XLP Options History — November 2008

In November 2008, XLP traded between $21.94 and $24.85. ATM implied volatility averaged 39.6%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 4.0% (HV 20d: 43.6%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.02.

Notable Days

  • 2008-11-24: Highest Volume — 5,565 contracts
  • 2008-11-20: Largest IV spike — 15.4% change
  • 2008-11-20: Highest IV Rank — 71.0%
  • 2008-11-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.68$21.94$24.85$24.49$24.07
Max Pain$26.58$25.00$27.00$25.00$27.00
ATM IV39.6%33.4%50.9%40.0%34.3%
Expected Move11.2%9.6%14.6%11.5%9.8%
HV 20d43.6%35.1%50.7%50.7%35.1%
HV 60d36.2%34.5%38.8%34.5%38.8%
IV Rank52.8%42.8%71.0%53.4%44.3%
IV Percentile93.5%85.7%99.2%95.6%85.7%
Term Structure-1.5%-4.2%2.2%-3.2%0.8%
VWIV38.1%30.0%49.6%38.3%34.0%
Skew 25d12.1%8.3%14.3%10.9%14.0%
Skew 10d28.1%13.0%38.0%32.2%38.0%
Call IV 25d33.2%26.7%44.2%33.1%27.4%
Put IV 25d45.3%39.4%57.4%44.1%41.5%
Bid-Ask Spread %28.0619.9084.0033.5322.66
Gamma HHI0.300.210.380.360.28
Net GEX-3.5M-4.5M-2.3M-3.3M-2.8M
Net DEX108.3M70.7M147.4M82.8M89.3M
Net VEX-345.3K-404.3K-268.3K-403.0K-333.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.479.131.862.70
Total Volume2,511.8425565,5651,4541,402
Total OI137,680.579121,116150,392131,864126,371

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$24.49$25.0040.0%11.5%50.7%53.4%38.3%10.9%-3.2%-3.3M82.8M-403.0K1.8633.5350894650,81681,048
2008-11-04$24.85$25.0034.7%9.9%50.0%45.0%34.1%12.7%-4.2%-3.4M70.7M-404.3K4.0630.749253,75951,25681,677
2008-11-05$24.41$25.0038.7%11.1%49.4%51.3%34.7%9.4%-3.1%-3.7M89.2M-403.9K1.2884.0070890351,88583,947
2008-11-06$24.15$25.0036.5%10.5%44.0%47.9%36.4%8.3%0.9%-4.0M105.4M-373.2K7.4940.313432,56852,32584,234
2008-11-07$24.26$27.0037.4%10.4%44.0%49.3%30.0%11.9%-2.1%-4.0M99.0M-391.8K8.5619.901541,31952,53786,056
2008-11-10$24.33$27.0039.5%10.6%40.8%52.6%35.7%11.6%-2.1%-4.2M100.2M-383.3K2.0621.5923247952,62387,235
2008-11-11$23.78$27.0038.2%10.5%41.5%50.5%39.8%12.9%-1.6%-4.1M108.1M-358.5K9.1320.751631,48952,80087,342
2008-11-12$23.27$27.0041.1%11.3%40.4%55.3%39.2%11.5%-1.2%-3.7M127.5M-322.1K5.0021.413051,52652,81887,919
2008-11-13$24.20$27.0037.4%10.7%42.7%49.4%38.8%12.0%-2.6%-4.5M105.2M-373.3K1.3324.541,3241,76752,75288,562
2008-11-14$23.48$27.0039.4%11.3%43.9%52.6%42.3%11.5%-1.4%-4.0M123.0M-336.4K1.8920.661,0201,92553,70389,500
2008-11-17$23.17$27.0040.9%11.7%44.0%54.9%36.3%12.8%-2.6%-3.7M130.8M-313.2K1.0225.601,0841,10354,04590,532
2008-11-18$23.33$27.0042.3%12.1%44.0%57.2%41.8%13.7%-2.7%-4.1M125.1M-320.3K0.9921.501,2291,21754,11990,922
2008-11-19$22.73$27.0044.1%12.6%44.6%60.1%44.3%12.2%-1.1%-3.0M135.4M-304.8K0.9223.332,5152,31555,08691,184
2008-11-20$21.94$27.0050.9%14.6%46.0%71.0%49.6%13.2%-3.6%-2.3M147.4M-268.3K1.6534.282,0803,43757,18691,747
2008-11-21$22.99$27.0044.2%12.7%45.9%60.2%44.8%12.4%-1.3%-3.9M134.1M-306.1K0.7220.761,18885858,43591,957
2008-11-24$23.28$27.0039.4%11.3%45.0%52.5%37.6%11.3%1.0%-2.4M92.9M-310.9K5.6022.308434,72248,95172,165
2008-11-25$23.41$27.0039.3%11.3%38.2%52.3%33.7%13.1%-0.0%-2.6M98.1M-324.3K0.6222.6850331049,20976,858
2008-11-26$23.71$27.0033.4%9.6%37.8%42.8%32.0%14.3%2.2%-2.6M93.8M-328.8K0.4722.5737717949,55176,578
2008-11-28$24.07$27.0034.3%9.8%35.1%44.3%34.0%14.0%0.8%-2.8M89.3M-333.4K2.7022.663791,02349,80776,564