XLP Options History — April 2009

In April 2009, XLP traded between $21.31 and $22.09. ATM implied volatility averaged 23.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.1% (HV 20d: 23.5%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-04-30: Highest Volume — 6,012 contracts
  • 2009-04-24: Largest IV spike — 17.5% change
  • 2009-04-01: Highest IV Rank — 32.5%
  • 2009-04-07: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.73$21.31$22.09$21.46$22.00
Max Pain$21.90$21.00$22.00$21.00$22.00
ATM IV23.4%20.9%26.9%26.9%21.6%
Expected Move6.8%6.0%7.9%7.7%6.2%
HV 20d23.5%18.5%27.6%27.6%18.5%
HV 60d25.6%24.9%26.0%25.4%24.9%
IV Rank26.8%22.7%32.5%32.5%24.0%
IV Percentile50.4%41.3%64.3%64.3%43.3%
Term Structure1.1%-0.7%2.3%1.5%1.0%
VWIV23.7%20.6%27.4%26.7%21.3%
Skew 25d7.6%5.1%11.9%8.2%9.9%
Skew 10d14.6%5.1%21.7%19.2%10.4%
Call IV 25d19.9%14.2%23.8%21.4%15.6%
Put IV 25d27.5%24.3%30.5%29.6%25.5%
Bid-Ask Spread %25.2516.2033.5623.1224.13
Gamma HHI0.210.180.290.210.29
Net GEX509.5K-27.5K1.9M105.3K1.0M
Net DEX21.1M9.8M32.1M21.3M18.3M
Net VEX-354.7K-390.5K-315.4K-386.4K-324.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0210.940.510.02
Total Volume1,760.476626,0125216,012
Total OI119,562.619111,548130,648116,781117,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$21.46$21.0026.9%7.7%27.6%32.5%26.7%8.2%1.5%105.3K21.3M-386.4K0.5123.1234517647,13469,647
2009-04-02$21.91$21.0024.4%7.0%26.4%28.4%23.0%11.9%1.3%518.7K10.2M-389.2K0.0419.065,01219647,20069,797
2009-04-03$21.82$22.0023.7%7.4%26.6%27.3%23.8%7.4%0.3%611.4K11.7M-390.5K0.3227.4750816150,82469,962
2009-04-06$21.88$22.0023.9%7.4%25.5%27.6%25.2%6.9%0.8%902.9K9.8M-377.5K0.1926.771562951,16170,106
2009-04-07$21.48$22.0026.4%7.9%26.4%31.6%25.7%6.7%1.3%571.9K20.4M-366.4K2.5726.3420853451,23470,121
2009-04-08$21.66$22.0022.5%7.1%26.4%25.4%0.0%6.6%1.1%750.3K15.1M-376.3K0.1125.9856651,34070,542
2009-04-09$21.67$22.0023.5%6.7%25.2%26.9%25.1%7.6%0.7%846.7K16.1M-363.7K10.9427.194154,54251,36470,543
2009-04-13$21.61$22.0025.1%7.2%25.0%29.6%27.0%6.3%0.4%590.7K20.9M-361.2K4.3627.9821794651,60274,771
2009-04-14$21.31$22.0026.4%7.6%25.1%31.7%26.0%7.4%0.3%270.1K30.0M-355.4K2.6416.201,2733,35751,59275,146
2009-04-15$21.69$22.0024.0%6.9%25.1%27.8%23.5%7.1%0.2%408.1K22.9M-370.9K0.0726.581,1447552,14078,211
2009-04-16$21.98$22.0022.8%6.5%25.3%25.9%23.2%5.5%1.5%830.5K14.4M-371.1K1.5120.208371,26552,08177,206
2009-04-17$22.09$22.0021.6%6.2%24.7%23.9%21.6%5.1%1.8%1.9M10.4M-373.5K0.3126.1481925452,52478,124
2009-04-20$21.66$22.0023.0%6.6%25.2%26.2%27.4%5.9%1.1%43.7K26.0M-351.1K1.9333.5634366248,88262,666
2009-04-21$21.88$22.0022.1%6.3%20.5%24.7%23.9%6.1%1.1%178.2K24.2M-341.9K0.2325.211112649,16463,069
2009-04-22$21.59$22.0022.4%6.4%21.0%25.2%22.2%9.5%1.5%-1.7K29.5M-333.5K0.0828.484904149,21163,066
2009-04-23$21.59$22.0021.2%6.1%20.7%23.4%22.4%8.1%2.0%-27.5K32.1M-326.7K0.7626.6939730249,67763,065
2009-04-24$21.50$22.0024.9%7.2%20.3%29.3%21.3%8.0%-0.7%31.4K31.0M-320.1K1.2526.5432941149,81563,241
2009-04-27$21.63$22.0021.5%6.2%20.2%23.8%22.0%8.5%2.0%242.1K30.5M-317.9K0.2127.232685651,92563,517
2009-04-28$21.73$22.0021.9%6.3%18.5%24.4%21.9%6.0%1.2%273.2K28.3M-315.4K0.1724.531833252,13063,523
2009-04-29$22.09$22.0020.9%6.0%19.2%22.7%20.6%10.9%2.3%622.7K19.9M-335.2K0.4420.753,3261,45052,25463,535
2009-04-30$22.00$22.0021.6%6.2%18.5%24.0%21.3%9.9%1.0%1.0M18.3M-324.9K0.0224.135,86614654,56263,141