XLP Options History — July 2007

In July 2007, XLP traded between $26.28 and $27.70. ATM implied volatility averaged 12.7%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.8% (HV 20d: 8.9%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.29.

Notable Days

  • 2007-07-26: Highest Volume — 2,630 contracts
  • 2007-07-09: Largest IV spike — 31.8% change
  • 2007-07-30: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.21$26.28$27.70$27.27$26.28
Max Pain$25.76$25.00$28.00$27.00$26.00
ATM IV12.7%8.8%20.4%10.4%20.4%
Expected Move3.8%2.9%5.8%3.0%5.8%
HV 20d8.9%8.1%10.6%9.7%10.3%
HV 60d8.6%8.2%9.5%8.3%9.5%
IV Rank58.1%30.0%100.0%39.5%100.0%
IV Percentile82.0%38.6%100.0%61.1%100.0%
Term Structure0.3%-3.0%2.6%1.8%-3.0%
VWIV13.3%10.5%16.3%14.7%16.3%
Skew 25d2.8%-0.5%6.9%3.2%0.5%
Skew 10d2.6%-0.3%6.0%3.3%1.5%
Call IV 25d10.7%7.3%17.3%7.3%17.3%
Put IV 25d13.6%10.2%20.0%10.4%17.8%
Bid-Ask Spread %28.9517.8571.1525.8833.90
Gamma HHI0.300.280.330.280.33
Net GEX291.6K58.9K523.2K302.8K290.8K
Net DEX-22.5M-31.0M-7.7M-25.9M-10.0M
Net VEX-258.8K-285.0K-46.9K-280.1K-280.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.0046.280.000.21
Total Volume391.09592,63033445
Total OI45,504.90511,45449,19546,70349,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$27.27$27.0010.4%3.0%9.7%0.0%0.0%3.2%1.8%302.8K-25.9M-280.1K0.0025.8833023,43323,270
2007-07-03$27.26$27.0010.0%2.9%9.6%0.0%0.0%2.4%2.6%251.7K-25.4M-275.5K0.0023.9311023,42023,277
2007-07-05$27.24$27.0010.2%2.9%9.4%39.5%0.0%2.3%2.5%259.9K-25.7M-271.7K0.0028.9435023,43123,270
2007-07-06$27.40$28.008.8%3.6%8.5%30.0%0.0%4.0%0.9%276.1K-25.5M-275.6K0.0033.379023,44123,270
2007-07-09$27.40$28.0011.7%3.8%8.2%49.9%0.0%4.5%-1.0%292.7K-25.9M-273.4K0.0030.4762023,43623,270
2007-07-10$27.15$28.0012.3%3.7%8.5%54.2%14.7%3.1%0.7%175.0K-20.5M-283.5K0.0071.1582023,44923,270
2007-07-11$27.28$25.0010.9%4.0%8.1%44.8%0.0%4.1%0.2%186.2K-21.9M-277.9K0.0040.03339023,47823,270
2007-07-12$27.51$25.0010.8%3.1%8.2%43.5%11.1%3.8%0.8%388.8K-31.0M-255.0K0.0023.95413023,58123,270
2007-07-13$27.70$25.0011.4%3.3%8.6%48.0%11.3%3.7%0.1%503.3K-30.9M-259.8K0.0227.69163423,74923,270
2007-07-16$27.59$25.0011.5%3.3%8.6%48.6%0.0%3.4%-0.5%523.2K-7.7M-46.9K0.0025.337506,4225,032
2007-07-17$27.46$25.0012.6%3.6%8.5%56.4%10.5%1.9%-0.4%369.2K-29.0M-254.6K0.1227.181712123,61723,270
2007-07-18$27.47$25.0013.0%3.7%8.1%59.3%0.0%1.1%-0.1%311.4K-27.3M-258.1K0.0023.3144023,47523,279
2007-07-19$27.56$25.0010.5%3.0%8.1%41.8%0.0%3.0%0.6%362.1K-28.8M-255.2K46.2828.43391,80523,48923,279
2007-07-20$27.40$25.0012.9%3.7%8.4%58.4%12.6%-0.5%0.4%58.9K-23.5M-266.9K0.0125.35292223,49825,084
2007-07-23$27.40$25.0012.1%3.5%8.1%53.1%11.4%1.7%1.2%266.2K-28.2M-252.1K0.0019.34458023,19123,238
2007-07-24$27.20$25.0014.2%4.1%8.4%67.9%0.0%3.5%0.3%248.2K-22.0M-265.6K0.7717.85524023,59523,238
2007-07-25$27.20$25.0012.6%3.6%8.3%56.8%12.7%0.0%-0.9%326.2K-23.8M-261.8K0.4027.122299123,62023,278
2007-07-26$26.80$25.0015.1%4.3%9.5%74.0%15.2%5.6%0.3%143.2K-15.1M-279.0K0.1625.852,26037023,80323,347
2007-07-27$26.44$25.0015.7%4.5%10.6%78.2%15.3%1.2%1.0%213.8K-10.4M-285.0K0.0030.29267025,06023,707
2007-07-30$26.50$25.0019.6%5.6%10.6%100.0%15.8%6.9%-1.8%373.5K-13.2M-276.3K0.1818.633416025,32423,707
2007-07-31$26.28$26.0020.4%5.8%10.3%100.0%16.3%0.5%-3.0%290.8K-10.0M-280.5K0.2133.903697625,44023,755