XLP Options History — August 2007

In August 2007, XLP traded between $26.45 and $27.75. ATM implied volatility averaged 15.3%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.36.

Notable Days

  • 2007-08-23: Highest Volume — 6,668 contracts
  • 2007-08-16: Largest IV spike — 39.7% change
  • 2007-08-16: Highest IV Rank — 91.4%
  • 2007-08-15: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.91$26.45$27.75$26.67$26.90
Max Pain$26.78$25.00$27.00$26.00$27.00
ATM IV15.3%12.0%19.0%15.8%13.8%
Expected Move4.6%3.4%6.2%4.5%4.0%
HV 20d16.2%11.6%18.0%11.9%16.3%
HV 60d11.9%9.9%12.7%10.0%12.4%
IV Rank68.1%47.0%91.4%70.8%58.3%
IV Percentile90.2%76.7%98.7%97.2%80.2%
Term Structure0.6%-1.9%3.0%0.5%0.6%
VWIV16.5%12.5%21.2%17.6%13.3%
Skew 25d7.0%2.5%11.6%6.5%2.5%
Skew 10d8.5%3.3%16.6%3.3%6.4%
Call IV 25d12.1%8.6%15.9%14.3%9.1%
Put IV 25d19.0%11.6%25.2%20.8%11.6%
Bid-Ask Spread %35.5617.5389.4629.3940.12
Gamma HHI0.340.280.430.320.38
Net GEX277.8K-470.9K729.1K374.5K-200.6K
Net DEX-14.9M-29.7M-3.7M-13.2M-13.4M
Net VEX-279.3K-289.8K-265.3K-283.9K-273.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.003.000.630.48
Total Volume644.696206,6681,421377
Total OI51,659.78349,39854,58949,39854,589

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$26.67$26.0015.8%4.5%11.9%70.8%17.6%6.5%0.5%374.5K-13.2M-283.9K0.6329.3987354825,60023,798
2007-08-02$26.70$25.0012.0%3.4%11.9%47.0%12.5%3.8%1.8%530.8K-17.3M-281.0K0.2929.232557426,28824,164
2007-08-03$26.65$25.0015.2%4.4%11.6%67.5%0.0%3.6%1.3%410.5K-11.9M-289.8K0.0032.90115026,40224,197
2007-08-06$27.34$27.0016.6%4.5%15.1%76.3%15.8%8.6%0.7%613.5K-22.5M-278.1K0.3389.461444726,47924,197
2007-08-07$27.27$27.0015.9%4.5%14.7%71.9%13.1%7.6%0.8%729.1K-28.6M-269.2K0.2134.303928426,41024,242
2007-08-08$27.75$27.0012.9%3.9%15.9%52.6%17.1%7.7%2.1%633.7K-29.7M-271.0K0.3927.8926110126,40324,244
2007-08-09$27.25$27.0016.7%5.1%17.0%76.7%17.8%5.5%-0.2%492.0K-19.8M-282.7K0.0051.22344026,43524,345
2007-08-10$27.10$27.0018.4%4.9%16.8%87.6%17.6%5.9%-0.4%591.7K-17.7M-284.7K0.1041.079339426,50924,345
2007-08-13$27.02$27.0015.8%5.3%16.8%70.9%18.5%7.5%-0.9%518.6K-18.0M-281.4K0.1851.671873326,50324,413
2007-08-14$26.59$27.0013.8%5.2%17.6%58.5%19.4%6.6%-0.5%397.2K-10.9M-281.6K0.7038.50715026,50324,426
2007-08-15$26.45$27.0013.6%6.2%17.6%57.1%21.2%9.9%-1.9%309.7K-6.9M-280.6K0.2732.6287424026,54324,355
2007-08-16$26.52$27.0019.0%5.5%17.6%91.4%19.8%11.6%-0.8%382.8K-9.2M-285.0K0.2254.101363026,96724,558
2007-08-17$26.65$27.0017.6%5.1%17.7%82.6%21.2%8.0%-0.0%485.4K-14.9M-278.6K0.0542.202991426,93724,561
2007-08-20$26.85$27.0017.4%5.0%18.0%81.3%18.1%9.6%0.4%340.3K-12.4M-276.2K0.1025.093022926,01024,478
2007-08-21$26.85$27.0015.7%4.5%17.8%70.3%16.2%7.3%1.7%418.0K-12.3M-275.7K0.1133.1618226,25824,483
2007-08-22$26.92$27.0015.6%4.5%17.9%69.8%15.5%10.1%0.2%472.1K-16.5M-270.9K0.0022.6953026,21824,481
2007-08-23$26.93$27.0013.4%3.9%17.0%56.0%13.4%8.6%1.8%547.3K-16.2M-265.3K3.0017.531,6665,00226,20324,481
2007-08-24$27.12$27.0012.8%3.7%16.4%51.9%12.7%6.3%2.1%-186.8K-15.7M-283.0K0.3625.472458724,79529,483
2007-08-27$27.00$27.0014.4%4.1%16.5%62.1%14.1%5.7%0.8%-305.0K-13.0M-279.4K0.2429.562486024,59629,511
2007-08-28$26.69$27.0016.3%4.7%16.8%74.0%16.0%3.0%0.6%-470.9K-3.7M-285.5K0.3624.89802924,67729,556
2007-08-29$26.92$27.0014.6%4.2%16.2%63.2%15.7%7.7%3.0%-329.6K-10.7M-282.4K0.3124.97702224,67329,564
2007-08-30$26.83$27.0015.6%4.5%16.3%69.5%15.5%7.0%1.0%-363.9K-8.3M-283.5K0.0319.953291024,72429,571
2007-08-31$26.90$27.0013.8%4.0%16.3%58.3%13.3%2.5%0.6%-200.6K-13.4M-273.5K0.4840.1225512225,00829,581