XLP Options History — June 2008

In June 2008, XLP traded between $26.56 and $28.66. ATM implied volatility averaged 14.4%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.3% (HV 20d: 14.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2008-06-30: Highest Volume — 5,190 contracts
  • 2008-06-06: Largest IV spike — 34.8% change
  • 2008-06-11: Highest IV Rank — 46.5%
  • 2008-06-06: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.69$26.56$28.66$28.24$26.75
Max Pain$27.76$27.00$28.00$27.00$27.00
ATM IV14.4%11.6%16.5%13.6%15.1%
Expected Move4.1%3.3%4.7%3.9%4.3%
HV 20d14.7%12.0%19.4%12.3%19.4%
HV 60d13.0%12.2%14.9%12.9%14.8%
IV Rank36.5%23.2%46.5%32.7%40.0%
IV Percentile55.9%18.7%81.3%46.0%65.9%
Term Structure0.8%-1.6%2.9%-0.5%2.9%
VWIV13.9%12.6%16.3%12.7%13.7%
Skew 25d3.0%-1.9%6.9%-1.4%1.8%
Skew 10d3.7%-6.4%16.0%-1.8%7.5%
Call IV 25d12.8%8.2%17.6%12.8%16.1%
Put IV 25d15.8%11.4%18.9%11.4%17.9%
Bid-Ask Spread %26.9915.8694.5415.8623.28
Gamma HHI0.420.180.770.610.39
Net GEX1.7M-489.1K4.8M3.3M988.1K
Net DEX-8.9M-25.7M4.7M-18.2M-2.4M
Net VEX-96.3K-122.1K-72.2K-119.1K-82.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0210.480.690.24
Total Volume1,070.286695,190915,190
Total OI29,206.33314,35235,56034,08219,564

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$28.24$27.0013.6%3.9%12.3%32.7%12.7%-1.4%-0.5%3.3M-18.2M-119.1K0.6915.86543724,9099,173
2008-06-03$28.39$27.0013.4%3.8%12.3%31.6%13.3%-1.9%-0.7%3.2M-17.3M-111.9K7.4316.377052024,9409,168
2008-06-04$28.37$27.0014.6%4.2%12.1%37.6%15.2%-0.5%-1.6%3.5M-19.7M-121.3K2.5316.895313424,9609,382
2008-06-05$28.66$27.0011.6%3.3%12.0%23.2%13.3%2.0%0.7%4.8M-25.7M-122.1K10.4823.085658724,9719,450
2008-06-06$27.95$28.0015.6%4.7%15.2%42.3%0.0%4.3%0.9%2.4M-14.0M-118.2K2.6194.546617224,9739,514
2008-06-09$28.05$28.0015.3%4.0%15.1%40.7%13.7%3.0%1.2%2.2M-13.0M-109.2K0.8423.38675625,0229,659
2008-06-10$28.10$28.0015.4%3.7%14.6%41.0%12.8%5.0%2.2%2.3M-14.6M-108.1K0.3822.58913525,0459,635
2008-06-11$27.95$28.0016.5%4.2%14.6%46.5%15.0%2.9%0.7%2.0M-12.1M-106.6K1.0726.29677225,1159,670
2008-06-12$28.14$28.0014.7%4.2%14.8%37.9%14.7%3.4%0.7%2.3M-13.7M-106.0K0.1935.441062025,1549,739
2008-06-13$28.12$28.0013.2%3.8%14.1%30.7%13.5%6.9%1.6%1.7M-13.8M-101.6K2.1119.648517925,1949,739
2008-06-16$27.82$28.0013.4%3.8%14.5%31.7%13.4%5.8%1.5%985.2K-8.4M-95.1K0.0732.873382225,2399,883
2008-06-17$27.73$28.0012.9%3.7%14.3%29.3%12.6%6.5%1.4%1.4M-7.3M-98.7K0.0826.8664525,5009,905
2008-06-18$27.42$28.0015.6%4.5%13.9%42.3%15.5%4.7%0.1%967.6K-3.0M-92.4K0.0228.074,0319825,5329,905
2008-06-19$27.51$28.0012.3%3.5%13.6%26.7%0.0%4.9%1.4%1.4M-5.7M-83.4K0.0528.451,8289325,6689,892
2008-06-20$27.08$28.0016.4%4.7%13.9%45.9%14.2%4.0%-0.8%-489.1K4.7M-75.5K0.1226.751,34616322,0439,925
2008-06-23$26.98$28.0014.3%4.1%13.8%36.2%13.0%3.4%1.0%255.0K-451.5K-72.8K0.5516.515302899,1755,177
2008-06-24$27.07$28.0014.1%4.0%13.8%34.8%12.6%3.5%1.7%362.1K-973.0K-74.6K0.1320.95273369,6205,198
2008-06-25$27.68$28.0012.9%3.7%16.3%29.5%12.8%2.2%0.3%559.8K-3.1M-77.9K1.3418.162353159,7935,176
2008-06-26$26.84$28.0015.1%4.3%19.3%39.9%16.3%2.2%0.7%347.1K25.7K-74.0K0.3726.3656020910,0025,361
2008-06-27$26.56$28.0016.2%4.6%19.2%45.0%15.5%-0.6%2.0%270.6K1.1M-72.2K0.0724.394,03029410,0025,361
2008-06-30$26.75$27.0015.1%4.3%19.4%40.0%13.7%1.8%2.9%988.1K-2.4M-82.3K0.2423.284,1771,01314,1465,418