XLP Options History — August 2009

In August 2009, XLP traded between $24.15 and $24.87. ATM implied volatility averaged 16.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 7.3% (HV 20d: 9.3%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 5.82.

Notable Days

  • 2009-08-28: Highest Volume — 14,732 contracts
  • 2009-08-21: Largest IV drop — 20.5% change
  • 2009-08-17: Highest IV Rank — 15.9%
  • 2009-08-17: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.50$24.15$24.87$24.55$24.82
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV16.6%14.0%19.3%16.4%14.8%
Expected Move4.9%4.0%5.5%4.7%4.2%
HV 20d9.3%8.2%12.0%12.0%8.4%
HV 60d16.4%14.8%17.8%17.8%14.8%
IV Rank11.4%6.9%15.9%11.0%8.3%
IV Percentile17.3%2.0%34.5%17.1%5.6%
Term Structure0.7%-0.4%3.4%0.8%0.7%
VWIV17.7%14.2%22.3%17.5%16.7%
Skew 25d5.4%3.3%9.8%5.2%5.1%
Skew 10d9.5%1.6%14.3%13.0%3.5%
Call IV 25d13.7%10.8%16.5%14.8%12.1%
Put IV 25d19.1%15.9%21.7%20.0%17.2%
Bid-Ask Spread %12.727.5436.0519.587.60
Gamma HHI0.250.220.300.230.27
Net GEX-442.9K-1.3M798.5K-394.4K480.1K
Net DEX-26.3M-58.6M-1.4M-25.5M-50.3M
Net VEX-446.4K-500.6K-375.2K-496.2K-445.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.820.2074.531.406.73
Total Volume4,366.33323314,7322,3597,757
Total OI163,245.524155,256174,217158,052173,761

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$24.55$24.0016.4%4.7%12.0%11.0%17.5%5.2%0.8%-394.4K-25.5M-496.2K1.4019.589831,37660,67097,382
2009-08-04$24.59$24.0016.4%4.7%10.6%11.0%17.6%5.6%0.1%-508.2K-26.7M-494.2K0.2719.171835060,36898,275
2009-08-05$24.43$24.0016.8%4.8%11.2%11.7%16.4%3.3%3.4%-741.8K-15.4M-497.0K0.3036.0553916360,51198,300
2009-08-06$24.18$24.0018.3%5.3%11.6%14.3%18.3%9.8%1.6%-1.0M-1.4M-500.6K0.2523.961,22630760,84098,351
2009-08-07$24.28$24.0018.4%5.5%11.2%14.4%19.0%5.7%0.4%-1.2M-7.3M-489.5K1.1411.521,0891,24360,43898,602
2009-08-10$24.30$24.0017.2%5.5%9.8%12.4%19.1%6.1%-0.4%-958.5K-10.6M-477.2K0.228.9350911060,89799,306
2009-08-11$24.30$24.0017.3%5.5%9.8%12.6%19.2%6.1%0.5%-1.1M-8.6M-474.9K1.1211.551,5341,72361,24299,345
2009-08-12$24.29$24.0017.1%5.4%8.3%12.2%19.3%5.4%0.2%-1.1M-10.9M-479.5K1.7111.9030151662,736100,961
2009-08-13$24.43$24.0019.0%5.4%8.2%15.4%22.3%5.6%-0.1%-935.7K-17.6M-465.3K7.517.827435,58262,868101,264
2009-08-14$24.40$24.0018.1%5.2%8.2%13.9%15.6%5.4%0.1%-1.2M-12.4M-483.6K0.209.441,35727763,261105,223
2009-08-17$24.15$24.0019.3%5.5%9.1%15.9%21.2%4.7%-0.2%-1.3M-2.7M-448.0K6.049.492691,62563,763100,393
2009-08-18$24.19$24.0018.6%5.3%9.1%14.7%20.0%5.1%0.1%-1.2M-8.0M-443.3K74.5310.34554,09963,977100,900
2009-08-19$24.35$24.0017.6%5.1%9.4%13.1%17.7%4.5%1.0%-1.1M-24.6M-400.9K0.329.807,7632,46763,973102,374
2009-08-20$24.47$24.0017.6%5.0%8.2%13.0%17.7%5.2%0.4%123.4K-38.8M-416.3K1.4912.057591,13269,578104,262
2009-08-21$24.74$24.0014.0%4.0%8.5%6.9%16.2%4.8%3.2%798.5K-58.6M-397.5K4.649.144412,04669,860104,357
2009-08-24$24.75$24.0014.3%4.1%8.4%7.5%15.6%5.5%1.8%194.0K-41.7M-384.5K0.537.541,16662160,05295,204
2009-08-25$24.79$24.0014.3%4.1%8.4%7.4%14.2%4.8%0.9%336.9K-47.8M-375.2K1.389.735,6827,86460,70895,698
2009-08-26$24.87$24.0014.9%4.3%8.3%8.5%15.8%5.5%0.3%657.5K-53.5M-394.0K9.229.623843,54263,14997,812
2009-08-27$24.87$24.0014.7%4.2%8.2%8.1%15.8%5.4%0.3%395.4K-47.0M-415.6K1.3610.774,0145,46464,360101,325
2009-08-28$24.77$24.0014.5%4.1%8.4%7.8%15.7%4.1%0.7%359.0K-43.5M-394.8K1.9211.225,0409,69262,72499,086
2009-08-31$24.82$24.0014.8%4.2%8.4%8.3%16.7%5.1%0.7%480.1K-50.3M-445.8K6.737.601,0046,75367,645106,116