XLP Options History — May 2008

In May 2008, XLP traded between $27.84 and $28.65. ATM implied volatility averaged 12.6%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.4% (HV 20d: 13.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.62.

Notable Days

  • 2008-05-14: Highest Volume — 4,428 contracts
  • 2008-05-14: Largest IV spike — 29.4% change
  • 2008-05-14: Highest IV Rank — 43.1%
  • 2008-05-27: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$27.84$28.65$28.15$28.49
Max Pain$27.38$27.00$28.00$27.00$27.00
ATM IV12.6%10.3%15.5%11.8%12.6%
Expected Move3.6%2.9%3.9%3.4%3.6%
HV 20d13.0%11.8%14.8%12.4%11.8%
HV 60d13.8%12.8%14.8%14.8%12.9%
IV Rank29.2%19.2%43.1%26.5%27.7%
IV Percentile35.2%10.3%71.0%28.6%32.5%
Term Structure1.0%-0.9%3.1%0.6%-0.9%
VWIV12.1%8.8%13.4%11.8%11.9%
Skew 25d3.5%0.1%7.7%1.9%0.3%
Skew 10d4.9%0.2%11.1%2.4%0.5%
Call IV 25d10.0%7.0%11.7%9.2%11.1%
Put IV 25d13.5%10.2%15.3%11.1%11.4%
Bid-Ask Spread %19.4412.8424.9216.2421.45
Gamma HHI0.530.370.690.460.68
Net GEX3.0M2.4M4.1M2.6M4.1M
Net DEX-18.8M-30.6M-13.0M-19.6M-22.4M
Net VEX-131.5K-144.1K-122.1K-144.1K-126.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.0025.530.922.04
Total Volume476.52404,4287382
Total OI33,504.57131,56036,33632,86034,025

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$28.15$27.0011.8%3.4%12.4%26.5%11.8%1.9%0.6%2.6M-19.6M-144.1K0.9216.24383523,2989,562
2008-05-02$28.11$27.0012.0%3.4%12.0%27.0%12.0%1.1%0.7%2.7M-18.0M-141.2K2.0418.34265323,3269,566
2008-05-05$28.01$28.0012.8%3.7%11.8%31.0%12.5%2.9%0.9%2.5M-18.0M-137.9K0.3616.74562023,3499,540
2008-05-06$28.19$28.0012.1%3.6%12.1%27.6%12.6%3.3%1.4%2.7M-19.2M-136.9K0.6916.3325017323,3939,548
2008-05-07$27.92$28.0013.4%3.8%12.0%33.7%13.4%3.4%1.5%2.5M-15.3M-131.5K0.2924.921474323,6389,415
2008-05-08$28.00$28.0012.0%3.6%12.0%27.4%12.6%4.1%1.9%2.5M-16.0M-132.5K11.9524.892125123,6869,436
2008-05-09$27.84$28.0013.1%3.8%12.0%32.1%10.5%6.2%1.0%2.4M-13.0M-130.5K25.5318.091538323,6909,687
2008-05-12$28.15$28.0012.3%3.8%12.6%28.3%0.0%3.5%1.3%2.6M-17.7M-130.3K0.0020.370023,6869,906
2008-05-13$28.05$28.0012.0%3.8%12.5%27.0%12.9%3.5%1.5%2.6M-17.3M-129.2K0.0020.0042023,6829,906
2008-05-14$28.16$28.0015.5%3.6%12.4%43.1%12.3%3.4%2.2%3.0M-19.7M-129.6K0.0024.894,428023,6849,906
2008-05-15$28.50$27.0012.4%3.5%13.1%28.8%12.2%3.1%1.9%3.3M-30.6M-135.9K1.5718.4514923426,4309,906
2008-05-16$28.49$27.0012.0%3.4%12.8%27.1%12.1%3.5%3.1%3.5M-24.6M-135.2K4.3219.346628524,51710,129
2008-05-19$28.65$27.0010.3%2.9%12.9%19.2%8.8%2.6%2.3%3.6M-21.7M-128.4K0.0718.281,74212922,6638,897
2008-05-20$28.22$27.0012.8%3.7%14.0%31.1%12.6%2.5%-0.1%3.1M-17.6M-130.4K0.8222.401028423,9899,026
2008-05-21$27.93$27.0012.8%3.7%14.3%31.0%12.8%4.8%0.6%2.4M-13.4M-127.3K1.2316.7012415224,0539,089
2008-05-22$28.23$27.0012.6%3.6%14.8%27.7%12.4%3.1%0.6%3.1M-17.7M-128.3K0.0012.84630124,1569,110
2008-05-23$28.08$27.0012.9%3.7%14.8%29.5%13.1%5.2%0.1%2.8M-16.3M-131.2K0.6318.19322024,7739,111
2008-05-27$28.16$27.0013.4%3.9%14.7%31.9%12.7%7.7%-0.3%3.4M-19.0M-128.2K0.0018.3417024,7869,131
2008-05-28$28.20$27.0012.9%3.7%14.7%29.4%12.8%6.4%0.0%3.0M-16.6M-124.1K0.0220.6388224,7879,131
2008-05-29$28.31$27.0012.3%3.5%13.2%26.3%11.1%0.1%0.0%4.0M-21.3M-122.1K0.0020.8287024,8509,133
2008-05-30$28.49$27.0012.6%3.6%11.8%27.7%11.9%0.3%-0.9%4.1M-22.4M-126.3K2.0421.45275524,8929,133