XLP Options History — March 2023

In March 2023, XLP traded between $70.94 and $74.57. ATM implied volatility averaged 14.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.4% (HV 20d: 11.4%). Max pain ranged from $72.00 to $73.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.08.

Notable Days

  • 2023-03-10: Highest Volume — 40,017 contracts
  • 2023-03-09: Largest IV spike — 12.3% change
  • 2023-03-17: Highest IV Rank — 39.5%
  • 2023-03-15: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.53$70.94$74.57$71.50$74.57
Max Pain$72.13$72.00$73.00$72.00$72.00
ATM IV14.9%12.9%17.5%14.8%13.0%
Expected Move4.2%3.6%5.1%4.3%3.6%
HV 20d11.4%10.6%12.9%11.2%11.4%
HV 60d13.1%12.9%13.4%12.9%13.2%
IV Rank16.9%0.0%39.5%16.1%0.7%
IV Percentile23.3%0.0%56.0%17.9%0.4%
Term Structure0.1%-0.7%0.6%-0.3%0.6%
VWIV15.2%12.6%19.0%14.8%12.6%
Skew 25d3.8%2.8%4.8%3.7%3.2%
Skew 10d8.1%3.2%12.0%7.2%8.3%
Call IV 25d13.3%11.4%16.0%13.1%11.4%
Put IV 25d17.1%14.5%20.5%16.8%14.5%
Bid-Ask Spread %26.842.9260.382.9260.38
Gamma HHI0.130.080.620.130.11
Net GEX-35.1M-118.6M20.9M-73.5M20.9M
Net DEX37.0M-250.1M388.4M270.6M-250.1M
Net VEX-2.6M-2.7M-2.5M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.654.912.070.94
Total Volume13,821.2617,68440,01712,5938,676
Total OI336,958.435226,369433,279382,494264,376

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$71.50$72.0014.8%4.3%11.2%16.1%14.8%3.7%-0.3%-73.5M270.6M-2.6M2.072.924,1028,491110,382272,112
2023-03-02$72.53$72.0014.2%4.0%11.3%10.2%14.0%3.1%-0.0%-52.7M74.7M-2.6M1.916.094,9979,549112,987275,227
2023-03-03$72.52$72.0013.3%3.8%10.7%2.7%13.1%3.1%-0.1%-62.0M88.8M-2.7M1.078.967,0937,563115,848281,510
2023-03-06$72.68$73.0012.9%3.6%10.6%0.0%12.8%2.8%0.4%-50.4M45.8M-2.6M1.463.664,9577,240118,046280,004
2023-03-07$72.07$73.0013.6%3.9%11.0%5.9%14.1%2.9%-0.0%-66.9M139.4M-2.6M4.274.252,99212,778121,991283,207
2023-03-08$72.09$73.0013.5%3.9%10.9%4.8%14.5%2.9%0.3%-74.1M157.2M-2.6M2.3350.282,3505,487122,226287,436
2023-03-09$71.52$72.0015.1%4.2%11.0%19.0%16.0%3.9%0.2%-85.8M268.4M-2.6M4.916.661,3816,780123,272289,205
2023-03-10$70.94$72.0016.3%4.7%11.3%29.1%16.2%4.6%0.1%-87.3M388.4M-2.6M2.2211.4412,43927,578123,909289,121
2023-03-13$71.68$72.0016.9%4.7%11.7%34.5%19.0%4.1%-0.5%-62.8M177.9M-2.6M2.6359.936,09516,038128,218279,150
2023-03-14$71.81$72.0016.2%4.7%10.8%28.6%18.8%4.4%0.5%-67.8M142.0M-2.6M3.1457.192,7258,567131,298288,694
2023-03-15$72.35$72.0017.4%5.1%11.0%39.0%17.3%4.3%0.6%-54.5M60.9M-2.7M1.8854.744,6718,787132,494290,263
2023-03-16$72.63$72.0016.3%4.5%11.1%29.1%17.2%3.9%-0.5%-46.1M-18.0M-2.6M2.5459.744,40411,171133,991291,514
2023-03-17$72.00$72.0017.5%5.0%11.4%39.5%17.8%4.8%-0.2%-118.6M83.1M-2.6M4.1114.236,03324,774136,144297,135
2023-03-20$72.69$72.0016.1%4.6%11.3%27.9%16.1%4.1%0.2%2.8M-36.2M-2.6M0.956.763,9363,74886,788139,581
2023-03-21$72.72$72.0014.6%4.2%11.3%14.4%14.8%3.9%0.6%4.0M-47.6M-2.6M0.867.984,2163,63989,350140,391
2023-03-22$72.53$72.0014.6%4.2%11.2%14.7%15.8%4.1%-0.7%4.3M-43.9M-2.6M3.5918.171,8296,56792,112142,471
2023-03-23$71.81$72.0015.7%4.5%11.7%24.5%15.2%4.7%-0.0%-1.7M36.6M-2.6M1.7111.204,9018,35693,448144,231
2023-03-24$72.94$72.0015.1%4.3%12.8%19.2%15.5%4.0%0.6%9.3M-76.5M-2.6M1.4740.513,8305,62595,345147,451
2023-03-27$73.38$72.0014.3%4.0%12.9%12.0%14.0%4.2%0.5%10.3M-122.4M-2.5M0.6537.554,9673,22895,215146,871
2023-03-28$73.41$72.0014.1%3.9%12.5%10.0%14.1%3.8%0.6%13.0M-139.6M-2.5M1.2411.646,2057,70597,487147,652
2023-03-29$73.81$72.0013.3%3.6%12.2%3.3%13.3%3.6%0.3%15.5M-161.0M-2.6M1.0736.444,0664,365102,005153,210
2023-03-30$74.10$72.0013.4%3.7%11.3%4.3%12.7%3.6%0.6%16.1M-187.7M-2.5M0.9146.666,8126,176101,388155,288
2023-03-31$74.57$72.0013.0%3.6%11.4%0.7%12.6%3.2%0.6%20.9M-250.1M-2.5M0.9460.384,4794,197105,923158,453