.4%8.7%39.6%40.6%28.9%11.0%-1.3%-10.0M76.0M-2.8M0.8812.995,7435,062107,261191,455
2020-04-21$58.10$58.0032.0%9.1%35.6%43.6%32.4%11.1%-0.9%-14.8M181.2M-2.8M3.3010.355,98219,724110,790194,679
2020-04-22$58.80$59.0028.9%8.2%31.7%37.8%30.6%10.5%-0.6%-15.2M136.8M-2.8M0.7910.074,6333,680113,273204,101
2020-04-23$58.33$59.0027.4%7.7%31.8%35.0%26.4%9.8%-0.4%-17.7M177.2M-2.7M1.1611.078,73710,099115,416206,179
2020-04-24$58.85$59.0024.6%6.7%31.5%29.9%24.0%8.3%-0.4%-14.3M123.7M-2.7M0.9710.397,1276,943119,704210,232
2020-04-27$59.12$58.5021.7%5.7%30.9%24.6%21.0%8.0%1.2%-13.6M98.9M-2.6M0.6836.835,0293,434115,823207,121
2020-04-28$59.41$58.5021.1%5.9%29.5%23.3%21.7%7.6%1.2%-10.0M61.9M-2.6M4.8521.563,90418,951119,084208,117
2020-04-29$59.20$58.5019.7%5.5%28.9%20.9%23.0%7.1%0.3%-18.2M102.4M-2.6M12.5529.092,05625,805119,454222,359
2020-04-30$58.26$58.5020.4%5.8%27.5%22.2%20.4%7.4%0.0%-28.3M199.1M-2.5M1.1210.205,1515,745120,381214,981