XLP Options History — July 2008

In July 2008, XLP traded between $26.67 and $27.83. ATM implied volatility averaged 16.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.2% (HV 20d: 18.0%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 5.70.

Notable Days

  • 2008-07-10: Highest Volume — 10,129 contracts
  • 2008-07-29: Largest IV drop — 28.7% change
  • 2008-07-10: Highest IV Rank — 60.4%
  • 2008-07-10: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.10$26.67$27.83$26.72$27.40
Max Pain$26.86$26.00$27.00$27.00$27.00
ATM IV16.8%12.6%19.5%14.8%17.3%
Expected Move4.8%3.6%5.6%4.2%5.0%
HV 20d18.0%14.3%19.8%19.2%17.7%
HV 60d15.5%14.7%16.6%14.8%16.6%
IV Rank47.8%27.9%60.4%38.1%50.1%
IV Percentile78.4%22.2%97.6%60.3%84.5%
Term Structure0.1%-1.6%1.9%1.9%0.3%
VWIV16.6%14.1%19.6%15.4%17.4%
Skew 25d3.8%-0.5%6.1%-0.1%1.1%
Skew 10d5.9%-5.4%12.2%-5.4%2.0%
Call IV 25d14.9%11.7%17.9%17.1%14.7%
Put IV 25d18.6%15.2%21.6%17.1%15.8%
Bid-Ask Spread %31.3520.76103.2126.7724.41
Gamma HHI0.410.220.690.430.30
Net GEX975.4K-1.2M4.6M1.2M-753.0K
Net DEX2.1M-23.5M24.6M-4.7M6.1M
Net VEX-149.2K-189.0K-92.7K-101.4K-166.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.700.0483.720.240.96
Total Volume3,152.81814910,1295,464149
Total OI39,858.523,04652,81323,04644,301

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$26.72$27.0014.8%4.2%19.2%38.1%15.4%-0.1%1.9%1.2M-4.7M-101.4K0.2426.774,3991,06516,6156,431
2008-07-02$26.69$27.0016.2%4.6%19.2%45.1%16.1%-0.5%1.2%2.2M-8.2M-113.8K0.1226.551,24415520,8697,460
2008-07-03$26.67$27.0015.2%4.4%18.6%40.3%18.4%0.8%-0.0%2.5M-10.5M-114.2K0.1024.161,09511121,0747,614
2008-07-07$26.94$26.0019.0%5.0%17.4%58.4%17.4%3.6%-1.2%2.4M-10.8M-111.3K0.0426.034,25915920,9567,703
2008-07-08$27.29$26.0015.6%4.7%18.0%41.9%16.1%5.0%0.4%4.6M-23.5M-119.9K0.4126.632,5031,03624,6727,810
2008-07-09$27.02$26.0017.5%5.0%18.2%50.9%17.1%4.3%-0.9%3.2M-16.1M-119.8K0.1231.317,39186223,1018,741
2008-07-10$27.22$27.0019.5%5.6%18.5%60.4%19.5%6.1%-1.6%4.1M-23.2M-133.5K1.7232.633,7246,40526,8129,490
2008-07-11$26.93$27.0019.1%5.5%18.5%58.7%19.6%4.0%-0.7%2.1M-6.8M-136.6K2.5727.561,4823,80623,12014,913
2008-07-14$26.95$27.0018.8%5.4%18.5%57.3%17.6%4.3%-0.1%1.8M-338.9K-92.7K5.5429.981,4448,00717,86416,361
2008-07-15$26.90$27.0018.3%5.2%18.3%54.7%16.0%4.5%-0.2%2.0M10.3M-182.8K9.1427.732902,65025,22025,027
2008-07-16$27.24$27.0017.6%5.0%18.9%51.4%15.6%4.7%0.5%2.2M5.5M-189.0K0.0923.818998325,45526,890
2008-07-17$27.29$27.0017.4%5.0%18.5%50.6%14.9%5.1%0.6%1.5M6.1M-187.2K0.3928.9026310325,59726,944
2008-07-18$26.83$27.0016.7%4.8%19.4%47.1%16.5%5.5%0.4%493.7K14.8M-182.7K0.2629.851273325,77927,034
2008-07-21$26.77$27.0016.8%4.8%18.7%47.6%16.5%3.4%-0.1%-1.2M24.6M-163.8K0.1230.492172517,44224,921
2008-07-22$27.24$27.0015.7%4.5%19.7%42.4%15.2%5.8%0.6%-1.2M15.4M-171.6K2.8329.8712334817,54124,933
2008-07-23$27.43$27.0016.3%4.7%19.8%45.6%14.1%4.4%0.8%-1.1M13.9M-175.3K0.0830.501,69213617,63425,216
2008-07-24$27.26$27.0017.1%4.9%18.2%49.4%16.2%3.7%-0.4%-1.0M16.3M-176.9K8.7934.5010087918,71425,217
2008-07-25$27.11$27.0016.8%4.8%14.5%47.7%16.7%3.8%-0.7%-1.1M18.5M-173.1K83.7229.62927,70218,76325,693
2008-07-28$26.88$27.0017.7%5.1%14.3%51.9%17.1%5.2%0.2%-1.1M17.9M-158.5K4.48103.216529118,82023,751
2008-07-29$27.51$27.0012.6%3.6%16.2%27.9%14.6%2.6%1.3%-774.1K4.4M-156.4K3.1224.5118357118,87222,997
2008-07-30$27.83$27.0013.9%4.0%16.6%34.1%17.8%5.6%1.0%-504.2K-2.7M-156.5K0.4920.762,1501,04418,96623,554
2008-07-31$27.40$27.0017.3%5.0%17.7%50.1%17.4%1.1%0.3%-753.0K6.1M-166.4K0.9624.41767320,38823,913