XLP Options History — July 2009

In July 2009, XLP traded between $22.89 and $24.60. ATM implied volatility averaged 16.4%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.5% (HV 20d: 18.9%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 5.46.

Notable Days

  • 2009-07-16: Highest Volume — 53,112 contracts
  • 2009-07-16: Largest IV spike — 65.2% change
  • 2009-07-28: Highest IV Rank — 13.6%
  • 2009-07-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.79$22.89$24.60$23.38$24.52
Max Pain$23.91$23.00$24.00$23.00$24.00
ATM IV16.4%9.9%18.6%15.4%15.7%
Expected Move4.9%4.3%5.7%4.4%4.5%
HV 20d18.9%13.6%22.1%18.5%13.6%
HV 60d18.5%17.9%19.2%18.5%17.9%
IV Rank9.8%0.0%13.6%6.1%9.8%
IV Percentile16.5%0.0%29.4%8.3%9.5%
Term Structure1.4%0.4%2.1%2.0%0.9%
VWIV17.1%14.9%19.9%15.2%17.0%
Skew 25d5.0%1.5%7.5%5.8%4.8%
Skew 10d10.2%1.7%16.3%2.6%12.1%
Call IV 25d14.4%8.8%17.2%8.8%13.8%
Put IV 25d19.4%14.6%22.3%14.6%18.6%
Bid-Ask Spread %21.0011.9828.9917.7819.03
Gamma HHI0.230.130.540.180.22
Net GEX937.9K-2.7M6.2M-150.0K-403.1K
Net DEX-19.8M-110.9M38.2M1.4M-24.4M
Net VEX-540.3K-842.2K-331.4K-331.4K-506.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.0147.934.650.77
Total Volume9,440.22735053,11217,859979
Total OI153,648.273106,884209,672106,884157,511

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$23.38$23.0015.4%4.4%18.5%6.1%15.2%5.8%2.0%-150.0K1.4M-331.4K4.6517.783,16314,69644,19962,685
2009-07-02$22.89$23.0015.3%4.4%19.8%5.9%16.1%7.3%1.8%-289.6K20.3M-382.9K0.9515.932,8182,68746,31275,878
2009-07-06$23.36$24.0018.3%5.5%21.3%11.2%17.2%7.5%0.7%-933.5K11.0M-378.1K0.2417.201,39033944,14277,303
2009-07-07$23.07$24.0018.6%5.7%21.6%11.6%19.1%5.9%0.9%-1.1M20.9M-369.6K6.1219.638552044,12877,544
2009-07-08$23.17$24.0018.2%5.6%21.5%11.1%19.9%6.0%1.6%-892.2K16.5M-367.5K5.1822.111,96410,18044,12877,910
2009-07-09$23.00$24.0017.3%5.5%21.3%9.5%19.5%4.7%1.0%-1.4M35.4M-425.6K0.9719.5517817245,72187,027
2009-07-10$22.89$24.0016.3%5.5%21.3%7.6%18.8%5.5%1.3%-1.2M38.2M-411.8K7.7428.998868145,83887,149
2009-07-13$23.30$24.0017.3%5.4%22.1%9.5%17.2%5.8%1.3%-435.4K23.6M-406.6K12.8525.262373,04645,83687,625
2009-07-14$23.37$24.0017.9%5.3%20.2%10.5%18.6%6.3%1.4%-1.0M23.7M-416.2K19.3514.042885,57345,93590,669
2009-07-15$23.75$24.009.9%4.5%20.2%0.0%15.8%4.3%1.4%-2.7M9.0M-423.4K0.6022.455,4323,23746,01996,176
2009-07-16$23.91$24.0016.3%4.7%20.1%10.9%16.3%4.0%1.2%-142.0K-2.5M-419.4K0.0227.7052,21689650,76093,392
2009-07-17$23.93$24.0016.2%4.6%19.2%10.7%16.3%3.7%1.7%5.7M-57.6M-719.4K0.2222.8015,0913,316100,95193,729
2009-07-20$24.00$24.0016.5%4.7%17.8%11.1%16.8%3.3%1.8%3.5M-53.7M-731.2K1.9021.921,1582,20295,38181,431
2009-07-21$23.97$24.0016.3%4.7%17.7%10.9%16.2%3.5%1.8%3.2M-51.1M-740.4K0.7421.1685863496,12184,372
2009-07-22$23.98$24.0016.1%4.6%17.4%10.5%17.6%1.5%1.9%3.2M-52.4M-749.4K0.2319.9643110096,82484,951
2009-07-23$24.31$24.0017.5%5.0%17.8%12.9%15.9%3.2%0.4%3.5M-71.9M-749.6K2.0022.271,0322,06596,80085,026
2009-07-24$24.53$24.0015.7%4.5%17.2%9.8%14.9%4.3%1.0%3.5M-80.6M-753.5K0.9011.9859754097,14785,915
2009-07-27$24.44$24.0017.4%5.0%17.2%12.7%17.1%5.3%2.1%3.5M-79.7M-738.5K0.0124.4451,32745597,67186,449
2009-07-28$24.47$24.0017.9%5.1%17.2%13.6%17.5%5.0%1.8%6.2M-110.9M-842.2K47.9321.5222110,592123,30886,364
2009-07-29$24.60$24.0015.0%4.3%16.8%8.7%16.4%6.9%1.7%-541.4K-24.6M-515.5K5.8625.826593,86059,74796,903
2009-07-30$24.57$24.0016.2%4.6%16.1%10.7%16.3%5.2%1.3%-528.6K-26.4M-508.8K0.9820.4984983359,83597,450
2009-07-31$24.52$24.0015.7%4.5%13.6%9.8%17.0%4.8%0.9%-403.1K-24.4M-506.2K0.7719.0355242760,50297,009