XLP Options History — November 2007

In November 2007, XLP traded between $27.85 and $29.19. ATM implied volatility averaged 14.6%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.6% (HV 20d: 13.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 16.80.

Notable Days

  • 2007-11-30: Highest Volume — 21,130 contracts
  • 2007-11-09: Largest IV spike — 47.6% change
  • 2007-11-15: Highest IV Rank — 83.6%
  • 2007-11-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.37$27.85$29.19$27.85$29.19
Max Pain$27.24$27.00$28.00$28.00$28.00
ATM IV14.6%10.4%17.8%13.6%14.4%
Expected Move4.5%3.6%5.2%3.9%4.1%
HV 20d13.0%10.9%15.7%11.0%13.5%
HV 60d10.7%10.1%11.4%11.0%11.2%
IV Rank63.3%37.1%83.6%57.3%61.9%
IV Percentile80.6%43.3%97.7%78.1%79.1%
Term Structure0.9%-1.3%4.6%1.6%0.3%
VWIV15.6%9.9%20.5%13.8%17.3%
Skew 25d5.5%1.2%8.9%1.3%8.9%
Skew 10d7.3%2.7%15.5%3.5%8.7%
Call IV 25d11.9%7.3%15.6%11.1%8.5%
Put IV 25d17.4%12.2%21.3%12.5%17.4%
Bid-Ask Spread %38.4617.7995.0937.9428.50
Gamma HHI0.350.240.420.360.24
Net GEX506.2K36.6K1.3M450.1K123.3K
Net DEX-40.0M-59.0M-28.2M-28.8M-52.4M
Net VEX-168.8K-204.9K-135.3K-196.6K-143.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.800.06305.230.65305.23
Total Volume1,634.4763521,1306621,130
Total OI54,454.1949,30362,69952,40659,258

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$27.85$28.0013.6%3.9%11.0%57.3%0.0%1.3%1.6%450.1K-28.8M-196.6K0.6537.94402624,81127,595
2007-11-02$28.03$28.0013.8%4.0%11.1%58.2%13.8%1.2%2.1%531.5K-30.7M-192.8K0.5217.79673524,81727,620
2007-11-05$28.07$27.0014.6%5.2%10.9%63.3%19.1%7.6%-0.7%578.8K-32.9M-182.2K0.0659.2533224,86527,651
2007-11-06$28.26$27.0014.4%5.1%10.9%62.2%20.5%6.2%-1.1%689.6K-37.1M-174.1K0.2374.033187424,87227,650
2007-11-07$27.95$27.0016.8%5.2%11.6%77.2%18.9%6.1%-1.1%460.4K-30.5M-182.5K0.7763.1013010024,84927,716
2007-11-08$28.15$27.0010.4%4.8%11.8%37.1%16.8%6.3%-0.7%1.3M-59.0M-204.9K5.5729.822312834,91427,785
2007-11-09$27.88$27.0015.4%5.1%12.3%68.6%17.4%6.4%0.8%700.8K-28.8M-184.5K1.4836.219113524,93227,857
2007-11-12$27.90$27.0013.3%4.9%12.2%55.2%0.0%5.3%0.0%1.0M-28.2M-182.4K1.6537.10498124,99927,928
2007-11-13$28.32$27.0016.2%4.6%13.3%73.4%16.1%6.6%3.3%908.6K-40.1M-155.0K0.3526.492288025,02427,980
2007-11-14$28.46$27.0017.2%4.7%13.4%79.7%15.7%6.3%2.3%815.2K-41.0M-158.7K2.1936.24265725,02127,988
2007-11-15$28.44$27.0017.8%5.1%13.3%83.6%16.8%6.8%0.5%773.4K-39.1M-162.7K1.7341.58447625,03027,994
2007-11-16$28.57$27.0014.4%4.1%12.7%62.3%16.5%7.8%3.1%664.6K-45.7M-141.8K1.7826.58519125,05227,981
2007-11-19$28.37$27.0012.4%3.6%12.9%49.6%10.0%5.1%4.6%153.1K-38.7M-136.1K0.7295.093,3162,37722,46626,837
2007-11-20$28.60$27.0013.4%3.8%13.1%55.6%13.3%6.0%1.8%187.1K-42.4M-173.4K1.2131.4645655325,64829,137
2007-11-21$28.25$27.0016.2%4.6%13.9%73.3%15.6%3.9%-1.1%36.6K-37.2M-182.3K0.3635.1628210125,82429,520
2007-11-23$28.54$27.0013.7%3.9%14.0%57.6%13.5%5.7%1.7%142.3K-40.6M-176.3K0.2720.80782126,08029,579
2007-11-26$28.25$27.0017.2%4.9%14.4%79.6%16.6%2.7%0.1%88.2K-38.7M-172.3K2.5226.0822456526,14629,599
2007-11-27$28.55$27.0014.6%4.2%14.8%63.5%14.4%4.5%-1.3%208.3K-42.3M-169.3K4.8323.067837726,29730,050
2007-11-28$29.00$28.0012.8%3.7%15.7%52.1%9.9%4.7%1.5%426.2K-52.6M-135.3K5.8835.5112372326,35430,366
2007-11-29$29.15$28.0013.7%3.9%15.6%57.8%14.0%5.8%0.9%328.1K-52.7M-138.7K14.8625.881221,81326,36131,085
2007-11-30$29.19$28.0014.4%4.1%13.5%61.9%17.3%8.9%0.3%123.3K-52.4M-143.2K305.2328.506921,06126,43332,825