XLP Options History — December 2008

In December 2008, XLP traded between $22.74 and $23.87. ATM implied volatility averaged 33.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 1.3% (HV 20d: 35.0%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 4.44.

Notable Days

  • 2008-12-18: Highest Volume — 11,322 contracts
  • 2008-12-05: Largest IV drop — 14.6% change
  • 2008-12-04: Highest IV Rank — 57.7%
  • 2008-12-04: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.35$22.74$23.87$22.74$23.87
Max Pain$26.50$26.00$27.00$26.00$26.00
ATM IV33.7%23.5%42.6%42.4%23.5%
Expected Move9.6%6.7%12.2%12.1%6.7%
HV 20d35.0%19.7%41.9%40.4%19.7%
HV 60d40.0%38.6%40.8%40.2%38.6%
IV Rank43.3%26.9%57.7%57.3%26.9%
IV Percentile83.2%74.6%95.2%95.2%74.6%
Term Structure-0.3%-2.2%2.2%-2.0%0.6%
VWIV32.9%23.1%46.9%41.5%23.1%
Skew 25d9.3%4.7%14.4%13.5%6.7%
Skew 10d21.7%8.7%34.5%24.9%13.0%
Call IV 25d29.3%22.3%37.0%37.0%22.3%
Put IV 25d38.6%29.0%50.4%50.4%29.0%
Bid-Ask Spread %20.5912.1728.6328.0817.02
Gamma HHI0.290.230.410.240.41
Net GEX-3.2M-5.1M-2.5M-2.5M-4.3M
Net DEX98.9M78.0M112.1M109.6M78.0M
Net VEX-254.8K-328.8K-196.5K-274.3K-201.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.0329.260.720.97
Total Volume2,932.81818111,3222,2692,787
Total OI127,105.5106,066145,415127,661108,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$22.74$26.0042.4%12.1%40.4%57.3%41.5%13.5%-2.0%-2.5M109.6M-274.3K0.7228.081,31695350,09777,564
2008-12-02$23.07$26.0040.8%11.7%40.4%54.7%46.9%14.4%-2.2%-2.5M104.6M-289.7K29.2627.371363,97951,14578,007
2008-12-03$23.35$26.0040.7%11.7%40.2%54.7%38.8%12.4%-2.2%-2.8M100.7M-311.0K2.0428.6312625751,23281,036
2008-12-04$23.05$26.0042.6%12.2%40.0%57.7%39.6%12.2%-2.2%-2.7M106.3M-299.6K8.9327.383042,71651,25681,160
2008-12-05$23.70$27.0036.4%10.4%41.4%47.7%34.1%11.7%-1.8%-2.9M93.7M-328.8K2.3916.6739193651,38682,288
2008-12-08$23.84$27.0037.4%10.2%41.4%49.4%31.5%11.8%-0.6%-3.0M94.1M-314.6K0.2421.373,12976251,68182,373
2008-12-09$23.38$27.0040.9%10.7%41.9%54.9%37.4%8.1%-0.3%-2.9M105.2M-287.5K20.7819.453674853,58181,940
2008-12-10$23.37$27.0038.4%10.7%41.1%50.9%35.4%12.5%-1.1%-3.0M104.8M-283.6K3.0218.354451,34453,61182,028
2008-12-11$23.11$27.0035.9%10.3%40.6%46.9%33.2%10.6%0.1%-3.1M110.0M-272.9K1.4112.171,1611,63753,91082,611
2008-12-12$23.14$27.0035.5%10.2%37.8%46.3%34.6%9.6%-0.6%-3.2M109.2M-268.1K0.6222.4338624054,78882,789
2008-12-15$23.12$27.0036.7%10.5%36.4%48.1%37.3%10.0%-0.9%-3.3M110.1M-255.1K0.9520.0470867654,91682,902
2008-12-16$23.66$27.0031.7%9.1%37.0%40.2%33.2%7.4%0.8%-3.5M98.3M-265.6K0.1820.413,27558955,42783,263
2008-12-17$23.54$27.0030.2%8.7%37.0%37.7%29.3%8.0%2.1%-3.0M104.8M-246.2K1.0821.971,9302,08558,42683,610
2008-12-18$23.62$27.0029.6%8.5%35.6%36.8%26.9%8.2%1.4%-3.4M104.1M-249.6K0.0519.1810,77454859,83285,583
2008-12-19$23.23$27.0029.2%8.4%33.6%36.2%29.6%6.2%2.2%-5.1M112.1M-226.2K3.8722.239773,78356,56184,900
2008-12-22$23.29$26.0029.5%8.5%29.3%36.6%34.6%8.9%-0.3%-3.2M90.1M-209.8K3.2420.381,8876,11741,78566,663
2008-12-23$23.10$26.0028.0%8.0%29.1%34.2%31.7%7.7%1.2%-3.0M91.0M-205.4K16.3619.382283,72941,73364,333
2008-12-24$23.30$26.0029.0%8.3%29.2%35.8%27.9%6.2%0.5%-3.4M89.4M-213.0K0.0319.05175641,85666,765
2008-12-26$23.32$26.0028.0%8.0%28.9%34.2%24.6%6.0%-0.0%-3.5M89.5M-205.4K0.9219.5226824641,99666,766
2008-12-29$23.27$26.0029.1%8.4%28.2%36.0%26.4%7.7%-1.0%-3.4M88.1M-196.5K0.1816.941,17421742,13865,798
2008-12-30$23.64$26.0024.9%7.1%20.0%29.2%25.8%4.7%0.2%-3.8M82.3M-201.6K0.4714.9891143042,53165,811
2008-12-31$23.87$26.0023.5%6.7%19.7%26.9%23.1%6.7%0.6%-4.3M78.0M-201.3K0.9717.021,4181,36942,39265,851