XLP Options History — December 2007

In December 2007, XLP traded between $28.69 and $29.49. ATM implied volatility averaged 14.2%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.4% (HV 20d: 12.8%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2007-12-20: Highest Volume — 6,168 contracts
  • 2007-12-11: Largest IV spike — 66.5% change
  • 2007-12-11: Highest IV Rank — 100.0%
  • 2007-12-11: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.10$28.69$29.49$29.08$28.80
Max Pain$27.40$27.00$29.00$29.00$27.00
ATM IV14.2%8.8%27.8%14.8%12.3%
Expected Move3.9%2.5%5.8%4.3%3.5%
HV 20d12.8%11.9%13.6%13.6%12.2%
HV 60d11.4%10.8%12.2%11.2%12.2%
IV Rank47.7%18.2%100.0%64.9%33.1%
IV Percentile70.3%20.3%100.0%84.0%59.2%
Term Structure1.2%-1.8%5.2%-0.3%1.5%
VWIV14.0%9.1%24.9%16.0%12.3%
Skew 25d3.7%-2.1%7.0%5.7%-2.1%
Skew 10d4.0%0.9%7.8%6.0%0.9%
Call IV 25d10.2%6.7%14.1%10.5%11.0%
Put IV 25d13.9%8.9%17.1%16.2%8.9%
Bid-Ask Spread %24.3911.0653.5924.5516.93
Gamma HHI0.370.200.440.410.25
Net GEX-3.3M-6.4M50.9K-4.2M-125.2K
Net DEX-34.7M-52.3M-8.6M-37.1M-22.7M
Net VEX-132.4K-180.8K-86.2K-178.1K-98.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.0010.160.082.04
Total Volume691.451246,168137240
Total OI69,421.5543,18580,23677,78444,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$29.08$29.0014.8%4.3%13.6%64.9%16.0%5.7%-0.3%-4.2M-37.1M-178.1K0.0824.551271026,45551,329
2007-12-04$29.04$29.0015.4%4.4%13.6%68.4%12.0%4.1%-1.8%-4.4M-34.5M-180.5K0.0229.67168426,48951,335
2007-12-05$29.16$29.0014.9%4.3%13.5%65.3%15.5%7.0%-1.4%-4.0M-41.9M-162.3K6.8528.664631526,49551,339
2007-12-06$29.15$29.0013.8%3.9%12.7%58.1%14.7%3.0%1.6%-3.6M-46.9M-153.0K0.0527.26118626,50351,370
2007-12-07$29.46$27.0013.9%4.0%12.9%58.8%13.4%3.8%0.8%-3.2M-52.3M-130.3K0.8327.48988126,50951,376
2007-12-10$29.49$27.0016.7%4.2%12.2%76.9%24.9%4.3%0.7%-3.5M-50.1M-133.7K2.3824.579823326,56151,425
2007-12-11$29.17$27.0027.8%5.8%13.1%100.0%19.1%3.5%-0.9%-3.8M-29.2M-180.8K0.9553.5917917026,55451,594
2007-12-12$29.25$27.0015.2%3.9%12.2%45.5%12.8%4.3%1.4%-4.0M-48.7M-129.6K0.5023.671095426,64251,538
2007-12-13$29.38$27.0015.3%4.4%12.2%45.9%15.2%4.8%0.2%-3.9M-47.9M-130.9K10.1627.881031,04626,66251,511
2007-12-14$29.02$27.0014.6%4.2%13.2%43.1%14.7%4.4%0.4%-5.2M-41.0M-141.9K0.5628.50895026,68852,411
2007-12-17$28.82$27.0015.1%4.3%13.4%45.3%15.1%5.6%-0.1%-6.4M-30.4M-147.2K2.2419.3723753226,71652,451
2007-12-18$28.69$27.0014.3%4.1%13.2%41.9%14.0%2.9%0.7%-6.4M-33.3M-139.0K0.0830.532321826,91553,061
2007-12-19$28.93$27.0013.9%4.0%13.2%40.2%14.1%4.7%0.8%-6.2M-35.1M-138.6K3.0811.2115748327,01853,079
2007-12-20$28.80$27.0011.4%3.3%12.5%29.2%0.0%5.1%3.5%-4.5M-30.2M-129.5K2.2716.331,8864,28227,08653,150
2007-12-21$29.34$27.0011.2%3.2%13.6%28.3%9.9%2.9%4.4%-3.0M-8.6M-102.1K0.4214.702259515,51454,221
2007-12-24$29.30$27.008.8%2.5%13.0%18.2%9.3%2.5%3.7%15.6K-27.3M-86.2K5.3640.8912567014,80628,379
2007-12-26$29.20$27.0011.8%3.4%12.7%30.9%9.1%4.4%1.5%-25.5K-26.6M-91.1K0.3416.2141914114,86528,642
2007-12-27$28.92$27.0011.9%3.4%12.0%31.4%12.4%0.6%1.5%-150.7K-23.6M-98.6K0.0311.067722515,05828,742
2007-12-28$29.03$27.0011.2%3.2%11.9%28.6%11.2%1.9%5.2%50.9K-26.3M-95.9K0.0014.78186015,63028,252
2007-12-31$28.80$27.0012.3%3.5%12.2%33.1%12.3%-2.1%1.5%-125.2K-22.7M-98.6K2.0416.937916115,80828,252