XLP Options History — April 2023

In April 2023, XLP traded between $74.87 and $77.30. ATM implied volatility averaged 11.8%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.4% (HV 20d: 9.4%). Max pain ranged from $72.00 to $75.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.85.

Notable Days

2023-04-25: Highest Volume — 26,976 contracts
2023-04-27: Largest IV drop — 13.9% change
2023-04-26: Highest IV Rank — 16.6%
2023-04-06: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.85	$74.87	$77.30	$75.19	$77.30
Max Pain	$73.95	$72.00	$75.00	$72.00	$75.00
ATM IV	11.8%	10.3%	13.4%	13.4%	10.3%
Expected Move	3.3%	2.8%	3.8%	3.6%	2.8%
HV 20d	9.4%	6.6%	11.7%	11.7%	8.1%
HV 60d	11.2%	10.4%	13.3%	13.3%	10.4%
IV Rank	2.5%	0.0%	16.6%	4.1%	0.0%
IV Percentile	1.2%	0.0%	4.4%	4.0%	0.0%
Term Structure	0.0%	-0.6%	0.7%	0.1%	-0.1%
VWIV	12.6%	10.5%	16.0%	16.0%	11.5%
Skew 25d	3.5%	3.1%	3.8%	3.5%	3.2%
Skew 10d	7.3%	5.9%	8.7%	7.2%	5.9%
Call IV 25d	10.2%	8.8%	11.8%	11.7%	8.8%
Put IV 25d	13.7%	12.0%	15.2%	15.2%	12.1%
Bid-Ask Spread %	19.58	3.30	57.09	34.96	57.09
Gamma HHI	0.12	0.08	0.33	0.12	0.08
Net GEX	23.5M	-7.2M	59.9M	16.8M	3.5M
Net DEX	-320.5M	-477.4M	-191.9M	-281.8M	-326.0M
Net VEX	-2.4M	-2.7M	-2.3M	-2.4M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.85	0.29	7.12	3.70	1.10
Total Volume	11,171.421	3,380	26,976	15,402	7,223
Total OI	288,646.105	257,694	316,970	257,694	315,308

Daily Data (19 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
2023-04-03	$75.19	$72.00	13.4%	3.6%	11.7%	4.1%	16.0%	3.5%	0.1%	16.8M	-281.8M	-2.4M	3.70	34.96	3,279	12,123	104,229	153,465
2023-04-04	$74.87	$72.00	13.2%	3.4%	11.3%	2.6%	13.2%	3.4%	0.0%	16.6M	-251.8M	-2.5M	2.61	4.29	3,192	8,338	105,132	161,829
2023-04-05	$75.34	$72.00	13.1%	3.4%	11.4%	1.4%	12.1%	3.5%	0.1%	19.9M	-310.6M	-2.4M	1.25	36.09	3,297	4,106	106,798	165,538
2023-04-06	$75.19	$74.00	13.1%	3.8%	10.9%	1.3%	14.2%	3.4%	-0.1%	20.2M	-286.3M	-2.5M	2.04	7.37	2,721	5,553	108,128	168,237
2023-04-10	$75.23	$74.00	13.1%	3.8%	10.2%	1.7%	13.3%	3.6%	0.2%	21.9M	-284.0M	-2.4M	0.65	35.55	3,689	2,411	107,219	165,174
2023-04-11	$75.63	$74.00	12.5%	3.5%	9.8%	0.0%	12.7%	3.5%	-0.5%	27.1M	-349.3M	-2.4M	1.41	3.83	1,732	2,436	111,465	169,311
2023-04-12	$75.28	$74.00	12.3%	3.7%	10.2%	0.0%	12.7%	3.5%	0.7%	26.6M	-285.9M	-2.5M	0.29	32.97	5,558	1,615	112,291	170,510
2023-04-13	$75.68	$74.00	12.0%	3.3%	10.0%	0.0%	14.7%	3.6%	-0.5%	33.0M	-357.2M	-2.4M	5.27	4.26	1,912	10,085	116,707	171,320
2023-04-14	$75.25	$74.00	11.7%	3.4%	10.4%	0.0%	11.7%	3.4%	0.0%	31.4M	-317.1M	-2.5M	4.76	31.40	2,052	9,774	120,486	179,278
2023-04-17	$75.55	$74.00	10.8%	3.1%	9.7%	0.0%	10.5%	3.8%	0.5%	35.3M	-354.9M	-2.3M	1.14	3.30	3,725	4,263	119,046	179,262
2023-04-18	$75.85	$74.00	10.7%	3.1%	9.3%	0.0%	12.0%	3.1%	0.1%	37.2M	-391.6M	-2.4M	4.25	3.80	2,695	11,463	119,780	181,579
2023-04-19	$75.78	$74.00	10.5%	3.0%	9.4%	0.0%	11.8%	3.4%	0.2%	38.2M	-387.4M	-2.4M	2.43	3.35	986	2,394	120,334	187,280
2023-04-20	$75.88	$74.00	10.9%	3.1%	9.2%	2.8%	12.1%	3.5%	0.2%	40.0M	-391.7M	-2.3M	5.07	39.71	1,684	8,535	120,631	188,885
2023-04-21	$76.50	$74.00	10.9%	3.2%	8.2%	2.6%	11.1%	3.3%	-0.6%	59.9M	-477.4M	-2.3M	1.38	4.50	5,426	7,468	120,815	196,155
2023-04-24	$76.72	$75.00	10.7%	3.1%	6.7%	1.4%	12.6%	3.2%	0.0%	17.1M	-293.5M	-2.4M	5.99	4.14	2,189	13,116	97,810	166,200
2023-04-25	$76.80	$75.00	11.7%	3.4%	6.6%	8.6%	13.3%	3.8%	-0.3%	5.5M	-270.6M	-2.4M	2.00	33.07	8,986	17,990	99,148	176,813
2023-04-26	$76.19	$75.00	12.8%	3.7%	7.5%	16.6%	12.7%	3.8%	-0.1%	-7.2M	-191.9M	-2.6M	1.69	16.20	5,440	9,218	105,859	187,975
2023-04-27	$77.00	$75.00	11.0%	3.1%	8.1%	3.9%	11.5%	3.5%	0.1%	2.6M	-280.8M	-2.7M	7.12	16.20	1,918	13,665	108,299	195,980
2023-04-28	$77.30	$75.00	10.3%	2.8%	8.1%	0.0%	11.5%	3.2%	-0.1%	3.5M	-326.0M	-2.5M	1.10	57.09	3,436	3,787	108,176	207,132