XLP Options History — June 2009

In June 2009, XLP traded between $22.65 and $23.82. ATM implied volatility averaged 17.1%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.3% (HV 20d: 19.4%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.47.

Notable Days

  • 2009-06-02: Highest Volume — 18,165 contracts
  • 2009-06-02: Largest IV spike — 50.1% change
  • 2009-06-10: Highest IV Rank — 16.3%
  • 2009-06-18: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.22$22.65$23.82$23.58$22.99
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV17.1%12.1%21.2%12.1%14.7%
Expected Move4.9%3.5%5.6%3.5%4.2%
HV 20d19.4%17.3%21.4%19.8%17.3%
HV 60d19.8%18.1%21.4%21.3%18.2%
IV Rank9.2%0.9%16.3%0.9%4.9%
IV Percentile21.6%0.8%39.7%0.8%5.6%
Term Structure0.9%-1.8%2.5%1.6%2.3%
VWIV16.9%10.2%21.0%17.9%10.2%
Skew 25d5.4%-0.1%8.7%3.8%-0.1%
Skew 10d8.2%1.0%16.2%1.8%1.0%
Call IV 25d14.6%10.0%18.7%13.9%12.1%
Put IV 25d20.0%12.0%23.9%17.7%12.0%
Bid-Ask Spread %21.4613.4430.5816.6614.82
Gamma HHI0.450.160.870.450.22
Net GEX3.1M-11.8M12.1M4.2M-48.4K
Net DEX-21.0M-78.2M39.0M-59.2M14.3M
Net VEX-328.1K-402.0K-270.4K-304.5K-329.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.0318.670.0618.67
Total Volume4,518.68219518,16512,3111,495
Total OI140,732.27385,546178,169139,903105,639

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$23.58$23.0012.1%3.5%19.8%0.9%17.9%3.8%1.6%4.2M-59.2M-304.5K0.0616.6611,62468767,32172,582
2009-06-02$23.82$23.0018.2%5.2%19.4%11.4%17.4%5.8%-1.8%4.9M-78.2M-331.3K0.7913.4410,1438,02276,37972,916
2009-06-03$23.70$23.0013.9%4.0%19.2%4.0%16.4%4.8%0.5%5.3M-68.5M-402.0K0.2415.162385685,13380,832
2009-06-04$23.74$23.0017.1%4.9%19.2%9.5%19.3%3.8%-0.3%5.0M-64.8M-387.8K6.6914.081541,03082,94080,852
2009-06-05$23.62$23.0013.8%4.8%19.4%3.8%21.0%7.6%1.5%5.0M-64.4M-375.4K0.6829.4721614682,92081,863
2009-06-08$23.71$23.0014.2%5.0%19.0%4.0%17.6%8.0%0.9%5.0M-63.8M-366.7K0.2321.161593682,99581,771
2009-06-09$23.50$23.0019.9%5.3%19.2%13.9%18.0%6.5%1.1%5.2M-53.0M-358.3K5.2922.874292,27082,99281,797
2009-06-10$23.24$23.0021.2%5.4%19.4%16.3%19.1%5.2%0.2%5.1M-34.1M-356.6K0.0328.47238783,04382,689
2009-06-11$23.34$23.0018.3%5.3%18.0%11.2%14.5%4.6%0.8%5.6M-35.6M-347.6K0.2927.211,11331983,22382,640
2009-06-12$23.52$23.0016.1%4.6%18.1%7.3%15.2%5.2%1.8%5.6M-50.2M-344.8K1.3120.1475999784,08482,898
2009-06-15$22.95$23.0019.1%5.5%20.1%12.5%16.9%4.9%0.4%8.7M-19.3M-330.3K3.0528.804211,28584,56683,721
2009-06-16$22.65$23.0019.1%5.5%19.3%12.6%17.9%8.7%0.4%3.9M17.9M-312.2K0.4019.361988084,00884,781
2009-06-17$22.88$23.0019.0%5.4%19.6%12.4%19.1%3.5%1.2%6.3M9.7M-305.4K0.0528.449,69247284,14584,821
2009-06-18$23.30$23.0019.4%5.6%20.6%13.2%19.1%4.0%0.6%12.1M-42.0M-314.5K0.0821.5314,5131,14992,91285,257
2009-06-19$22.89$23.0018.8%5.4%21.4%12.1%18.5%3.8%1.0%-11.8M39.0M-281.3K0.9530.5828627352,27585,451
2009-06-22$22.80$23.0019.0%5.5%21.3%12.5%11.7%6.5%1.2%-540.6K20.1M-273.4K0.7722.832,3801,83634,84150,705
2009-06-23$22.66$23.0018.1%5.2%20.9%10.8%20.0%6.3%0.5%-587.3K22.0M-270.4K2.8416.722,5217,16135,46751,146
2009-06-24$22.72$23.0017.6%5.0%18.8%9.9%18.9%6.9%0.4%-510.8K21.7M-289.7K1.9316.6511221637,57353,028
2009-06-25$23.11$23.0016.1%4.6%19.4%7.4%14.2%7.9%1.5%-227.6K12.2M-292.6K0.9125.206,4925,93537,67853,193
2009-06-26$23.03$23.0016.6%4.8%19.0%8.2%15.6%7.2%0.6%264.4K7.6M-316.4K6.5721.654883,20443,74253,876
2009-06-29$23.17$23.0014.1%4.0%17.7%3.9%13.8%3.2%2.5%47.8K6.7M-327.4K2.6116.9615540444,02461,391
2009-06-30$22.99$23.0014.7%4.2%17.3%4.9%10.2%-0.1%2.3%-48.4K14.3M-329.0K18.6714.82761,41944,15361,486