XLP Options History — January 2007

In January 2007, XLP traded between $26.14 and $26.73. ATM implied volatility averaged 8.0%. The 30-day expected move averaged 2.3%. IV traded above realized volatility by 2.1% (HV 20d: 5.9%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-01-26: Highest Volume — 2,142 contracts
  • 2007-01-05: Largest IV spike — 45.7% change
  • 2007-01-26: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.48$26.14$26.73$26.29$26.65
Max Pain$24.30$23.00$26.00$25.00$26.00
ATM IV8.0%4.6%11.4%9.6%4.6%
Expected Move2.3%1.3%3.3%2.7%1.3%
HV 20d5.9%5.7%6.1%6.1%5.7%
Term Structure1.0%-1.4%4.2%1.5%3.2%
VWIV9.2%5.6%11.3%8.4%11.3%
Skew 25d1.2%-2.1%5.4%1.6%2.1%
Skew 10d1.0%-1.6%3.3%1.9%0.3%
Call IV 25d7.7%4.7%9.1%8.0%4.7%
Put IV 25d8.9%5.8%11.0%9.5%6.7%
Bid-Ask Spread %18.528.8125.3017.779.79
Gamma HHI0.410.320.500.430.49
Net GEX2.0M1.1M3.5M2.9M1.4M
Net DEX-37.0M-46.8M-30.4M-38.7M-32.2M
Net VEX-262.5K-274.0K-245.1K-252.1K-268.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.002.420.342.42
Total Volume203.15152,14239123
Total OI58,839.1540,99672,66069,13143,445

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$26.29$25.009.6%2.7%0.0%0.0%0.0%1.6%1.5%2.9M-38.7M-252.1K0.3417.77291026,14942,982
2007-01-04$26.33$25.005.8%1.7%0.0%0.0%0.0%-1.1%4.2%3.0M-37.7M-265.9K0.0011.7842026,16542,992
2007-01-05$26.14$25.008.5%2.9%0.0%0.0%8.4%0.3%0.5%3.5M-36.3M-253.1K0.0010.63152026,19542,992
2007-01-08$26.18$25.0010.4%2.8%0.0%0.0%9.7%0.2%1.6%3.2M-33.8M-274.0K1.4322.6971026,22042,992
2007-01-09$26.24$25.009.7%3.0%0.0%0.0%10.3%1.3%0.3%3.4M-39.3M-245.1K0.0822.94117926,22142,997
2007-01-10$26.35$23.009.1%2.8%0.0%0.0%0.0%2.3%1.1%3.0M-39.1M-258.0K0.0024.5157026,32742,996
2007-01-11$26.55$23.008.0%2.3%0.0%0.0%0.0%1.7%0.5%2.0M-43.2M-247.2K0.1224.7376926,32442,996
2007-01-12$26.51$23.008.8%2.5%0.0%0.0%0.0%1.9%0.3%2.2M-42.7M-251.6K0.0018.25232026,38142,998
2007-01-16$26.53$23.006.3%1.8%0.0%0.0%7.8%2.1%0.7%2.5M-42.5M-248.7K1.7425.3010919026,39942,998
2007-01-17$26.61$23.008.4%2.4%0.0%0.0%0.0%2.3%0.6%1.7M-44.9M-272.6K0.0325.3030127,94444,676
2007-01-18$26.57$23.006.8%1.9%0.0%0.0%5.6%1.1%-0.3%1.9M-46.8M-263.4K0.8815.968727,97444,676
2007-01-19$26.61$23.008.6%2.5%0.0%0.0%10.8%2.3%-0.4%1.5M-45.5M-268.5K0.0125.27130127,97744,683
2007-01-22$26.58$23.006.5%1.8%0.0%0.0%0.0%1.7%0.5%1.1M-30.4M-272.4K0.6520.23573722,40918,587
2007-01-23$26.63$23.006.7%1.9%0.0%0.0%6.1%-2.1%0.8%1.1M-30.8M-270.2K2.0023.93122422,44918,619
2007-01-24$26.73$25.007.8%2.2%0.0%0.0%11.3%-1.0%0.9%1.2M-31.8M-268.4K0.3013.35972922,46118,631
2007-01-25$26.56$25.009.0%2.6%6.1%0.0%10.6%1.3%-0.6%1.2M-30.9M-265.0K0.0820.0959522,48418,649
2007-01-26$26.49$26.0011.4%3.3%6.0%0.0%11.3%5.4%-1.4%1.2M-30.8M-267.1K1.0020.211,0721,07022,54318,654
2007-01-29$26.56$26.007.6%2.2%5.9%0.0%0.0%0.2%3.0%1.2M-30.8M-271.9K0.348.81862923,52119,724
2007-01-30$26.54$26.005.8%1.7%5.7%0.0%0.0%1.3%3.0%1.3M-31.7M-266.3K1.748.81508723,60719,746
2007-01-31$26.65$26.004.6%1.3%5.7%0.0%0.0%2.1%3.2%1.4M-32.2M-268.1K2.429.79368723,61219,833