XLP Options History — April 2007

In April 2007, XLP traded between $26.72 and $27.67. ATM implied volatility averaged 8.8%. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 0.1% (HV 20d: 8.7%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 15.85.

Notable Days

  • 2007-04-20: Highest Volume — 7,979 contracts
  • 2007-04-27: Largest IV spike — 49.8% change
  • 2007-04-27: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.25$26.72$27.67$26.72$27.40
Max Pain$26.60$26.00$28.00$26.00$28.00
ATM IV8.8%6.4%10.7%7.2%9.6%
Expected Move2.6%1.8%3.1%2.1%2.8%
HV 20d8.7%6.3%11.9%11.9%6.8%
HV 60d10.2%10.0%10.4%10.1%10.3%
Term Structure0.9%-0.6%2.3%2.0%1.4%
VWIV10.3%8.2%12.8%8.2%11.3%
Skew 25d1.7%-1.2%5.1%-0.8%4.2%
Skew 10d1.8%-0.6%6.4%-0.1%2.1%
Call IV 25d8.0%6.8%9.5%8.0%6.8%
Put IV 25d9.7%7.2%11.8%7.2%11.0%
Bid-Ask Spread %30.2920.3545.1928.7828.64
Gamma HHI0.500.320.610.490.46
Net GEX807.1K-1.3M2.0M1.4M-1.3M
Net DEX-35.2M-40.2M-28.4M-28.4M-31.9M
Net VEX-256.4K-278.7K-237.9K-245.8K-256.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.850.00261.000.205.00
Total Volume907.7567,979690
Total OI46,72540,85551,09040,87251,089

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-04-02$26.72$26.007.2%2.1%11.9%0.0%0.0%-0.8%2.0%1.4M-28.4M-245.8K0.2028.785122,58618,286
2007-04-03$26.90$26.008.2%2.3%11.9%0.0%8.2%0.8%2.3%1.6M-32.0M-238.9K0.0028.46155022,58118,287
2007-04-04$27.02$26.008.5%2.4%11.7%0.0%0.0%1.4%1.6%1.6M-32.2M-237.9K0.8932.202,8132,50022,56818,287
2007-04-05$27.09$26.009.3%2.7%11.4%0.0%0.0%1.7%-0.3%1.6M-35.8M-273.7K0.0028.8270024,88020,787
2007-04-09$27.02$26.008.9%2.9%11.5%0.0%0.0%5.1%1.1%1.7M-37.5M-265.9K2.5032.9341024,87320,787
2007-04-10$27.15$26.009.2%3.0%11.6%0.0%10.3%2.1%1.8%1.7M-34.7M-278.7K261.0026.81252224,87320,793
2007-04-11$26.97$26.008.8%2.9%9.2%0.0%8.5%4.0%1.0%1.8M-34.5M-270.9K0.0028.6055024,87321,198
2007-04-12$27.00$26.009.3%2.7%9.2%0.0%0.0%1.8%0.9%1.9M-35.8M-267.6K0.1522.451332024,84521,198
2007-04-13$27.09$26.009.7%2.8%8.3%0.0%8.8%1.8%0.7%2.0M-39.5M-245.4K1.4920.55537924,83821,218
2007-04-16$27.15$26.009.6%2.8%7.5%0.0%12.8%2.2%0.9%1.9M-40.2M-244.2K0.1320.35791024,87421,273
2007-04-17$27.40$26.009.9%2.8%7.8%0.0%0.0%0.2%0.5%1.6M-39.3M-257.5K0.8334.761,3271,10024,81221,283
2007-04-18$27.33$26.009.6%2.8%7.5%0.0%0.0%0.1%0.6%1.5M-37.8M-253.0K0.0028.27344024,00222,383
2007-04-19$27.35$26.0010.5%3.0%7.0%0.0%0.0%0.4%-0.6%1.4M-37.3M-254.3K0.1629.573555623,86322,383
2007-04-20$27.57$26.006.4%1.8%7.2%0.0%10.3%2.1%1.6%1.1M-38.8M-250.3K38.7033.032017,77823,51222,429
2007-04-23$27.54$28.008.6%2.5%7.3%0.0%10.5%1.0%-0.6%-1.2M-30.9M-270.0K1.1745.196722,84428,027
2007-04-24$27.53$28.006.7%1.9%6.6%0.0%11.4%2.5%1.0%-1.1M-33.5M-261.6K1.7933.746110922,84428,034
2007-04-25$27.67$28.007.4%2.1%6.3%0.0%0.0%-1.2%-0.0%-643.6K-37.9M-240.9K0.0032.4627022,90428,089
2007-04-26$27.56$28.007.1%2.0%6.5%0.0%10.5%2.4%0.3%-1.1M-34.0M-252.1K1.9833.525811522,91828,089
2007-04-27$27.50$28.0010.7%3.1%6.5%0.0%11.3%1.9%2.1%-1.2M-31.7M-262.6K1.0036.565522,90428,186
2007-04-30$27.40$28.009.6%2.8%6.8%0.0%0.0%4.2%1.4%-1.3M-31.9M-256.3K5.0028.64157522,90828,181