XLP Options History — March 2024

In March 2024, XLP traded between $74.44 and $76.41. ATM implied volatility averaged 10.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.0% (HV 20d: 8.1%). Max pain ranged from $71.00 to $76.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2024-03-15: Highest Volume — 24,758 contracts
  • 2024-03-15: Largest IV spike — 10.7% change
  • 2024-03-15: Highest IV Rank — 30.7%
  • 2024-03-15: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.53$74.44$76.41$74.47$76.41
Max Pain$74.70$71.00$76.00$71.00$76.00
ATM IV10.1%8.8%11.6%10.4%9.3%
Expected Move2.9%2.4%3.4%2.8%2.6%
HV 20d8.1%7.0%9.7%8.9%7.8%
HV 60d9.8%9.1%10.6%10.6%9.1%
IV Rank12.9%0.0%30.7%15.7%6.2%
IV Percentile19.3%0.0%63.5%20.2%2.8%
Term Structure0.2%-0.6%2.4%0.2%0.1%
VWIV10.1%8.4%11.3%9.7%9.7%
Skew 25d1.0%0.2%1.7%1.0%1.2%
Skew 10d2.4%0.9%4.1%2.8%3.1%
Call IV 25d9.7%8.4%10.7%9.9%8.7%
Put IV 25d10.6%9.4%11.7%10.9%9.9%
Bid-Ask Spread %60.8849.9079.4360.4051.16
Gamma HHI0.180.150.230.150.20
Net GEX26.5M-7.5M42.2M30.4M37.3M
Net DEX-377.6M-524.9M-243.3M-380.4M-374.6M
Net VEX-2.1M-2.3M-2.0M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.244.591.551.55
Total Volume12,288.24,75524,7584,75520,326
Total OI288,966.55242,554348,624293,107265,413

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$74.47$71.0010.4%2.8%8.9%15.7%9.7%1.0%0.2%30.4M-380.4M-2.0M1.5560.401,8622,893126,317166,790
2024-03-04$74.44$74.0010.3%3.1%8.9%14.8%10.8%0.5%0.1%34.5M-367.8M-2.0M0.8757.492,8922,522124,198164,575
2024-03-05$74.59$74.0010.7%3.1%8.6%19.3%10.9%0.6%-0.0%34.4M-372.3M-2.0M3.2052.383,0049,612125,869166,264
2024-03-06$75.25$74.0010.8%3.1%9.0%21.6%11.3%0.5%-0.1%32.7M-448.5M-2.1M2.1857.694,3659,536127,372171,836
2024-03-07$75.78$74.0010.4%3.2%9.3%16.4%11.1%0.7%-0.2%34.0M-489.2M-2.1M3.0153.102,3016,933129,900178,216
2024-03-08$75.25$74.0010.7%3.1%9.7%19.3%10.7%0.4%-0.0%11.6M-417.4M-2.1M0.6458.123,8822,473131,984183,245
2024-03-11$75.60$75.0010.9%3.1%8.9%21.6%11.2%1.2%-0.6%31.4M-478.0M-2.0M4.5960.034,23119,426128,430177,655
2024-03-12$76.02$75.0010.4%3.0%8.8%16.8%10.7%0.8%-0.0%24.2M-501.5M-2.2M0.9663.238,9638,561130,903197,081
2024-03-13$76.06$75.0010.3%2.9%7.0%14.8%10.3%0.6%-0.5%22.2M-524.9M-2.0M0.8358.853,6052,996134,660203,396
2024-03-14$75.44$75.0010.5%3.1%7.9%17.4%10.7%0.2%-0.2%12.3M-402.3M-2.2M1.5264.016,85010,429137,169205,880
2024-03-15$75.47$75.0011.6%3.4%7.7%30.7%10.9%1.7%2.4%-7.5M-437.8M-2.1M1.4267.5510,23414,524139,915208,709
2024-03-18$75.48$75.0010.7%3.1%7.7%19.2%10.7%1.5%0.2%10.0M-243.3M-2.1M1.5151.424,1436,244104,920137,634
2024-03-19$75.72$75.0010.1%2.9%7.2%12.7%10.3%1.3%0.2%15.7M-273.2M-2.2M0.7849.907,3085,669108,474141,477
2024-03-20$75.84$75.009.4%2.7%7.1%4.9%9.6%1.4%0.5%28.2M-322.0M-2.1M1.4871.562,8204,179114,658146,315
2024-03-21$76.18$75.009.1%2.6%7.0%0.7%9.4%1.3%0.6%39.0M-350.7M-2.2M2.7563.481,6644,579116,454149,259
2024-03-22$75.70$75.509.1%2.6%7.3%1.5%9.0%1.3%0.5%29.7M-265.5M-2.3M0.2471.7016,2793,919117,266151,231
2024-03-25$75.34$75.508.9%2.5%7.4%0.0%8.6%0.7%0.6%31.0M-250.9M-2.2M1.4476.064,4206,352118,329130,254
2024-03-26$75.56$75.509.2%2.5%7.4%3.7%8.9%1.2%0.3%35.7M-287.1M-2.3M2.1879.432,1454,672121,310134,783
2024-03-27$76.10$75.508.8%2.4%7.7%0.0%8.4%1.2%0.2%42.2M-363.8M-2.2M2.2250.032,7776,174123,016138,174
2024-03-28$76.41$76.009.3%2.6%7.8%6.2%9.7%1.2%0.1%37.3M-374.6M-2.3M1.5551.167,96712,359123,493141,920