XLP Options History — March 2021

In March 2021, XLP traded between $63.24 and $69.19. ATM implied volatility averaged 14.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.8% (HV 20d: 12.4%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.94.

Notable Days

  • 2021-03-24: Highest Volume — 45,994 contracts
  • 2021-03-04: Largest IV spike — 18.2% change
  • 2021-03-04: Highest IV Rank — 13.8%
  • 2021-03-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.16$63.24$69.19$64.00$68.19
Max Pain$67.17$65.00$68.00$66.00$68.00
ATM IV14.2%11.7%18.6%16.4%13.1%
Expected Move4.0%3.4%4.9%4.4%3.4%
HV 20d12.4%8.9%13.7%9.2%13.4%
HV 60d11.8%10.7%12.4%10.8%12.3%
IV Rank5.8%0.5%13.8%9.6%4.7%
IV Percentile16.3%0.8%62.3%37.7%6.7%
Term Structure-0.4%-3.3%1.0%-3.0%0.2%
VWIV14.5%11.3%17.0%15.2%12.4%
Skew 25d3.4%1.1%7.0%4.5%2.8%
Skew 10d7.2%2.4%13.8%8.4%2.4%
Call IV 25d13.3%11.6%15.4%13.2%12.1%
Put IV 25d16.7%14.3%21.7%17.7%14.9%
Bid-Ask Spread %19.719.3634.3427.109.36
Gamma HHI0.140.100.270.100.12
Net GEX-9.2M-37.4M13.2M-32.2M3.2M
Net DEX58.1M-243.4M397.1M283.9M-95.0M
Net VEX-1.7M-2.2M-163.3K-1.8M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.449.285.540.44
Total Volume14,710.2611,83545,99410,5714,711
Total OI276,912.174174,137316,690287,153287,079

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$64.00$66.0016.4%4.4%9.2%9.6%15.2%4.5%-3.0%-32.2M283.9M-1.8M5.5427.101,6178,95495,852191,301
2021-03-02$64.09$66.0016.4%4.5%9.2%9.5%15.7%2.5%-1.1%-34.2M300.0M-1.9M4.6515.275782,68796,377198,331
2021-03-03$63.81$66.0015.7%4.5%8.9%8.2%16.5%7.0%-1.0%-36.8M336.2M-1.9M1.1210.541,0241,15196,677200,104
2021-03-04$63.24$65.0018.6%4.9%9.3%13.8%16.5%6.2%-3.3%-37.4M397.1M-1.9M1.3823.001,0221,40997,062200,926
2021-03-05$64.76$65.0016.6%4.3%12.8%10.0%14.3%2.8%-0.9%-28.2M222.4M-1.8M0.9421.525,6805,34997,206202,038
2021-03-08$65.22$68.0015.9%4.5%12.5%8.7%16.3%3.6%-0.3%-19.6M161.3M-1.9M1.2222.261,7102,09298,610196,948
2021-03-09$64.99$68.0015.0%4.2%12.4%6.8%17.0%6.4%-0.1%-23.6M189.9M-1.8M2.3017.093,0306,98199,014198,334
2021-03-10$65.83$68.0014.8%4.2%13.3%6.5%15.2%3.7%0.2%-11.7M65.4M-1.8M1.2323.095,5656,838100,487199,960
2021-03-11$65.72$68.0014.5%4.1%13.3%5.8%16.1%2.2%0.0%-14.8M79.2M-1.7M4.2711.454,36518,627102,898202,494
2021-03-12$66.19$67.0013.7%4.1%13.5%4.3%15.3%3.2%0.1%-5.7M3.1M-1.8M2.2516.451,9174,322106,074210,354
2021-03-15$66.26$67.0013.6%3.9%13.5%4.1%13.9%2.8%0.4%-3.3M12.1M-1.7M0.6618.061,424937105,338210,425
2021-03-16$66.59$67.0012.8%3.7%13.6%2.6%13.4%2.6%1.0%11.0M-79.4M-1.7M0.5311.461,436767105,089210,602
2021-03-17$66.51$67.0012.7%3.7%13.6%2.4%13.8%3.1%0.4%9.7M-73.7M-1.6M0.5326.631,201634105,573210,685
2021-03-18$66.15$67.0013.6%3.9%13.7%4.2%16.9%3.7%0.3%1.2M23.2M-1.6M9.2821.521,37412,753105,813210,877
2021-03-19$66.51$67.0011.7%3.5%13.1%0.5%14.0%2.4%-1.6%6.4M-40.4M-163.3K1.0925.0221,64223,60563,723134,960
2021-03-22$66.58$67.0013.3%3.7%13.1%4.4%11.3%3.1%0.4%-9.9M8.3M-1.6M1.0634.3411,85412,60351,929122,208
2021-03-23$66.87$68.0013.3%3.6%13.1%4.6%12.8%3.4%0.2%-8.7M44.9M-1.6M0.5526.5410,9306,03663,223134,186
2021-03-24$66.84$68.0013.1%3.7%13.1%4.8%12.4%3.4%0.4%-5.1M38.4M-1.7M1.0213.1822,79023,20471,359136,881
2021-03-25$67.40$68.0012.7%3.5%12.5%3.5%13.0%1.1%0.3%-610.8K-12.5M-2.1M0.9912.884,9014,83592,604159,133
2021-03-26$68.17$68.0012.5%3.5%11.8%3.0%12.4%2.7%0.3%3.4M-110.2M-2.0M1.7224.4914,81725,54096,270159,056
2021-03-29$69.19$68.0013.4%3.8%12.4%5.8%14.9%2.1%-1.3%12.2M-243.4M-2.0M0.6530.0020,88913,561106,490158,962
2021-03-30$68.49$68.0013.3%3.7%13.4%5.4%13.5%2.6%-0.0%13.2M-175.6M-2.1M1.2212.174,9456,029112,038163,430
2021-03-31$68.19$68.0013.1%3.4%13.4%4.7%12.4%2.8%0.2%3.2M-95.0M-2.2M0.449.363,2821,429111,510175,569