XLP Options History — January 2008

In January 2008, XLP traded between $26.70 and $28.67. ATM implied volatility averaged 16.4%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 14.1%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2008-01-22: Highest Volume — 6,628 contracts
  • 2008-01-10: Largest IV spike — 33.5% change
  • 2008-01-14: Highest IV Rank — 64.6%
  • 2008-01-14: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.68$26.70$28.67$28.39$27.20
Max Pain$28.33$27.00$29.00$27.00$28.00
ATM IV16.4%12.1%19.6%15.9%18.1%
Expected Move4.9%4.3%5.6%4.6%5.2%
HV 20d14.1%13.1%15.2%13.1%15.2%
HV 60d13.5%12.5%14.3%12.6%14.0%
IV Rank50.9%32.4%64.6%48.6%58.1%
IV Percentile87.9%56.3%98.8%90.0%96.4%
Term Structure0.2%-1.6%3.4%-0.5%-1.4%
VWIV16.7%12.2%26.3%16.0%19.6%
Skew 25d4.9%-3.5%9.6%-0.4%-3.5%
Skew 10d4.7%-1.7%10.2%-1.7%6.1%
Call IV 25d13.5%9.9%19.5%14.6%19.5%
Put IV 25d18.3%14.2%21.9%14.2%15.9%
Bid-Ask Spread %43.0816.9099.0516.9099.05
Gamma HHI0.350.210.580.390.36
Net GEX-946.5K-5.4M379.3K-504.6K-1.1M
Net DEX1.8M-24.4M23.9M-16.0M15.9M
Net VEX-107.0K-118.4K-92.6K-107.1K-115.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.0112.183.120.28
Total Volume1,295.0481296,6281,420675
Total OI42,229.66724,78653,95044,21533,853

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$28.39$27.0015.9%4.6%13.1%48.6%16.0%-0.4%-0.5%-504.6K-16.0M-107.1K3.1216.903451,07515,84328,372
2008-01-03$28.24$27.0015.2%4.4%13.2%45.7%13.6%1.4%-0.6%-467.4K-16.5M-109.0K9.0917.424742716,13929,058
2008-01-04$28.12$29.0014.7%4.4%13.1%43.4%16.9%3.9%0.8%-773.8K-11.1M-111.5K0.0828.052121716,13829,368
2008-01-07$28.45$28.0014.3%4.6%13.9%41.8%15.8%7.0%0.9%-273.0K-19.3M-102.3K0.0127.74639616,28929,371
2008-01-08$28.24$28.0012.1%4.9%13.3%32.4%15.8%4.3%-0.8%-310.8K-18.0M-103.5K1.3550.5855174516,48129,377
2008-01-09$28.62$28.0012.4%4.4%14.4%33.6%16.9%8.8%0.7%-120.2K-21.4M-101.9K2.0427.087615516,74729,893
2008-01-10$28.67$28.0016.6%4.8%14.0%51.5%13.5%8.4%-0.8%-105.8K-24.4M-98.5K0.2163.4585718216,80529,919
2008-01-11$28.27$28.0019.3%5.5%14.7%63.3%19.0%5.7%-1.3%379.3K-17.0M-99.1K12.1857.432262,75317,55229,849
2008-01-14$28.15$29.0019.6%5.6%14.5%64.6%17.1%5.7%-1.6%-40.5K-10.2M-103.0K8.4059.904503,78017,64732,380
2008-01-15$27.85$29.0015.1%4.3%14.4%45.0%13.5%6.9%3.4%-882.0K200.7K-118.4K0.7238.27755418,01335,743
2008-01-16$27.75$29.0015.1%4.3%14.3%45.2%15.1%1.2%3.1%-967.1K-1.0M-116.7K2.9863.1713339718,03235,536
2008-01-17$27.55$29.0016.4%4.7%14.4%50.6%16.7%5.6%0.1%-2.4M10.7M-116.8K1.5025.5414822218,11535,637
2008-01-18$27.15$29.0015.9%4.6%14.5%48.6%16.4%1.6%1.0%-5.4M20.3M-106.2K6.2857.0312880418,21635,734
2008-01-22$26.87$29.0018.5%5.3%14.7%59.9%26.3%3.6%2.6%-878.1K22.3M-92.6K0.9467.033,4213,2079,23215,554
2008-01-23$27.20$29.0017.7%5.1%13.6%56.5%18.0%4.0%-0.1%-1.0M17.2M-111.1K0.8548.2467557412,41318,414
2008-01-24$27.07$29.0018.0%5.1%13.5%57.5%12.2%9.3%-0.3%-974.3K19.8M-108.0K5.0024.824392,19712,99018,821
2008-01-25$26.70$28.0017.5%5.0%14.0%55.6%14.7%5.7%-0.0%-1.1M20.6M-106.0K0.6025.0923213913,16319,658
2008-01-28$26.91$28.0017.7%5.1%14.5%56.4%17.8%9.6%-0.9%-909.0K20.4M-111.0K1.1242.8636640913,18219,739
2008-01-29$26.99$28.0017.8%5.1%14.4%56.6%15.7%8.0%-1.0%-1.0M21.0M-106.8K4.0920.944418013,55520,202
2008-01-30$26.80$28.0017.2%4.9%14.4%54.3%19.4%5.3%0.1%-989.4K23.9M-102.3K1.7344.01498513,58120,212
2008-01-31$27.20$28.0018.1%5.2%15.2%58.1%19.6%-3.5%-1.4%-1.1M15.9M-115.9K0.2899.0552814713,61120,242