XLP Options History — April 2022

In April 2022, XLP traded between $76.31 and $80.63. ATM implied volatility averaged 16.6%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.2% (HV 20d: 12.5%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.91.

Notable Days

2022-04-20: Highest Volume — 85,797 contracts
2022-04-21: Largest IV spike — 17.5% change
2022-04-29: Highest IV Rank — 75.8%
2022-04-29: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.58	$76.31	$80.63	$76.40	$78.05
Max Pain	$78.20	$77.00	$80.00	$77.00	$80.00
ATM IV	16.6%	13.2%	20.8%	13.2%	20.8%
Expected Move	4.8%	3.9%	6.1%	4.0%	6.1%
HV 20d	12.5%	9.1%	17.4%	17.4%	16.3%
HV 60d	16.1%	15.6%	17.0%	15.7%	17.0%
IV Rank	47.3%	24.3%	75.8%	24.3%	75.8%
IV Percentile	85.8%	66.7%	97.2%	66.7%	97.2%
Term Structure	-0.2%	-0.8%	0.5%	0.3%	-0.6%
VWIV	17.6%	14.2%	24.1%	14.8%	20.7%
Skew 25d	3.9%	2.8%	6.2%	2.9%	6.2%
Skew 10d	7.8%	2.5%	12.4%	6.1%	12.4%
Call IV 25d	15.1%	12.2%	18.2%	12.2%	18.2%
Put IV 25d	19.0%	15.1%	24.4%	15.1%	24.4%
Bid-Ask Spread %	29.53	6.61	61.50	16.91	37.70
Gamma HHI	0.14	0.08	0.20	0.08	0.17
Net GEX	-12.3M	-98.7M	16.9M	11.0M	-98.7M
Net DEX	-153.1M	-400.7M	437.3M	-233.4M	437.3M
Net VEX	-2.4M	-3.6M	-1.8M	-2.0M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.65	6.05	1.99	2.14
Total Volume	35,301.35	8,344	85,797	10,644	43,198
Total OI	282,847.1	216,907	409,009	231,632	409,009

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-04-01	$76.40	$77.00	13.2%	4.0%	17.4%	24.3%	14.8%	2.9%	0.3%	11.0M	-233.4M	-2.0M	1.99	16.91	3,562	7,082	90,275	141,357
2022-04-04	$76.31	$77.00	13.2%	3.9%	16.3%	24.4%	14.2%	2.8%	-0.1%	10.9M	-229.2M	-1.9M	2.31	61.50	2,519	5,825	88,967	140,109
2022-04-05	$76.47	$77.00	14.1%	4.2%	13.0%	30.0%	14.6%	2.9%	-0.2%	11.5M	-237.6M	-2.0M	2.18	23.39	3,574	7,781	89,225	140,341
2022-04-06	$77.36	$77.00	15.5%	4.4%	13.2%	39.8%	15.3%	3.2%	-0.1%	14.7M	-304.1M	-1.9M	1.15	23.45	7,043	8,114	89,750	141,511
2022-04-07	$78.43	$77.00	15.6%	4.6%	12.0%	40.3%	17.9%	3.1%	0.1%	16.9M	-374.3M	-1.9M	2.01	13.34	7,212	14,531	91,731	142,184
2022-04-08	$78.82	$77.00	15.7%	4.5%	10.8%	40.8%	15.6%	3.1%	-0.1%	16.1M	-393.4M	-1.8M	0.65	18.15	12,659	8,274	93,214	150,702
2022-04-11	$78.44	$77.00	17.0%	4.9%	11.4%	50.0%	17.4%	3.4%	-0.1%	16.1M	-373.4M	-1.9M	1.56	21.24	9,189	14,323	96,730	152,227
2022-04-12	$78.30	$77.00	17.1%	4.9%	9.4%	50.7%	17.4%	3.5%	0.1%	12.9M	-350.6M	-1.9M	1.99	25.23	7,092	14,108	98,046	160,981
2022-04-13	$78.92	$77.00	15.4%	4.3%	9.3%	39.1%	15.7%	3.3%	-0.2%	13.6M	-386.0M	-2.0M	3.95	16.11	4,036	15,926	99,923	169,205
2022-04-14	$78.98	$78.00	15.4%	4.4%	9.1%	39.5%	16.2%	2.9%	-0.0%	6.7M	-400.7M	-1.9M	1.59	13.61	10,244	16,265	101,089	172,510
2022-04-18	$78.03	$78.00	15.7%	4.5%	10.6%	41.3%	16.0%	3.3%	0.2%	3.2M	-192.5M	-2.1M	1.86	43.56	7,094	13,200	85,119	131,788
2022-04-19	$79.32	$78.00	14.0%	4.0%	11.1%	29.8%	15.1%	2.8%	-0.1%	10.4M	-288.1M	-1.9M	3.28	17.14	9,921	32,584	86,398	134,920
2022-04-20	$80.63	$78.00	15.2%	4.4%	11.8%	37.8%	16.8%	3.5%	0.5%	9.4M	-344.8M	-2.0M	5.81	56.23	12,607	73,190	94,821	158,752
2022-04-21	$80.55	$79.00	17.9%	5.1%	11.3%	55.9%	19.4%	4.2%	-0.3%	-14.9M	-183.5M	-2.6M	4.45	33.99	13,999	62,265	97,646	207,569
2022-04-22	$79.73	$80.00	19.0%	5.5%	12.4%	63.3%	20.1%	4.8%	-0.3%	-38.4M	87.2M	-2.9M	4.49	43.19	12,562	56,366	98,708	241,450
2022-04-25	$79.67	$80.00	19.1%	5.6%	12.4%	64.2%	20.0%	5.6%	-0.7%	-50.4M	86.8M	-3.0M	3.95	47.55	8,893	35,095	93,874	240,875
2022-04-26	$78.58	$80.00	20.4%	5.9%	13.8%	72.7%	24.1%	6.1%	-0.8%	-59.3M	257.7M	-3.2M	3.71	6.61	12,835	47,557	95,282	245,834
2022-04-27	$78.88	$80.00	19.9%	5.8%	13.5%	69.3%	21.3%	5.7%	-0.7%	-70.8M	237.9M	-3.4M	6.05	48.42	6,189	37,460	102,077	279,627
2022-04-28	$79.76	$80.00	18.0%	5.2%	13.9%	56.6%	19.6%	5.1%	-0.6%	-67.7M	122.8M	-3.4M	3.06	23.20	10,266	31,387	106,860	296,256
2022-04-29	$78.05	$80.00	20.8%	6.1%	16.3%	75.8%	20.7%	6.2%	-0.6%	-98.7M	437.3M	-3.6M	2.14	37.70	13,778	29,420	109,234	299,775