XLP Options History — February 2008

In February 2008, XLP traded between $26.80 and $27.98. ATM implied volatility averaged 15.1%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.4% (HV 20d: 16.5%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.82.

Notable Days

  • 2008-02-05: Highest Volume — 6,003 contracts
  • 2008-02-13: Largest IV spike — 45.9% change
  • 2008-02-06: Highest IV Rank — 64.5%
  • 2008-02-06: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.35$26.80$27.98$27.47$27.13
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV15.1%9.8%19.9%14.8%16.2%
Expected Move4.4%2.8%5.5%4.2%4.7%
HV 20d16.5%15.1%18.3%15.7%18.3%
HV 60d14.7%14.1%15.5%14.2%15.5%
IV Rank41.8%17.2%64.5%41.7%46.6%
IV Percentile71.0%18.3%99.2%75.4%83.7%
Term Structure1.2%-1.6%9.6%9.6%-0.8%
VWIV15.8%11.0%19.3%14.2%15.4%
Skew 25d4.7%2.0%7.5%2.0%3.7%
Skew 10d7.9%1.2%14.4%2.2%5.0%
Call IV 25d12.9%9.1%16.8%14.6%13.6%
Put IV 25d17.6%13.5%21.7%16.6%17.3%
Bid-Ask Spread %31.2113.87111.8426.6735.99
Gamma HHI0.360.290.520.360.34
Net GEX-1.6M-2.1M-935.5K-1.1M-1.5M
Net DEX13.2M-823.1K24.6M13.4M13.8M
Net VEX-112.0K-131.8K-101.4K-114.4K-126.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.820.0017.410.082.50
Total Volume1,133.21706,003344431
Total OI35,389.3531,48438,08134,25938,081

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$27.47$28.0014.8%4.2%15.7%41.7%14.2%2.0%9.6%-1.1M13.4M-114.4K0.0826.673182613,98520,274
2008-02-04$27.30$28.0016.5%5.0%15.8%48.9%16.1%3.2%-1.2%-935.5K14.9M-108.1K0.0527.681851014,20720,203
2008-02-05$26.93$28.0018.6%5.0%15.6%58.3%17.5%4.1%-0.0%-970.6K21.8M-102.0K17.4125.583265,67714,25820,193
2008-02-06$26.82$28.0019.9%5.5%15.5%64.5%19.3%4.8%-0.8%-1.4M24.6M-110.8K14.2725.61781,11314,48422,361
2008-02-07$27.10$28.0017.5%5.0%15.1%53.7%19.0%7.5%0.3%-1.6M22.4M-110.9K0.3823.1828410814,54822,384
2008-02-08$26.80$28.0017.4%4.9%15.3%52.5%16.3%3.7%0.2%-1.5M21.1M-107.6K0.0024.55170014,67621,355
2008-02-11$27.14$28.0017.3%5.0%15.7%51.8%17.3%6.1%-0.4%-1.7M19.1M-104.3K0.8926.5258452014,71221,355
2008-02-12$27.50$28.0010.7%5.4%16.6%21.2%16.7%7.2%-1.6%-1.4M12.0M-114.6K0.1321.702713515,02321,479
2008-02-13$27.37$28.0015.6%4.7%16.3%43.7%16.5%5.0%1.4%-1.6M9.7M-107.9K3.1124.316520215,00720,844
2008-02-14$27.23$28.0017.0%4.9%16.3%50.1%16.5%4.5%-0.4%-1.6M13.0M-103.5K3.8227.302891,10414,98220,569
2008-02-15$27.35$28.0016.2%4.7%16.3%46.7%14.5%5.7%2.0%-1.9M13.5M-106.4K0.6525.6752234115,16521,594
2008-02-19$27.79$28.0014.4%4.1%16.3%38.0%18.0%5.6%3.4%-2.0M11.4M-101.8K10.0727.695555412,31019,174
2008-02-20$27.20$28.0015.6%4.5%17.8%43.8%15.0%4.8%-1.3%-2.0M13.8M-101.4K1.0245.4763064212,31019,574
2008-02-21$27.30$28.0016.2%4.6%17.3%46.5%15.9%4.0%-0.5%-1.9M14.8M-102.8K0.0623.468895412,74019,691
2008-02-22$27.60$28.0011.5%3.3%17.6%25.0%14.8%4.0%2.9%-1.6M9.0M-112.3K1.52111.841,2541,91013,32019,690
2008-02-25$27.64$28.009.8%2.8%16.7%17.2%14.0%4.2%2.3%-2.1M7.9M-119.3K0.0333.541,3594314,35021,221
2008-02-26$27.98$28.0012.6%3.6%17.0%30.0%14.1%7.1%0.7%-1.8M2.5M-127.1K0.1315.961,00113215,53221,257
2008-02-27$27.60$28.0010.5%3.0%17.9%20.2%11.0%4.3%6.2%-2.1M-823.1K-125.9K0.0237.681,0892115,82321,186
2008-02-28$27.65$28.0013.7%3.9%17.6%35.1%13.2%3.3%1.4%-1.6M5.7M-131.8K0.1913.873135916,67221,198
2008-02-29$27.13$28.0016.2%4.7%18.3%46.6%15.4%3.7%-0.8%-1.5M13.8M-126.7K2.5035.9912330816,82421,257