XLP Options History — May 2009

In May 2009, XLP traded between $22.09 and $23.22. ATM implied volatility averaged 19.3%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.3% (HV 20d: 17.0%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.46.

Notable Days

  • 2009-05-21: Highest Volume — 6,481 contracts
  • 2009-05-13: Largest IV spike — 58.0% change
  • 2009-05-13: Highest IV Rank — 29.9%
  • 2009-05-05: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.69$22.09$23.22$22.09$23.12
Max Pain$22.95$22.00$23.00$22.00$23.00
ATM IV19.3%14.2%27.8%20.9%16.9%
Expected Move5.6%4.1%6.6%6.0%4.8%
HV 20d17.0%15.3%19.1%17.1%18.8%
HV 60d22.9%21.7%24.3%24.3%21.7%
IV Rank14.6%4.5%29.9%18.1%9.2%
IV Percentile34.2%7.1%67.5%41.3%24.2%
Term Structure0.2%-1.2%1.6%1.6%1.0%
VWIV19.4%15.2%25.3%20.8%17.3%
Skew 25d6.9%3.6%10.2%9.3%10.2%
Skew 10d11.4%0.3%20.1%11.3%9.7%
Call IV 25d15.8%9.8%19.7%14.3%9.8%
Put IV 25d22.7%19.8%25.7%23.6%19.9%
Bid-Ask Spread %19.2114.0524.8224.8219.04
Gamma HHI0.390.290.560.290.56
Net GEX2.6M1.5M4.1M1.5M4.1M
Net DEX-12.1M-29.2M8.8M8.8M-29.2M
Net VEX-343.5K-370.2K-326.5K-348.8K-331.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.084.810.312.32
Total Volume1,784.751346,481134512
Total OI130,721.95122,790139,513122,790139,513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$22.09$22.0020.9%6.0%17.1%18.1%20.8%9.3%1.6%1.5M8.8M-348.8K0.3124.821023259,59863,192
2009-05-04$22.43$23.0022.4%6.6%17.7%20.6%25.3%5.9%-0.4%1.9M-6.4M-349.1K4.8117.513191,53559,65563,194
2009-05-05$22.24$23.0021.8%6.6%18.1%19.6%15.2%8.8%-0.4%1.6M3.1M-347.1K0.3718.9579429059,70064,237
2009-05-06$22.38$23.0021.0%6.5%16.7%18.3%18.5%5.7%-1.2%1.7M-2.8M-346.6K0.5523.233,5121,93660,32364,377
2009-05-07$22.47$23.0023.0%6.5%16.5%21.6%25.2%5.7%0.1%2.0M-6.6M-351.1K1.9922.4316933663,37665,879
2009-05-08$22.76$23.0015.8%5.7%17.0%9.4%19.8%6.1%0.8%2.3M-15.1M-354.4K1.5119.9548072363,47165,937
2009-05-11$22.65$23.0018.9%5.8%17.1%14.7%21.3%5.5%0.2%2.1M-8.4M-343.0K0.1822.702494563,71466,245
2009-05-12$22.92$23.0017.6%5.7%16.2%12.5%20.2%5.7%-0.1%2.7M-22.7M-337.5K1.1023.762,2102,44263,84266,259
2009-05-13$22.50$23.0027.8%6.3%17.1%29.9%20.1%5.5%-0.9%2.2M-9.3M-370.2K0.6920.2924116665,61168,536
2009-05-14$22.58$23.0019.2%5.5%16.6%15.2%21.7%9.1%0.8%2.4M-9.5M-350.9K0.1616.694637565,53668,628
2009-05-15$22.37$23.0020.9%6.0%17.0%18.1%16.7%8.0%-0.7%2.3M-2.3M-351.6K0.4815.0439719065,79168,665
2009-05-18$22.84$23.0017.5%5.0%16.6%12.4%19.5%4.3%-0.5%3.1M-19.9M-338.2K2.4920.1519348162,38564,821
2009-05-19$22.97$23.0018.3%5.3%16.4%13.7%17.6%4.7%-0.1%3.0M-18.2M-338.1K0.1119.951,13412962,44165,219
2009-05-20$23.00$23.0017.6%5.1%15.3%10.5%17.4%3.8%0.3%3.4M-23.2M-326.5K1.5216.918131,23762,51765,334
2009-05-21$22.79$23.0017.8%5.1%15.9%10.7%19.6%8.5%0.7%3.2M-13.3M-332.9K3.9415.941,3125,16963,10266,089
2009-05-22$22.93$23.0018.5%5.3%15.8%12.0%18.1%9.8%-0.2%2.9M-16.8M-349.6K4.5215.063071,38764,39071,206
2009-05-26$23.22$23.0018.2%5.2%16.1%11.5%18.3%3.6%1.2%3.5M-28.3M-333.4K1.0420.9828429664,31971,689
2009-05-27$22.63$23.0014.2%4.1%19.1%4.5%17.7%7.9%-0.2%2.8M-3.1M-331.9K0.0816.794,82839464,42971,826
2009-05-28$22.87$23.0016.8%4.8%18.7%9.1%18.5%9.5%1.1%3.7M-18.1M-338.1K1.0914.0524626767,27872,115
2009-05-29$23.12$23.0016.9%4.8%18.8%9.2%17.3%10.2%1.0%4.1M-29.2M-331.6K2.3219.0415435867,27372,240