XLP Options History — March 2008

In March 2008, XLP traded between $26.81 and $28.00. ATM implied volatility averaged 16.7%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.7% (HV 20d: 17.3%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.80.

Notable Days

  • 2008-03-18: Highest Volume — 13,452 contracts
  • 2008-03-20: Largest IV drop — 16.8% change
  • 2008-03-11: Highest IV Rank — 64.3%
  • 2008-03-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.46$26.81$28.00$27.40$27.86
Max Pain$27.25$27.00$28.00$28.00$27.00
ATM IV16.7%13.8%20.1%19.3%15.0%
Expected Move4.7%4.0%5.5%5.5%4.3%
HV 20d17.3%14.6%18.6%18.3%14.6%
HV 60d16.0%15.4%16.6%15.6%16.0%
IV Rank48.7%35.4%64.3%60.6%41.0%
IV Percentile81.7%56.7%99.2%97.6%66.7%
Term Structure0.4%-2.2%2.5%-2.2%0.2%
VWIV16.5%9.7%21.5%14.5%15.3%
Skew 25d5.0%1.6%6.7%4.8%6.5%
Skew 10d7.5%-0.0%16.2%5.8%13.8%
Call IV 25d13.1%10.1%16.7%14.7%11.9%
Put IV 25d18.1%15.0%20.9%19.5%18.4%
Bid-Ask Spread %20.2012.1826.5322.9021.03
Gamma HHI0.390.240.510.340.50
Net GEX-344.5K-2.0M3.2M-1.6M3.2M
Net DEX2.4M-26.2M25.4M13.6M-26.2M
Net VEX-132.8K-166.3K-102.6K-123.3K-161.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.800.0256.060.130.05
Total Volume2,087.41113,452205823
Total OI41,246.633,19160,83138,14141,070

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$27.40$28.0019.3%5.5%18.3%60.6%14.5%4.8%-2.2%-1.6M13.6M-123.3K0.1322.901822316,92721,214
2008-03-04$27.38$28.0017.6%5.1%18.2%53.1%17.4%1.6%-1.4%-1.6M11.3M-122.1K7.6523.381941,48416,98321,237
2008-03-05$27.45$28.0017.8%5.1%17.4%53.8%18.1%2.0%-1.4%-1.7M11.0M-127.6K0.1426.535017117,10922,005
2008-03-06$27.20$28.0017.2%4.9%17.7%51.2%17.1%3.0%-0.8%-1.5M14.7M-115.2K0.5724.487417,43820,995
2008-03-07$27.07$28.0018.2%4.8%17.4%55.5%21.5%4.0%-0.2%-1.3M18.4M-111.8K0.4820.7827813417,43520,998
2008-03-10$26.93$27.0018.5%5.2%17.0%56.9%0.0%3.0%-0.2%-1.3M18.5M-106.2K0.5024.8223811917,83021,061
2008-03-11$27.50$27.0020.1%4.9%18.1%64.3%15.9%6.5%0.5%-1.7M10.1M-112.7K0.6119.4965840117,94921,090
2008-03-12$27.43$27.0017.6%4.9%17.5%53.1%17.5%5.2%0.5%-1.6M10.8M-110.1K56.0622.34341,90618,57821,479
2008-03-13$27.43$27.0016.6%4.7%17.4%48.1%16.6%5.9%1.0%-2.0M12.1M-112.6K3.0118.6021364118,59223,040
2008-03-14$26.96$27.0016.5%4.7%18.4%48.0%20.0%4.7%1.4%-1.5M22.4M-112.1K1.4926.0142262718,77123,631
2008-03-17$26.81$27.0017.8%5.1%18.4%54.1%19.1%4.2%0.2%-1.3M25.4M-102.6K0.2926.021,09532318,87823,874
2008-03-18$27.30$27.0016.6%4.8%18.6%48.4%16.3%6.1%2.4%-1.7M14.9M-113.2K0.7517.717,6975,75519,20523,795
2008-03-19$27.45$27.0017.4%5.0%17.1%52.2%18.6%6.1%0.8%-1.5M10.0M-155.6K0.4517.635,9812,67526,63029,069
2008-03-20$27.62$27.0014.5%4.2%17.2%38.7%15.1%5.9%1.2%-1.6M-2.8M-164.2K0.2318.924009029,45831,373
2008-03-24$27.93$27.0013.8%4.0%17.2%35.4%13.2%6.1%2.5%1.3M-19.1M-150.9K0.0212.914,9569419,50313,688
2008-03-25$28.00$27.0014.1%4.0%17.2%36.8%15.1%6.7%1.8%2.6M-25.3M-163.5K2.5112.1814837124,14513,718
2008-03-26$27.77$27.0013.9%4.0%16.9%36.1%16.7%6.0%1.5%2.6M-24.8M-161.4K0.6614.42533524,22913,844
2008-03-27$27.91$27.0015.6%4.5%16.3%43.6%15.6%5.5%-0.1%2.4M-23.3M-163.1K0.3213.471,50647724,25913,874
2008-03-28$27.88$27.0015.4%4.4%16.3%42.9%9.7%5.5%0.2%2.7M-24.2M-166.3K0.0720.461,0607225,65914,299
2008-03-31$27.86$27.0015.0%4.3%14.6%41.0%15.3%6.5%0.2%3.2M-26.2M-161.9K0.0521.037843926,69914,371