XLP Options History — October 2007

In October 2007, XLP traded between $27.73 and $28.41. ATM implied volatility averaged 11.9%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.8% (HV 20d: 8.1%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 5.43.

Notable Days

  • 2007-10-12: Highest Volume — 4,053 contracts
  • 2007-10-09: Largest IV spike — 34.7% change
  • 2007-10-30: Highest IV Rank — 60.2%
  • 2007-10-30: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.05$27.73$28.41$27.90$28.41
Max Pain$27.96$27.00$28.00$27.00$28.00
ATM IV11.9%7.5%14.1%10.7%13.8%
Expected Move3.5%2.7%4.0%3.1%4.0%
HV 20d8.1%5.9%10.3%10.3%8.1%
HV 60d12.3%10.7%12.9%12.9%10.7%
IV Rank46.2%18.1%60.2%38.6%58.4%
IV Percentile61.7%14.1%80.8%49.2%79.4%
Term Structure1.1%-0.2%2.9%1.5%0.4%
VWIV12.6%9.5%15.9%10.7%11.9%
Skew 25d3.3%-1.2%8.8%-0.5%4.7%
Skew 10d3.4%-0.4%9.1%0.9%2.1%
Call IV 25d9.8%7.4%11.9%9.5%8.5%
Put IV 25d13.2%8.6%18.1%9.0%13.1%
Bid-Ask Spread %25.3916.3035.3820.2523.57
Gamma HHI0.440.340.780.530.35
Net GEX1.3M-149.4K7.3M1.5M635.7K
Net DEX-35.0M-43.8M-24.5M-33.1M-40.4M
Net VEX-197.3K-216.0K-169.4K-206.2K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.430.0096.5796.573.12
Total Volume607.739224,0532,049239
Total OI53,433.8749,56057,92051,20452,258

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$27.90$27.0010.7%3.1%10.3%38.6%10.7%-0.5%1.5%1.5M-33.1M-206.2K96.5720.25212,02825,03326,171
2007-10-02$27.91$28.0010.9%3.1%9.7%40.0%0.0%-0.1%0.3%819.7K-31.4M-211.6K0.0318.9240125,04027,928
2007-10-03$27.84$28.0010.1%2.9%9.0%34.6%0.0%-1.2%2.0%876.6K-28.2M-214.9K0.1422.573645025,06827,928
2007-10-04$27.90$28.009.5%2.7%8.9%30.9%9.5%4.4%2.9%1.2M-30.1M-216.0K0.0317.99156525,33027,759
2007-10-05$28.00$28.009.3%3.2%8.6%30.1%11.7%3.1%0.9%1.3M-33.3M-206.7K0.8232.211,2181,00025,34227,761
2007-10-08$27.82$28.007.5%3.3%9.1%18.1%11.6%5.5%2.2%1.8M-32.5M-215.7K0.0218.4248126,50028,761
2007-10-09$27.98$28.0010.1%3.4%9.1%34.6%0.0%6.3%0.8%1.6M-35.4M-212.3K0.0028.2026026,53928,761
2007-10-10$28.10$28.009.6%3.3%9.0%32.0%14.2%2.5%0.5%1.8M-39.3M-198.6K0.0031.1922026,52628,761
2007-10-11$28.17$28.0012.0%3.4%9.0%46.8%9.9%3.5%1.0%2.0M-39.5M-197.7K0.1734.5529526,54628,761
2007-10-12$28.23$28.0011.8%3.4%8.9%45.8%12.6%1.2%0.6%1.6M-43.4M-188.2K0.0125.954,0282526,54628,766
2007-10-15$28.14$28.0012.1%3.5%8.6%47.4%12.0%2.2%1.2%7.3M-43.8M-196.2K1.2435.3820925929,13728,783
2007-10-16$28.02$28.0013.0%3.7%5.9%53.2%15.9%3.8%-0.0%1.1M-34.4M-197.2K0.0128.91145125,29928,793
2007-10-17$28.12$28.0012.9%3.7%6.0%52.7%13.0%2.1%1.0%1.3M-36.4M-193.7K0.2031.03591225,42128,793
2007-10-18$28.02$28.0012.2%3.5%6.1%47.9%12.1%5.7%0.5%1.6M-35.9M-190.2K16.6725.31610025,44928,781
2007-10-19$27.73$28.0013.6%3.9%7.0%57.1%0.0%4.7%0.2%682.7K-24.5M-207.6K1.7426.2015226425,45528,681
2007-10-22$27.91$28.0013.8%3.9%7.3%58.2%14.0%8.8%-0.2%-149.4K-28.1M-193.9K0.0216.302,0494222,64226,918
2007-10-23$28.00$28.0013.6%3.9%7.4%57.3%15.2%6.5%0.1%474.7K-32.2M-196.0K1.3527.9546062224,61326,946
2007-10-24$27.92$28.0013.2%3.8%7.1%54.7%13.4%5.9%1.0%428.1K-32.1M-197.2K0.1828.65761424,76927,486
2007-10-25$28.15$28.0013.5%3.9%7.6%56.6%13.4%2.3%2.2%463.4K-34.1M-193.7K0.8518.96403424,79627,452
2007-10-26$28.34$28.0012.9%3.7%7.8%52.8%13.0%0.7%2.2%554.0K-38.1M-185.3K0.0224.9642124,77927,429
2007-10-29$28.35$28.0013.4%3.8%7.7%55.5%0.0%2.7%2.5%595.5K-41.1M-170.5K0.6829.69191324,79727,429
2007-10-30$28.23$28.0014.1%4.0%7.9%60.2%0.0%2.1%0.6%582.9K-37.2M-179.2K1.1216.76252824,80427,442
2007-10-31$28.41$28.0013.8%4.0%8.1%58.4%11.9%4.7%0.4%635.7K-40.4M-169.4K3.1223.575818124,80027,458