XLP Options History — March 2022

In March 2022, XLP traded between $71.52 and $76.09. ATM implied volatility averaged 18.4%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.9% (HV 20d: 20.3%). Max pain ranged from $73.00 to $78.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.31.

Notable Days

  • 2022-03-08: Highest Volume — 53,135 contracts
  • 2022-03-18: Largest IV drop — 10.5% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-08: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.18$71.52$76.09$74.31$76.09
Max Pain$74.86$73.00$78.00$73.00$77.00
ATM IV18.4%13.1%24.4%20.1%13.7%
Expected Move5.5%3.9%8.0%6.2%4.0%
HV 20d20.3%17.3%23.2%17.7%17.3%
HV 60d15.5%14.4%15.9%14.6%15.7%
IV Rank64.8%23.6%100.0%100.0%27.6%
IV Percentile90.2%66.3%100.0%100.0%71.8%
Term Structure-0.1%-1.3%0.7%-0.1%0.2%
VWIV20.5%13.9%33.3%21.6%13.9%
Skew 25d4.3%2.7%6.5%5.6%2.7%
Skew 10d8.9%5.5%15.7%9.5%6.9%
Call IV 25d17.1%12.2%22.3%18.3%12.4%
Put IV 25d21.4%15.1%28.4%23.9%15.2%
Bid-Ask Spread %38.3611.8471.1225.4811.84
Gamma HHI0.100.070.160.090.09
Net GEX-13.1M-56.3M8.8M-11.6M8.3M
Net DEX5.5M-200.7M359.3M24.2M-200.7M
Net VEX-2.3M-2.7M-1.9M-2.6M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.053.492.002.63
Total Volume21,643.52212,32853,13514,25315,295
Total OI291,477.739191,375362,008319,439226,393

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$74.31$73.0020.1%6.2%17.7%100.0%21.6%5.6%-0.1%-11.6M24.2M-2.6M2.0025.484,7519,502115,119204,320
2022-03-02$75.34$73.0018.6%5.7%18.4%85.5%21.3%5.2%-0.5%-305.1K-89.0M-2.5M2.4564.473,6328,916116,398205,371
2022-03-03$75.68$73.0019.4%5.9%18.0%92.9%21.6%5.2%-0.3%6.8M-138.5M-2.4M2.2531.344,3649,824116,469205,149
2022-03-04$75.74$73.5020.7%6.4%18.0%100.0%27.4%5.5%-0.5%3.9M-120.2M-2.5M2.6165.087,11118,533116,608206,370
2022-03-07$74.56$73.5022.7%7.4%18.5%100.0%28.2%6.5%-0.6%-14.1M22.6M-2.5M2.0068.165,56411,140114,125210,888
2022-03-08$72.68$73.5024.4%8.0%20.5%100.0%33.3%6.1%-0.8%-32.3M206.8M-2.6M2.7370.6614,26438,871115,510210,985
2022-03-09$73.29$73.0023.0%7.4%20.7%90.5%31.1%6.0%0.1%-33.8M163.4M-2.7M1.9971.129,83719,617120,814239,631
2022-03-10$72.20$73.5022.8%7.5%21.2%89.0%27.0%5.2%-0.9%-51.9M296.9M-2.7M1.5314.2212,45519,075121,394240,614
2022-03-11$71.52$73.0022.4%7.4%21.1%86.5%30.7%4.7%-1.3%-55.7M359.3M-2.6M2.4869.387,42118,395122,246237,707
2022-03-14$71.72$73.0023.0%6.0%21.2%90.5%20.9%5.8%-0.3%-56.3M309.0M-2.5M3.1219.074,89415,245121,029238,852
2022-03-15$73.32$73.0021.0%5.7%22.9%77.3%20.5%4.3%-0.8%-28.3M72.8M-2.3M2.5354.385,90214,935120,724237,226
2022-03-16$73.16$73.0019.6%5.4%22.9%67.6%19.4%4.0%0.1%-31.7M80.4M-2.3M3.4951.167,13924,922119,654241,851
2022-03-17$73.93$0.0018.0%5.1%23.0%56.9%17.9%3.9%0.1%-16.9M-20.1M-2.1M3.3531.694,33514,538119,566232,147
2022-03-18$74.19$74.0016.1%4.6%22.9%44.0%16.0%2.8%0.7%-158.1K-63.7M-2.0M2.7035.036,72618,130119,284233,912
2022-03-21$73.74$75.0017.2%4.7%23.0%51.5%15.3%3.6%0.0%-6.9M2.2M-2.1M1.0526.6111,78712,32971,975119,400
2022-03-22$74.52$78.0015.7%4.4%23.2%41.1%15.8%3.5%0.1%-27.6K-67.9M-2.1M1.8716.304,8529,06278,924121,849
2022-03-23$74.02$78.0016.0%4.6%23.1%42.9%15.6%3.6%0.5%-3.4M-34.6M-2.2M1.4627.585,4617,98579,873124,134
2022-03-24$74.30$78.0014.9%4.5%21.9%35.8%16.0%3.4%0.2%116.9K-59.6M-2.1M2.1527.404,1918,99581,130124,734
2022-03-25$74.82$78.0014.3%4.2%18.5%31.6%15.2%2.9%0.0%3.8M-97.3M-2.1M1.3723.1013,21018,10381,477125,690
2022-03-28$75.18$77.0014.1%4.2%17.9%30.3%14.7%3.2%0.3%3.5M-122.3M-2.2M2.9629.833,1149,21487,574131,576
2022-03-29$75.86$77.0013.1%3.9%18.0%23.6%14.3%2.7%0.2%8.8M-200.3M-2.0M2.1225.205,25211,11888,141133,560
2022-03-30$75.91$77.0013.3%3.9%17.4%24.6%14.4%3.2%0.2%7.4M-197.0M-1.9M2.2623.075,46412,33186,805136,790
2022-03-31$76.09$77.0013.7%4.0%17.3%27.6%13.9%2.7%0.2%8.3M-200.7M-2.0M2.6311.844,21811,07786,910139,483