XLP Options History — August 2008

In August 2008, XLP traded between $27.35 and $28.98. ATM implied volatility averaged 15.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 3.9% (HV 20d: 19.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 5.48.

Notable Days

  • 2008-08-21: Highest Volume — 21,624 contracts
  • 2008-08-11: Largest IV drop — 25.5% change
  • 2008-08-19: Highest IV Rank — 49.3%
  • 2008-08-19: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.34$27.35$28.98$27.35$28.14
Max Pain$27.95$27.00$28.00$27.00$28.00
ATM IV15.4%11.9%17.1%16.9%16.1%
Expected Move4.5%4.0%4.9%4.8%4.6%
HV 20d19.4%17.7%21.1%17.7%18.9%
HV 60d17.8%16.5%18.5%16.5%18.5%
IV Rank41.2%24.7%49.3%48.2%44.6%
IV Percentile62.6%13.9%83.3%81.3%71.4%
Term Structure0.2%-1.2%1.3%1.0%-0.2%
VWIV15.7%13.7%17.8%17.1%14.2%
Skew 25d4.6%1.6%6.9%1.6%6.9%
Skew 10d9.3%-0.1%13.9%1.9%13.2%
Call IV 25d12.7%9.4%14.8%14.5%10.2%
Put IV 25d17.3%15.5%18.9%16.0%17.0%
Bid-Ask Spread %21.8814.6329.0225.0222.54
Gamma HHI0.270.180.550.310.20
Net GEX-409.3K-1.5M1.5M-862.6K-1.5M
Net DEX-8.6M-30.8M8.9M6.5M8.9M
Net VEX-239.1K-344.4K-158.1K-163.8K-332.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.480.3340.793.8940.79
Total Volume2,683.52426121,624261585
Total OI56,062.57143,58070,87444,23770,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$27.35$27.0016.9%4.8%17.7%48.2%17.1%1.6%1.0%-862.6K6.5M-163.8K0.0025.02026120,32623,911
2008-08-04$27.60$28.0014.7%4.6%17.7%37.8%16.1%4.1%-0.2%-362.3K-2.6M-161.8K3.8920.1916765020,32623,986
2008-08-05$28.08$28.0015.7%4.4%18.1%42.4%13.8%4.8%-0.5%231.7K-14.2M-160.1K1.1119.3929332420,46024,207
2008-08-06$28.38$28.0016.0%4.4%17.9%44.2%17.4%5.3%-0.3%299.5K-15.9M-158.1K0.6420.394,4702,84720,43324,493
2008-08-07$27.83$28.0013.8%4.1%19.4%33.7%14.7%4.1%1.2%-477.5K-9.8M-187.7K0.3317.292,14570623,76426,321
2008-08-08$28.41$28.0016.0%4.5%20.0%44.0%17.0%6.0%0.5%454.2K-24.5M-201.3K1.5322.4030546825,73426,773
2008-08-11$28.66$28.0011.9%4.1%20.1%24.7%15.7%5.2%0.7%608.0K-27.9M-197.7K8.2514.637105,85825,94427,179
2008-08-12$28.86$28.0014.7%4.2%20.1%38.0%13.8%6.8%0.9%-16.4K-27.1M-215.2K5.8318.932241,30626,61332,723
2008-08-13$28.57$28.0014.5%4.1%20.3%37.0%15.5%5.7%1.3%-163.2K-23.3M-219.5K6.6519.272471,64326,70233,266
2008-08-14$28.70$28.0015.2%4.4%20.4%40.4%15.9%2.5%0.3%-53.3K-25.1M-216.7K1.5726.1733652926,75333,937
2008-08-15$28.98$28.0014.6%4.2%19.1%37.3%13.9%2.6%0.5%1.5M-30.8M-214.3K0.9417.5332430326,92334,225
2008-08-18$28.86$28.0015.1%4.3%19.2%39.9%16.6%6.1%-0.5%-435.1K-7.4M-216.3K2.1724.001,0502,27720,39123,189
2008-08-19$28.47$28.0017.1%4.9%19.5%49.3%17.8%5.3%-1.2%-787.7K-1.9M-225.2K3.1120.608727121,28825,251
2008-08-20$28.48$28.0016.1%4.6%19.4%44.7%15.7%4.7%0.0%-924.9K353.3K-222.5K5.3422.569048121,30825,421
2008-08-21$28.17$28.0016.2%4.6%19.7%44.8%15.9%5.2%0.3%-992.7K286.7K-220.3K1.1323.6610,15211,47221,33025,768
2008-08-22$28.68$28.0013.8%4.0%20.3%33.5%16.5%5.1%0.7%-355.1K-6.1M-344.2K4.3421.722351,02131,42036,075
2008-08-25$28.22$28.0016.0%4.6%21.1%44.2%13.7%4.7%-0.2%-1.0M4.1M-344.4K6.1325.634802,94031,63936,589
2008-08-26$28.11$28.0016.8%4.8%19.7%47.6%15.9%3.9%-0.6%-1.3M7.8M-340.5K12.2925.773543032,07338,505
2008-08-27$28.24$28.0015.7%4.5%19.3%42.7%15.7%3.2%1.3%-1.3M5.3M-341.1K3.1029.027222332,08038,504
2008-08-28$28.42$28.0016.6%4.8%18.4%46.8%17.0%4.0%-0.5%-1.0M1.7M-338.5K0.4822.8722711032,15238,458
2008-08-29$28.14$28.0016.1%4.6%18.9%44.6%14.2%6.9%-0.2%-1.5M8.9M-332.6K40.7922.541457132,32238,552