XLP Options History — May 2007

In May 2007, XLP traded between $27.10 and $27.77. ATM implied volatility averaged 9.8%. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.6% (HV 20d: 7.3%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 8.22.

Notable Days

  • 2007-05-01: Highest Volume — 10,252 contracts
  • 2007-05-23: Largest IV spike — 94.9% change
  • 2007-05-21: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.42$27.10$27.77$27.29$27.77
Max Pain$26.27$26.00$28.00$28.00$26.00
ATM IV9.8%6.1%12.4%8.9%7.9%
Expected Move2.8%1.7%3.5%2.6%2.3%
HV 20d7.3%6.4%8.1%7.0%8.0%
HV 60d10.2%9.0%10.8%10.4%9.0%
Term Structure0.1%-4.2%3.9%3.2%-0.2%
VWIV12.5%7.4%23.2%9.9%18.8%
Skew 25d3.7%-1.1%6.1%3.2%-1.1%
Skew 10d3.9%0.4%11.0%4.2%0.4%
Call IV 25d7.6%5.2%9.6%6.8%9.6%
Put IV 25d11.2%8.4%13.4%10.0%8.4%
Bid-Ask Spread %25.1816.7034.6134.6121.70
Gamma HHI0.490.320.740.540.41
Net GEX-1.0M-5.2M1.4M-1.9M1.1M
Net DEX-32.1M-39.4M-20.8M-27.5M-39.4M
Net VEX-254.4K-311.6K-223.6K-272.7K-223.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.220.00156.421.000.06
Total Volume632.545610,25210,25235
Total OI50,19945,03860,02351,16345,071

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$27.29$28.008.9%2.6%7.0%0.0%9.9%3.2%3.2%-1.9M-27.5M-272.7K1.0034.615,1335,11922,90728,256
2007-05-02$27.30$28.0010.6%3.0%6.7%0.0%10.6%3.8%1.1%-1.8M-36.9M-311.6K0.1927.89541027,22032,803
2007-05-03$27.40$28.0010.1%2.9%6.7%0.0%0.0%3.0%1.4%-2.2M-29.2M-264.8K156.4228.16121,87723,25227,905
2007-05-04$27.40$26.007.4%3.2%6.6%0.0%10.9%3.6%-0.3%-1.9M-30.4M-267.1K0.0131.64432323,25429,680
2007-05-07$27.45$26.0012.4%3.1%6.5%0.0%7.4%3.0%0.3%-2.0M-29.9M-262.8K0.0018.1248023,10829,660
2007-05-08$27.26$26.0011.7%3.3%6.9%0.0%0.0%3.7%-1.3%-2.3M-30.5M-254.5K0.0816.7025223,53329,660
2007-05-09$27.30$26.0010.8%3.1%6.4%0.0%0.0%2.1%0.2%-2.1M-27.2M-265.3K0.0024.1507023,15329,662
2007-05-10$27.13$26.0011.5%3.3%6.8%0.0%11.5%6.1%-1.5%-3.5M-20.8M-281.7K0.6326.57402523,15329,632
2007-05-11$27.20$26.0010.7%3.1%6.8%0.0%12.4%5.5%-0.5%-5.2M-22.3M-278.0K0.9123.25333023,16529,597
2007-05-14$27.10$26.0011.1%3.2%6.9%0.0%10.5%4.7%-1.7%-4.3M-24.3M-255.0K2.6024.9751323,17129,606
2007-05-15$27.28$26.0010.7%3.1%6.5%0.0%10.5%5.7%0.5%-3.4M-28.5M-258.8K0.0018.1336023,17129,616
2007-05-16$27.56$26.007.6%2.2%7.4%0.0%12.3%3.1%2.0%-1.1M-33.4M-251.1K0.0030.39372123,16529,616
2007-05-17$27.49$26.0010.9%3.1%7.5%0.0%11.0%2.8%0.7%-911.5K-34.3M-249.4K0.0125.23100123,44029,617
2007-05-18$27.69$26.006.7%1.9%7.4%0.0%11.9%2.7%2.8%452.4K-36.8M-240.3K0.1227.1034423,37529,617
2007-05-21$27.48$26.0012.1%3.5%7.9%0.0%9.5%3.2%-1.1%1.2M-36.4M-239.0K0.0027.0053023,32521,721
2007-05-22$27.53$26.006.1%1.7%7.9%0.0%18.1%5.4%3.9%1.3M-35.4M-244.4K10.0025.111010023,33721,721
2007-05-23$27.45$26.0011.9%3.4%7.7%0.0%11.8%6.0%-1.2%1.3M-36.6M-235.4K0.1319.1615223,32721,711
2007-05-24$27.33$26.0010.4%3.0%7.8%0.0%23.2%4.4%-1.0%1.4M-34.7M-244.4K0.2122.3124523,32921,711
2007-05-25$27.50$26.0011.8%3.4%8.1%0.0%0.0%3.6%-4.2%1.4M-36.5M-232.6K0.0019.986023,33221,714
2007-05-29$27.60$26.008.0%2.3%8.0%0.0%10.1%2.5%-0.6%1.2M-37.8M-232.0K0.0034.56130023,33321,714
2007-05-30$27.73$26.007.4%2.1%8.0%0.0%14.4%4.5%0.4%1.0M-38.4M-231.3K0.3027.31441323,32421,714
2007-05-31$27.77$26.007.9%2.3%8.0%0.0%18.8%-1.1%-0.2%1.1M-39.4M-223.6K0.0621.7033223,34421,727