XLP Options History — March 2007

In March 2007, XLP traded between $25.75 and $26.79. ATM implied volatility averaged 11.0%. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 2.3% (HV 20d: 13.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2007-03-15: Highest Volume — 6,055 contracts
  • 2007-03-27: Largest IV spike — 49.2% change
  • 2007-03-02: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.25$25.75$26.79$26.30$26.65
Max Pain$26.00$25.00$27.00$25.00$26.00
ATM IV11.0%6.2%15.8%14.6%8.7%
Expected Move3.0%1.8%4.3%4.2%2.5%
HV 20d13.3%9.9%15.7%9.9%12.1%
HV 60d10.0%8.9%10.4%9.0%10.1%
Term Structure0.4%-3.1%3.9%-2.6%1.3%
VWIV12.6%8.0%15.0%14.6%11.3%
Skew 25d4.3%1.6%6.2%2.8%3.3%
Skew 10d4.0%0.7%9.0%0.7%2.8%
Call IV 25d8.5%6.0%12.6%10.0%9.0%
Put IV 25d12.8%10.7%17.6%12.8%12.2%
Bid-Ask Spread %34.3513.5953.4413.5953.44
Gamma HHI0.390.290.520.320.46
Net GEX1.8M879.9K4.0M1.5M1.3M
Net DEX-23.7M-31.3M-16.3M-23.2M-27.0M
Net VEX-264.6K-282.5K-251.3K-265.9K-251.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0025.000.333.57
Total Volume793.04586,0552,118160
Total OI44,195.95538,27349,26643,96340,774

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$26.30$25.0014.6%4.2%9.9%0.0%14.6%2.8%-2.6%1.5M-23.2M-265.9K0.3313.591,58952924,52019,443
2007-03-02$25.89$25.0014.9%4.3%11.1%0.0%15.0%5.0%-3.1%1.4M-19.6M-272.8K0.6019.3891755025,80819,941
2007-03-05$25.80$27.0015.8%3.7%11.0%0.0%12.7%4.9%-0.3%1.1M-16.3M-282.5K0.1544.704006126,44320,456
2007-03-06$26.00$27.0014.1%3.5%11.5%0.0%12.0%2.8%-0.6%1.8M-24.7M-268.3K0.2537.2255814026,71120,457
2007-03-07$25.90$26.0011.0%3.3%11.6%0.0%0.0%4.8%-0.2%2.2M-23.1M-272.2K0.3147.902206926,99120,477
2007-03-08$26.14$26.0012.2%3.2%12.2%0.0%0.0%6.0%-0.2%2.5M-26.2M-272.8K0.0033.181,064027,19120,546
2007-03-09$26.22$26.0013.1%3.2%12.2%0.0%0.0%6.2%-0.2%3.0M-31.3M-257.2K0.0030.3225028,19520,546
2007-03-12$26.25$26.0012.1%3.2%12.2%0.0%0.0%6.0%-0.5%3.1M-29.2M-274.5K0.0032.568028,72020,546
2007-03-13$25.75$26.0014.4%3.3%13.9%0.0%0.0%3.6%-0.4%1.3M-18.8M-271.5K0.1137.25871028,02520,546
2007-03-14$25.80$26.009.5%3.6%13.9%0.0%0.0%4.8%-1.0%1.5M-17.6M-272.1K2.1622.777516228,05720,526
2007-03-15$26.13$26.0012.5%3.6%14.5%0.0%0.0%5.3%-0.9%4.0M-24.5M-271.2K0.0033.046,055028,05720,718
2007-03-16$25.93$26.0012.1%3.5%14.5%0.0%0.0%5.3%0.1%2.5M-18.7M-267.3K0.1627.061272026,41020,688
2007-03-19$26.10$26.0011.8%3.4%14.7%0.0%13.0%5.6%0.2%1.1M-19.4M-264.9K5.8336.443432,00021,75016,523
2007-03-20$26.35$26.0012.1%3.5%15.1%0.0%14.5%4.3%-0.0%879.9K-20.6M-265.2K0.2126.741412922,06518,523
2007-03-21$26.60$26.007.6%2.2%15.4%0.0%0.0%4.0%1.4%997.4K-24.6M-260.8K0.3942.262057922,18918,547
2007-03-22$26.73$26.007.3%2.1%15.5%0.0%8.0%3.4%1.6%1.4M-28.1M-251.5K0.1428.8482211722,31117,626
2007-03-23$26.79$26.006.2%1.8%15.5%0.0%0.0%3.3%2.2%1.4M-27.9M-252.7K0.0038.22125022,39817,723
2007-03-26$26.60$26.006.3%1.8%15.7%0.0%0.0%4.0%1.6%1.5M-27.2M-254.2K0.0043.83190022,43417,723
2007-03-27$26.48$26.009.5%2.7%13.4%0.0%11.3%2.5%3.9%1.4M-25.4M-255.0K25.0041.631640022,58117,723
2007-03-28$26.43$26.009.2%2.6%13.4%0.0%0.0%1.6%2.7%1.3M-24.9M-256.6K1.4133.75496922,57318,088
2007-03-29$26.58$26.006.7%1.9%13.5%0.0%0.0%5.3%3.7%1.1M-24.2M-259.7K1.2531.66162022,59518,147
2007-03-30$26.65$26.008.7%2.5%12.1%0.0%0.0%3.3%1.3%1.3M-27.0M-251.3K3.5753.443512522,60718,167