XLP Options History — September 2009

In September 2009, XLP traded between $24.59 and $25.46. ATM implied volatility averaged 13.9%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 5.8% (HV 20d: 8.1%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-09-17: Highest Volume — 107,849 contracts
  • 2009-09-28: Largest IV spike — 11.0% change
  • 2009-09-01: Highest IV Rank — 10.5%
  • 2009-09-01: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.16$24.59$25.46$24.59$25.46
Max Pain$24.76$24.00$25.00$24.00$25.00
ATM IV13.9%12.5%16.1%16.1%14.2%
Expected Move4.0%3.6%4.6%4.6%4.1%
HV 20d8.1%6.8%9.1%9.1%6.8%
HV 60d12.5%9.1%14.9%14.9%9.1%
IV Rank6.7%4.5%10.5%10.5%7.3%
IV Percentile3.7%0.8%10.7%9.9%8.3%
Term Structure1.9%-0.2%3.0%-0.2%1.7%
VWIV14.2%7.3%24.5%18.9%10.7%
Skew 25d2.8%-1.5%6.2%1.6%1.4%
Skew 10d3.1%-3.2%8.4%1.3%0.3%
Call IV 25d12.3%8.5%15.0%15.0%13.3%
Put IV 25d15.1%11.8%18.0%16.6%14.7%
Bid-Ask Spread %15.647.7922.6311.4422.61
Gamma HHI0.320.210.430.260.33
Net GEX2.3M-926.1K6.8M-926.1K2.3M
Net DEX-48.3M-102.3M-11.2M-25.4M-25.6M
Net VEX-514.7K-635.4K-454.8K-496.3K-626.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.025.871.293.06
Total Volume10,279.71460107,8492,460576
Total OI186,866.048145,113226,081183,318171,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$24.59$24.0016.1%4.6%9.1%10.5%18.9%1.6%-0.2%-926.1K-25.4M-496.3K1.2911.441,0751,38568,242115,076
2009-09-02$24.61$24.0015.2%4.4%8.7%9.0%16.6%2.2%2.3%-777.1K-27.5M-481.9K2.8810.236261,80668,550113,534
2009-09-03$24.66$24.0014.4%4.1%7.8%7.6%17.5%3.0%1.5%-450.2K-34.4M-497.7K0.867.7930926769,110114,855
2009-09-04$24.84$24.0013.4%4.3%8.0%5.9%18.7%4.1%1.9%669.9K-49.9M-454.8K2.2513.505,17411,65069,293115,035
2009-09-08$25.05$24.0013.6%4.4%8.4%6.3%15.3%3.0%1.9%2.5M-75.1M-473.8K2.4117.632,3675,69574,125121,563
2009-09-09$25.04$25.0014.5%4.0%8.4%7.9%24.5%4.2%2.8%2.1M-71.0M-479.5K1.5512.913,6875,72776,009125,809
2009-09-10$25.22$25.0014.0%4.0%8.6%6.9%14.3%3.8%2.3%4.1M-88.3M-487.9K0.6118.872,6311,60579,537131,328
2009-09-11$25.33$25.0013.3%3.8%8.6%5.8%13.5%3.7%2.6%4.4M-96.5M-459.1K0.7217.7912,3608,92480,837132,920
2009-09-14$25.27$25.0013.9%4.0%8.6%6.8%12.5%4.5%1.9%5.1M-90.1M-486.3K1.2011.7917020487,398134,734
2009-09-15$25.14$25.0013.1%3.7%7.8%5.4%7.3%6.2%2.4%6.4M-82.1M-490.8K0.1010.754,54943287,514134,936
2009-09-16$25.34$25.0013.6%3.9%8.1%6.2%13.3%2.9%2.4%6.8M-102.3M-472.6K2.7216.124681,27190,954134,972
2009-09-17$25.25$25.0013.8%4.0%8.2%6.6%14.9%2.9%2.0%3.9M-84.3M-480.4K0.0217.08106,1091,74090,909135,172
2009-09-18$25.40$25.0013.5%3.9%8.2%6.0%12.1%2.8%3.0%152.2K-28.9M-492.9K0.5813.327,9854,65555,310138,782
2009-09-21$25.32$25.0013.5%3.9%7.7%6.1%12.1%3.4%1.5%1.2M-19.8M-502.9K0.0616.973,60220354,98990,124
2009-09-22$25.37$25.0012.5%3.6%7.7%4.5%14.5%2.2%1.3%1.9M-22.9M-498.9K5.8722.632131,25157,62490,285
2009-09-23$25.37$25.0012.9%3.7%7.7%5.0%7.9%1.1%2.6%2.0M-23.4M-505.1K3.5121.2213146057,80891,529
2009-09-24$25.24$25.0013.9%4.0%8.0%6.8%14.2%0.6%1.4%1.1M-11.9M-529.1K0.8112.136,8755,57757,91994,928
2009-09-25$25.24$25.0013.2%3.8%8.0%5.7%13.1%-1.5%1.9%884.6K-11.2M-625.9K0.7615.502,1631,64667,622100,273
2009-09-28$25.29$25.0014.7%4.2%7.8%8.1%13.4%5.1%0.1%1.6M-17.6M-631.4K0.0315.7458269,633101,859
2009-09-29$25.41$25.0013.6%3.9%7.9%6.3%13.5%1.5%2.5%2.3M-25.5M-635.4K0.2422.441984869,648101,857
2009-09-30$25.46$25.0014.2%4.1%6.8%7.3%10.7%1.4%1.7%2.3M-25.6M-626.6K3.0622.6114243469,683101,902