XLP Options History — January 2009

In January 2009, XLP traded between $22.15 and $24.31. ATM implied volatility averaged 26.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.7% (HV 20d: 18.0%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.44.

Notable Days

  • 2009-01-02: Highest Volume — 6,953 contracts
  • 2009-01-08: Largest IV spike — 13.7% change
  • 2009-01-14: Highest IV Rank — 37.8%
  • 2009-01-20: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.07$22.15$24.31$24.21$22.15
Max Pain$24.05$24.00$25.00$25.00$24.00
ATM IV26.7%22.8%30.2%25.1%26.5%
Expected Move7.6%6.5%8.7%7.2%7.6%
HV 20d18.0%17.0%19.8%19.8%19.4%
HV 60d33.1%27.5%38.2%38.2%28.0%
IV Rank32.1%25.8%37.8%29.5%31.7%
IV Percentile73.8%66.7%79.8%75.4%71.8%
Term Structure0.5%-0.9%2.3%-0.8%2.3%
VWIV27.1%20.4%32.4%23.4%26.3%
Skew 25d8.1%5.2%10.7%5.2%6.6%
Skew 10d18.0%7.1%24.5%8.6%7.1%
Call IV 25d23.7%20.5%26.9%21.1%24.2%
Put IV 25d31.8%26.3%36.7%26.3%30.8%
Bid-Ask Spread %25.0217.4633.8517.4628.26
Gamma HHI0.280.160.740.510.23
Net GEX-2.5M-5.6M-857.4K-5.0M-1.2M
Net DEX69.9M37.0M110.9M67.2M47.6M
Net VEX-187.4K-216.8K-167.0K-208.2K-168.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.440.1047.440.525.24
Total Volume2,801.35576,9536,953743
Total OI103,036.370,856134,861110,09581,571

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$24.21$25.0025.1%7.2%19.8%29.5%23.4%5.2%-0.8%-5.0M67.2M-208.2K0.5217.464,5722,38143,37666,719
2009-01-05$24.31$24.0025.7%7.1%19.0%30.5%22.8%6.7%2.3%-5.2M68.9M-216.0K0.5531.092,5481,40947,76168,890
2009-01-06$23.95$24.0024.8%7.3%17.5%29.0%25.4%7.0%-0.9%-4.1M78.2M-216.8K8.8928.161811,61050,16770,120
2009-01-07$23.71$24.0025.4%7.3%17.8%30.0%24.6%6.5%0.0%-3.8M88.1M-204.0K6.5329.983222,10350,23271,297
2009-01-08$23.40$24.0028.8%8.4%17.0%35.5%32.3%9.1%-0.8%-3.4M96.4M-194.1K0.5518.704,1162,27350,40972,709
2009-01-09$23.00$24.0026.4%8.1%18.1%31.6%24.4%7.3%-0.6%-2.8M101.5M-201.1K0.1019.201,14811054,49174,702
2009-01-12$23.01$24.0028.9%8.3%17.7%35.7%31.9%8.9%-0.6%-2.8M104.1M-188.9K1.3622.701,1611,58254,39474,594
2009-01-13$23.15$24.0028.8%8.2%17.8%35.4%27.4%8.2%0.0%-2.7M100.7M-192.6K0.6118.842,6061,59854,75475,794
2009-01-14$22.64$24.0030.2%8.3%19.5%37.8%31.3%8.9%-0.2%-2.7M110.4M-192.8K9.1618.733943,61156,32177,222
2009-01-15$22.74$24.0028.5%8.2%17.5%35.1%27.5%10.7%-0.7%-2.8M110.9M-184.8K3.1923.423521,12456,56278,299
2009-01-16$22.95$24.0026.9%7.7%17.8%32.4%29.5%8.4%1.1%-5.6M107.4M-185.8K16.2828.022824,59056,56177,876
2009-01-20$22.68$24.0030.2%8.7%18.1%37.7%32.0%10.3%-0.1%-857.4K38.7M-178.7K2.3124.377351,69533,19837,658
2009-01-21$22.79$24.0026.6%7.6%17.4%31.9%23.7%9.2%1.8%-1.0M39.0M-180.0K0.2422.8745010733,61538,887
2009-01-22$22.77$24.0027.0%7.7%17.4%32.6%31.7%8.9%1.6%-971.7K39.5M-175.3K3.1322.2827084633,81438,805
2009-01-23$22.55$24.0026.4%7.6%17.5%31.6%29.6%7.7%1.2%-989.6K42.1M-172.2K1.7225.6926144934,05939,509
2009-01-26$22.70$24.0025.7%7.4%17.3%30.6%22.5%9.8%1.6%-1.1M40.9M-170.4K0.5228.571,37971634,18039,838
2009-01-27$22.82$24.0024.9%7.1%17.5%29.3%22.6%7.0%0.0%-999.3K41.4M-167.0K0.2233.851,95042735,27140,402
2009-01-28$23.05$24.0022.8%6.5%17.9%25.8%20.4%7.1%2.3%-935.7K37.0M-175.8K0.2329.942,06646837,12840,326
2009-01-29$22.85$24.0023.8%6.8%17.0%27.4%32.4%8.7%0.9%-884.8K38.3M-175.2K47.4428.29703,32138,56440,651
2009-01-30$22.15$24.0026.5%7.6%19.4%31.7%26.3%6.6%2.3%-1.2M47.6M-168.0K5.2428.2611962438,55043,021