XLP Options History — March 2009

In March 2009, XLP traded between $19.41 and $21.82. ATM implied volatility averaged 26.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.7% (HV 20d: 26.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.54.

Notable Days

  • 2009-03-24: Highest Volume — 56,862 contracts
  • 2009-03-09: Largest IV spike — 64.3% change
  • 2009-03-09: Highest IV Rank — 48.4%
  • 2009-03-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.63$19.41$21.82$19.97$21.10
Max Pain$21.00$20.00$25.00$25.00$21.00
ATM IV26.2%19.5%36.8%31.4%28.0%
Expected Move7.7%6.7%9.1%9.0%8.0%
HV 20d26.9%23.8%29.7%26.9%27.7%
HV 60d23.5%22.0%25.3%22.4%25.1%
IV Rank31.4%20.5%48.4%39.6%34.3%
IV Percentile64.0%52.0%83.7%79.8%68.7%
Term Structure0.2%-2.9%1.7%-0.5%0.1%
VWIV27.1%22.5%31.9%31.9%28.6%
Skew 25d7.9%5.8%11.0%8.9%5.8%
Skew 10d16.5%5.5%23.7%5.5%19.9%
Call IV 25d24.1%19.0%30.0%27.8%25.5%
Put IV 25d32.1%28.0%38.2%36.8%31.3%
Bid-Ask Spread %20.6410.5732.1815.2328.72
Gamma HHI0.350.230.480.330.23
Net GEX-2.7M-4.4M292.9K-3.9M-320.5K
Net DEX66.4M5.4M109.7M99.5M31.8M
Net VEX-252.4K-408.1K-152.5K-177.8K-367.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.540.1243.387.790.43
Total Volume7,613.59132156,8625,364464
Total OI117,622.22770,528135,580111,220116,512

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$19.97$25.0031.4%9.0%26.9%39.6%31.9%8.9%-0.5%-3.9M99.5M-177.8K7.7915.236104,75431,59279,628
2009-03-03$19.73$25.0029.0%8.3%27.0%35.9%29.3%8.5%0.1%-2.7M82.4M-152.5K43.3816.2478634,09431,77665,791
2009-03-04$20.11$25.0028.8%8.3%26.7%35.5%28.5%8.1%0.5%-4.1M97.9M-252.9K0.7716.861,4961,15132,10394,127
2009-03-05$19.65$25.0028.9%8.3%26.2%35.7%29.3%8.2%0.1%-3.2M93.0M-188.0K8.0510.571,2399,97633,03178,216
2009-03-06$19.71$20.0022.4%8.2%25.4%25.3%29.5%10.9%-0.4%-3.9M100.7M-233.2K2.5013.8315939833,78290,170
2009-03-09$19.41$20.0036.8%9.1%24.1%48.4%27.3%6.9%-2.9%-3.7M109.7M-221.7K0.9417.171,1961,12933,90990,359
2009-03-10$19.77$20.0020.5%7.7%25.8%22.2%28.1%8.4%-0.5%-4.3M97.9M-230.2K0.8816.621,3541,19334,77891,039
2009-03-11$19.75$20.0019.5%7.5%23.8%20.5%30.0%8.2%-1.0%-4.4M100.7M-232.0K7.5914.992451,85935,76391,758
2009-03-12$20.26$20.0027.0%7.7%25.9%32.6%27.4%6.5%-0.0%-4.4M92.4M-233.9K1.0917.5148753235,78093,033
2009-03-13$20.56$20.0023.3%6.7%26.3%26.6%25.5%6.7%0.9%-4.3M82.6M-226.2K1.1716.241,1231,31635,87393,300
2009-03-16$20.88$20.0025.0%7.2%26.7%29.4%30.9%8.2%-0.8%-4.1M76.8M-226.8K2.8421.641,5384,37036,45894,228
2009-03-17$21.27$20.0024.8%7.1%27.1%29.1%24.3%7.1%0.7%-3.8M69.9M-217.6K0.1218.122873437,24895,082
2009-03-18$21.16$20.0024.8%7.1%27.1%29.0%24.3%7.9%1.6%-3.6M68.6M-214.4K0.3132.183,3271,03037,38493,930
2009-03-19$20.89$20.0025.3%7.2%27.0%29.8%25.9%8.2%1.0%-3.5M76.0M-224.7K0.1825.336,1261,08240,08394,483
2009-03-20$20.57$20.0027.0%7.7%27.0%32.6%26.5%7.1%0.1%-2.8M80.0M-222.8K0.5726.022,7721,58241,08594,495
2009-03-23$21.47$20.0026.5%7.6%29.7%31.7%24.1%11.0%0.4%-1.2M15.0M-220.9K1.7923.026411,14516,70353,825
2009-03-24$21.37$20.0027.4%7.9%29.0%33.3%25.7%10.0%0.0%-1.1M15.7M-213.4K1.1824.9926,13530,72717,22953,876
2009-03-25$21.58$20.0023.5%6.7%29.0%27.1%25.7%7.2%1.7%-597.4K19.0M-408.1K0.5220.192,3081,19543,23083,790
2009-03-26$21.82$20.0024.1%6.9%27.7%28.0%22.5%7.0%0.7%205.1K5.4M-366.5K8.8428.576715,93345,12270,356
2009-03-27$21.61$20.0024.6%7.0%27.9%28.7%26.4%6.4%1.2%292.9K16.2M-365.0K4.7221.687693,62645,48960,955
2009-03-30$21.14$21.0028.5%8.2%28.2%35.1%25.4%7.4%0.8%-147.7K30.0M-356.7K4.1928.431,2795,36145,77464,544
2009-03-31$21.10$21.0028.0%8.0%27.7%34.3%28.6%5.8%0.1%-320.5K31.8M-367.5K0.4328.7232414046,90769,605