XLP Options History — September 2008

In September 2008, XLP traded between $26.66 and $29.15. ATM implied volatility averaged 19.5%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 19.1%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 6.09.

Notable Days

  • 2008-09-12: Highest Volume — 29,908 contracts
  • 2008-09-29: Largest IV spike — 43.7% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.12$26.66$29.15$28.45$27.60
Max Pain$28.33$28.00$29.00$28.00$28.00
ATM IV19.5%14.7%29.9%18.1%23.1%
Expected Move5.5%4.4%8.6%5.2%6.6%
HV 20d19.1%16.3%27.6%19.0%27.6%
HV 60d18.7%17.9%21.6%17.9%21.6%
IV Rank60.0%38.0%100.0%53.9%70.7%
IV Percentile90.2%52.4%100.0%93.7%98.8%
Term Structure-0.7%-7.4%1.5%-1.5%-1.7%
VWIV18.5%13.9%27.1%15.3%25.7%
Skew 25d3.6%-0.4%7.2%0.5%4.9%
Skew 10d5.6%0.1%12.5%0.2%5.9%
Call IV 25d17.4%10.9%28.3%14.1%23.2%
Put IV 25d21.1%14.6%30.1%14.6%28.0%
Bid-Ask Spread %39.8219.7599.8720.8535.09
Gamma HHI0.210.180.330.200.18
Net GEX-1.0M-5.5M965.8K-1.1M-1.1M
Net DEX5.6M-22.7M26.9M338.7K22.8M
Net VEX-370.8K-430.0K-332.3K-334.4K-397.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.090.1168.600.111.34
Total Volume4,929.66734829,9083,2773,508
Total OI88,731.66771,359108,06671,35998,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$28.45$28.0018.1%5.2%19.0%53.9%15.3%0.5%-1.5%-1.1M338.7K-334.4K0.1120.852,95831932,33339,026
2008-09-03$28.24$28.0016.4%4.7%18.3%45.9%13.9%0.8%0.4%-812.2K-2.6M-335.6K68.6019.75534335,14939,061
2008-09-04$28.06$28.0018.3%5.3%18.0%54.9%13.9%2.3%-0.6%-1.3M8.0M-333.2K7.4322.8712794435,14939,293
2008-09-05$28.32$28.0018.4%4.8%16.8%55.4%17.2%5.3%0.5%-1.0M1.8M-336.7K3.3723.8525385335,15740,059
2008-09-08$28.92$28.0014.7%4.4%16.9%38.0%18.2%4.4%0.3%154.5K-16.7M-332.3K9.1030.783573,24935,08340,166
2008-09-09$28.77$28.0018.2%4.6%16.7%54.2%14.4%4.0%0.1%-486.1K-8.0M-347.3K0.4927.571,77086735,03742,715
2008-09-10$28.97$29.0016.2%4.4%16.7%44.9%15.1%7.2%0.7%-376.1K-10.8M-347.9K1.1534.4037142736,53843,575
2008-09-11$29.09$29.0015.6%4.5%16.3%42.1%13.9%4.3%1.5%965.8K-22.7M-349.8K3.0228.724,66414,06336,81943,238
2008-09-12$29.15$29.0016.8%4.8%16.3%47.6%15.3%4.0%1.3%493.9K-19.7M-343.8K1.0426.2814,66315,24535,48941,974
2008-09-15$28.80$29.0018.7%5.4%16.5%56.7%18.9%4.1%-0.1%-67.6K-7.0M-427.2K0.2238.9310,0542,24449,53754,471
2008-09-16$28.80$29.0018.1%5.2%16.5%54.1%19.4%3.8%-0.3%-347.0K-4.2M-401.3K1.2631.8235845048,84454,452
2008-09-17$27.77$29.0021.5%6.2%20.5%70.2%21.2%0.7%-1.9%-4.5M25.8M-385.9K10.3399.872993,09048,93754,389
2008-09-18$27.95$29.0020.9%6.0%20.6%67.1%20.4%6.5%-1.5%-2.2M16.6M-430.0K0.5299.042,7091,40049,03157,214
2008-09-19$27.70$28.0019.0%5.4%20.5%58.0%17.3%-0.4%-3.1%-5.5M19.8M-401.0K0.8447.1388975150,55957,507
2008-09-22$27.55$28.0020.4%5.9%19.3%64.9%21.2%2.4%-1.2%-736.8K18.9M-362.9K0.9446.471,1011,03144,16642,140
2008-09-23$27.18$28.0023.1%6.6%19.1%77.7%19.6%6.0%-0.5%-904.2K24.3M-355.2K4.0122.647553,02745,08342,472
2008-09-24$27.13$28.0021.9%6.3%19.1%71.8%21.8%3.0%0.1%-1.1M21.1M-369.2K10.9831.915916,49045,05544,776
2008-09-25$27.80$28.0020.3%5.8%21.1%64.6%19.2%5.3%-0.0%-656.4K15.8M-401.7K0.5327.1556529745,46750,950
2008-09-26$27.70$28.0020.8%6.0%21.0%66.7%19.6%5.3%-0.6%-239.2K8.1M-398.6K1.0433.1130831945,81551,121
2008-09-29$26.66$28.0029.9%8.6%24.6%100.0%27.1%1.7%-7.4%-1.0M26.9M-395.5K1.6687.876791,13045,91151,391
2008-09-30$27.60$28.0023.1%6.6%27.6%70.7%25.7%4.9%-1.7%-1.1M22.8M-397.0K1.3435.091,5002,00846,25951,957