XLP Options History — April 2008

In April 2008, XLP traded between $27.65 and $28.37. ATM implied volatility averaged 13.3%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.7% (HV 20d: 11.6%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.76.

Notable Days

  • 2008-04-25: Highest Volume — 5,363 contracts
  • 2008-04-30: Largest IV drop — 49.3% change
  • 2008-04-03: Highest IV Rank — 43.2%
  • 2008-04-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.03$27.65$28.37$28.20$27.65
Max Pain$27.55$27.00$29.00$27.00$27.00
ATM IV13.3%6.7%15.5%15.1%6.7%
Expected Move3.8%1.9%4.4%4.3%1.9%
HV 20d11.6%8.5%14.8%14.8%10.4%
HV 60d15.3%14.2%16.2%16.2%14.6%
IV Rank32.9%2.7%43.2%41.4%2.7%
IV Percentile47.5%0.4%71.8%67.5%0.4%
Term Structure1.0%-0.6%5.1%-0.6%5.1%
VWIV12.2%7.5%16.5%15.2%7.5%
Skew 25d4.3%-0.7%8.8%5.9%-0.7%
Skew 10d4.4%-4.8%12.7%2.8%2.2%
Call IV 25d10.1%7.4%13.0%8.2%7.4%
Put IV 25d14.4%6.7%17.8%14.1%6.7%
Bid-Ask Spread %19.6211.8731.2915.2716.72
Gamma HHI0.530.200.870.500.48
Net GEX4.4M753.3K15.5M3.8M2.4M
Net DEX-26.2M-45.1M-9.7M-38.1M-18.5M
Net VEX-138.7K-158.2K-119.5K-153.1K-138.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.760.0023.0022.100.00
Total Volume1,250.773705,3634,042218
Total OI38,649.27323,34249,66541,82432,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$28.20$27.0015.1%4.3%14.8%41.4%15.2%5.9%-0.6%3.8M-38.1M-153.1K22.1015.271753,86727,41414,410
2008-04-02$28.21$27.0014.9%4.3%14.7%40.3%9.4%7.7%0.1%3.5M-34.2M-158.2K0.0916.083683227,43515,329
2008-04-03$28.13$27.0015.5%4.4%14.8%43.2%0.0%3.0%-0.3%3.5M-33.5M-158.2K0.0211.87102227,76415,342
2008-04-04$28.37$27.0011.7%4.2%14.5%25.9%12.6%4.0%0.7%6.2M-40.8M-135.1K0.2619.311223227,83815,342
2008-04-07$28.19$27.0014.6%4.2%14.6%39.2%12.4%3.6%0.8%4.3M-35.9M-146.5K23.0019.663069027,93815,371
2008-04-08$28.18$27.0014.8%4.0%14.4%40.1%13.6%2.8%1.1%4.3M-34.4M-147.8K0.9221.2354850527,96015,913
2008-04-09$27.90$29.0014.1%4.3%13.2%36.6%0.0%3.4%0.8%4.5M-26.3M-149.0K18.1431.29712728,47816,382
2008-04-10$27.97$29.0014.0%4.0%13.2%36.1%16.5%3.9%1.1%5.7M-30.6M-142.3K0.1222.806367528,48016,404
2008-04-11$27.79$29.0014.5%4.2%13.4%38.6%8.4%7.2%0.6%4.5M-21.8M-144.9K1.1120.1551056729,11116,465
2008-04-14$27.78$29.0015.1%4.3%11.7%41.5%15.8%7.3%0.9%5.2M-23.8M-145.6K0.0718.737215029,45617,290
2008-04-15$27.95$29.0014.7%4.2%11.5%39.6%0.0%8.8%0.0%5.7M-28.4M-144.2K0.7318.42795829,98816,729
2008-04-16$28.11$29.0013.3%3.8%9.9%33.3%9.8%6.0%1.4%6.0M-34.5M-129.2K0.1829.434,34779629,21616,318
2008-04-17$28.15$27.0013.0%3.7%9.8%31.6%13.0%5.7%1.8%10.3M-45.1M-129.4K0.5218.33462432,89816,767
2008-04-18$27.96$27.0013.0%3.7%10.0%31.6%12.7%1.1%1.2%15.5M-31.9M-123.4K6.5724.882121,39330,62516,788
2008-04-21$28.04$27.0011.9%3.4%9.2%26.7%11.9%5.4%2.0%753.3K-11.8M-120.9K0.0418.091,1945114,2969,046
2008-04-22$27.87$27.0012.3%3.5%9.4%28.5%12.2%3.8%1.5%813.7K-9.7M-119.5K0.5117.451055414,2969,046
2008-04-23$28.05$27.0011.5%3.3%9.2%25.0%11.6%6.0%2.2%1.1M-13.1M-123.0K0.3322.6968222815,2509,086
2008-04-24$28.09$27.0011.5%3.3%9.1%24.7%11.0%1.9%1.2%1.2M-13.7M-122.3K0.0216.343,2016515,5358,921
2008-04-25$27.93$27.0013.2%3.8%9.3%32.6%13.4%4.7%0.3%1.7M-13.6M-130.1K0.1122.664,82653718,4248,914
2008-04-28$28.10$27.0013.1%3.8%9.6%32.3%13.1%1.9%0.7%2.4M-18.0M-147.3K1.6314.766210123,1379,411
2008-04-29$28.13$27.0013.2%3.8%8.5%32.7%0.0%2.3%0.2%2.7M-18.0M-143.3K6.2015.53106223,1999,512
2008-04-30$27.65$27.006.7%1.9%10.4%2.7%7.5%-0.7%5.1%2.4M-18.5M-138.5K0.0016.72218023,1989,562