XLP Options History — April 2021

In April 2021, XLP traded between $68.08 and $70.31. ATM implied volatility averaged 12.3%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.7% (HV 20d: 10.6%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.90.

Notable Days

  • 2021-04-07: Highest Volume — 39,441 contracts
  • 2021-04-26: Largest IV spike — 9.8% change
  • 2021-04-26: Highest IV Rank — 13.3%
  • 2021-04-26: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.23$68.08$70.31$68.08$69.44
Max Pain$67.71$67.00$69.00$69.00$68.00
ATM IV12.3%11.4%13.2%12.5%12.7%
Expected Move3.5%3.3%3.9%3.3%3.6%
HV 20d10.6%9.5%12.7%12.7%10.1%
HV 60d12.1%11.0%12.5%12.3%11.1%
IV Rank4.8%0.0%13.3%3.1%9.4%
IV Percentile5.0%0.0%13.9%4.0%11.5%
Term Structure-0.0%-1.0%0.6%0.3%-0.1%
VWIV12.8%11.4%14.2%11.4%12.7%
Skew 25d1.7%-3.9%3.3%2.2%2.1%
Skew 10d2.0%-9.7%7.1%6.3%5.3%
Call IV 25d12.2%11.1%18.2%11.9%12.1%
Put IV 25d13.9%12.8%15.0%14.1%14.2%
Bid-Ask Spread %15.396.9635.4210.5819.38
Gamma HHI0.190.110.510.110.28
Net GEX-8.2M-96.8M19.9M-1.3M-49.6M
Net DEX-175.8M-331.5M-32.7M-61.5M-121.5M
Net VEX-2.0M-2.2M-1.8M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.6111.400.6111.40
Total Volume13,267.4762,31639,4414,89516,270
Total OI298,083.476260,540327,190294,496307,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$68.08$69.0012.5%3.3%12.7%3.1%11.4%2.2%0.3%-1.3M-61.5M-2.2M0.6110.583,0411,854114,550179,946
2021-04-05$68.98$67.0012.8%3.7%11.0%5.2%13.3%2.3%-0.2%5.8M-186.6M-2.0M1.2835.421,0141,302111,374178,624
2021-04-06$69.12$67.0012.6%3.7%10.9%4.5%12.8%1.6%-0.1%7.1M-215.3M-2.0M0.6710.817,0404,689112,653178,307
2021-04-07$69.06$67.0012.3%3.5%10.7%3.9%13.6%1.8%-0.1%8.0M-209.8M-2.0M1.8614.8413,78925,652115,606181,120
2021-04-08$68.95$67.0012.3%3.5%10.2%3.6%12.6%1.8%0.2%526.8K-179.8M-2.1M1.7410.979181,593117,478192,972
2021-04-09$68.88$67.0012.2%3.5%10.1%3.3%12.8%1.6%-0.2%2.5M-180.7M-2.1M3.2412.911,1553,744117,693194,129
2021-04-12$69.26$67.0012.3%3.6%10.0%3.8%12.8%3.3%0.6%6.3M-225.1M-2.0M0.6611.783,8592,539116,623191,919
2021-04-13$68.86$67.0012.3%3.5%10.4%3.7%11.9%-0.1%0.2%4.6M-169.9M-2.0M2.049.489,69419,772119,411193,318
2021-04-14$68.83$68.0012.2%3.5%10.4%3.3%12.6%2.0%0.1%3.6M-150.9M-2.1M1.216.9610,52212,680125,363201,827
2021-04-15$69.48$68.0011.8%3.4%10.7%1.4%12.8%1.6%0.3%9.8M-288.9M-1.9M0.6111.121,7491,075117,582196,150
2021-04-16$69.88$68.0011.4%3.3%10.4%0.0%12.4%1.5%0.5%19.9M-331.5M-1.9M1.6614.896,20110,304117,927196,441
2021-04-19$69.56$68.0011.5%3.3%10.6%0.6%11.4%2.2%-1.0%2.2M-211.7M-2.0M2.3413.285,05911,857102,982157,558
2021-04-20$69.88$68.0012.4%3.5%10.6%4.7%12.3%2.5%-0.0%-6.1M-237.5M-2.0M2.0515.863,8597,925106,238168,168
2021-04-21$70.31$68.0011.5%3.3%10.7%0.5%13.6%2.0%-0.3%-3.5M-293.8M-1.8M6.0727.224,04324,554106,581175,033
2021-04-22$69.77$68.0012.0%3.4%11.3%3.2%12.4%2.3%-0.1%-21.5M-195.6M-2.0M5.7128.652,84016,217109,383179,085
2021-04-23$69.63$68.0012.1%3.5%11.1%4.2%12.3%2.1%-0.1%-96.8M-162.2M-2.0M3.2611.051,1883,878111,523188,820
2021-04-26$68.77$68.0013.2%3.9%11.6%13.3%14.2%2.4%-0.1%-13.8M-61.7M-2.0M5.2114.511,6608,645110,580173,810
2021-04-27$68.76$68.0012.9%3.8%10.2%10.8%13.4%2.1%-0.1%-16.9M-51.9M-2.1M2.6610.083,82310,185111,007178,015
2021-04-28$68.81$68.0012.7%3.6%9.5%9.1%13.9%2.5%-0.2%-20.4M-32.7M-2.0M2.7716.531,6744,631113,674185,537
2021-04-29$69.59$68.0012.6%3.7%10.1%8.9%13.9%-3.9%0.3%-11.8M-123.7M-2.0M3.8616.801,2594,864113,852189,578
2021-04-30$69.44$68.0012.7%3.6%10.1%9.4%12.7%2.1%-0.1%-49.6M-121.5M-2.0M11.4019.381,31214,958114,308193,008