XLP Options History — April 2024

In April 2024, XLP traded between $73.07 and $75.94. ATM implied volatility averaged 11.1%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.4% (HV 20d: 8.8%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.19.

Notable Days

  • 2024-04-17: Highest Volume — 119,922 contracts
  • 2024-04-10: Largest IV spike — 17.3% change
  • 2024-04-15: Highest IV Rank — 52.8%
  • 2024-04-15: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.62$73.07$75.94$75.88$75.50
Max Pain$74.61$74.00$76.00$76.00$74.00
ATM IV11.1%9.4%12.8%9.8%9.8%
Expected Move3.2%2.7%3.7%2.8%2.9%
HV 20d8.8%7.8%9.9%8.2%8.8%
HV 60d9.4%8.6%9.7%9.2%8.7%
IV Rank30.5%7.1%52.8%13.4%13.0%
IV Percentile47.9%3.2%85.3%8.7%9.5%
Term Structure-0.0%-2.3%2.6%0.2%0.4%
VWIV11.2%9.7%13.0%10.2%10.2%
Skew 25d1.7%0.6%2.7%1.5%1.2%
Skew 10d4.4%2.7%7.1%3.4%3.2%
Call IV 25d10.3%8.8%11.7%9.3%9.3%
Put IV 25d12.1%10.1%14.4%10.8%10.5%
Bid-Ask Spread %45.6536.6757.1355.2955.00
Gamma HHI0.130.090.200.200.15
Net GEX10.0M-21.2M39.0M30.2M33.3M
Net DEX-69.4M-277.7M167.4M-270.4M-216.5M
Net VEX-2.6M-2.8M-2.2M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.190.5929.651.031.33
Total Volume19,665.9554,205119,9224,2056,349
Total OI303,554.045256,718328,050256,718311,109

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-04-01$75.88$76.009.8%2.8%8.2%13.4%10.2%1.5%0.2%30.2M-270.4M-2.3M1.0355.292,0752,130120,443136,275
2024-04-02$75.32$76.0010.0%2.8%8.7%16.1%9.8%1.6%-0.0%19.2M-185.9M-2.3M1.5751.042,8564,474120,260137,831
2024-04-03$74.60$76.0010.7%3.0%9.4%25.0%10.3%1.9%-0.6%8.7M-63.0M-2.2M0.7741.264,4503,415120,538139,774
2024-04-04$74.16$75.0011.7%3.4%9.0%38.6%11.4%2.1%0.5%3.6M-313.3K-2.3M2.3440.7716,47438,592121,645140,301
2024-04-05$74.28$75.0011.2%3.3%8.6%31.1%11.4%1.7%0.2%4.1M8.9M-2.8M2.5536.673,94310,050134,463174,098
2024-04-08$74.23$75.0011.1%3.2%8.3%30.8%10.8%1.5%-0.0%3.8M-5.5M-2.7M1.4437.846,3619,151129,881173,019
2024-04-09$74.47$75.0010.6%3.2%8.2%24.0%11.1%1.7%1.2%10.0M-46.6M-2.7M4.2541.382,90712,354133,076173,346
2024-04-10$74.34$75.0012.5%3.3%7.8%48.7%11.3%0.6%-2.3%-5.3M16.9M-2.7M3.8341.434,12315,792133,243184,161
2024-04-11$74.28$75.0010.7%3.2%7.8%24.5%11.0%1.5%0.5%-8.3M25.2M-2.8M2.3740.644,56210,830135,511186,122
2024-04-12$73.47$75.0012.2%3.5%8.2%45.7%11.8%2.2%-0.2%-21.2M167.4M-2.7M3.6345.806,33323,014136,096188,730
2024-04-15$73.07$74.0012.8%3.7%8.3%52.8%12.5%2.7%-0.0%-18.6M159.9M-2.6M2.1237.595,98312,711133,551180,753
2024-04-16$73.19$74.0012.4%3.5%8.3%47.7%12.4%2.6%2.6%-20.2M137.8M-2.7M1.9442.884,7799,274134,509186,124
2024-04-17$73.38$74.0012.6%3.6%8.3%50.3%13.0%2.2%-0.8%-20.8M103.9M-2.7M29.6544.723,913116,009136,545188,842
2024-04-18$73.81$74.0012.0%3.4%8.6%43.0%12.2%1.9%-0.2%-10.8M36.4M-2.7M2.2946.635,91113,527138,136189,914
2024-04-19$74.34$74.0012.3%3.5%8.9%46.2%13.0%2.1%-0.5%14.2M-46.5M-2.8M2.2944.193,3137,577138,467188,173
2024-04-22$75.09$74.0011.4%3.3%9.6%34.1%11.5%2.1%0.1%21.6M-153.0M-2.7M1.1946.446,5427,772121,625170,029
2024-04-23$75.31$74.0010.6%3.0%9.5%23.1%10.8%1.7%-0.1%27.3M-200.3M-2.7M1.2347.564,9346,055126,253175,821
2024-04-24$75.94$74.0010.7%3.0%9.9%24.3%11.2%2.2%0.4%37.8M-277.7M-2.6M0.5946.044,6232,712129,102178,246
2024-04-25$75.65$74.0010.5%3.0%9.6%21.8%10.5%1.1%-0.3%35.8M-237.3M-2.6M0.5951.258,0294,767130,457179,241
2024-04-26$75.70$74.009.4%2.7%9.5%7.1%9.7%1.4%-0.3%36.6M-231.9M-2.6M1.9252.812,9815,713132,957180,053
2024-04-29$75.69$74.509.6%2.9%9.2%10.4%10.6%1.2%-0.8%39.0M-248.3M-2.5M1.3357.132,2693,022130,419179,050
2024-04-30$75.50$74.009.8%2.9%8.8%13.0%10.2%1.2%0.4%33.3M-216.5M-2.5M1.3355.002,7263,623131,147179,962