XLP Options History — October 2009

In October 2009, XLP traded between $25.23 and $26.52. ATM implied volatility averaged 13.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.1% (HV 20d: 8.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2009-10-20: Highest Volume — 78,026 contracts
  • 2009-10-12: Largest IV spike — 51.7% change
  • 2009-10-30: Highest IV Rank — 18.7%
  • 2009-10-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.95$25.23$26.52$25.23$25.83
Max Pain$26.27$25.00$27.00$25.00$27.00
ATM IV13.1%8.6%16.5%15.5%16.5%
Expected Move3.9%3.0%4.7%4.4%4.7%
HV 20d8.0%6.8%11.6%7.8%11.6%
HV 60d8.3%7.6%9.3%9.3%9.1%
IV Rank8.5%0.0%18.7%9.4%18.7%
IV Percentile8.3%0.0%29.4%15.1%29.4%
Term Structure1.3%0.2%2.4%0.2%0.6%
VWIV13.4%10.5%16.5%15.3%16.1%
Skew 25d3.7%-1.5%6.6%-1.5%5.9%
Skew 10d4.9%-3.0%13.9%-3.0%13.9%
Call IV 25d11.2%8.6%15.2%15.2%12.1%
Put IV 25d14.9%10.6%18.2%13.7%18.0%
Bid-Ask Spread %16.879.8928.8213.6124.40
Gamma HHI0.470.270.600.270.52
Net GEX10.0M1.1M20.0M1.1M15.7M
Net DEX-90.1M-171.0M-13.1M-13.1M-112.9M
Net VEX-789.0K-1.2M-581.5K-636.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.019.411.310.75
Total Volume10,979.59140278,02625,1431,959
Total OI237,317.545171,752358,933171,752334,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$25.23$25.0015.5%4.4%7.8%9.4%15.3%-1.5%0.2%1.1M-13.1M-636.8K1.3113.6110,86214,28169,716102,036
2009-10-02$25.31$25.0015.2%4.4%7.9%9.0%13.6%5.1%0.6%2.1M-22.1M-729.2K1.2811.9243655680,272115,313
2009-10-05$25.37$26.0015.9%4.5%7.6%10.2%14.3%5.0%0.6%2.7M-26.7M-691.8K0.5220.1433817580,490110,142
2009-10-06$25.60$26.0011.0%3.9%7.6%1.9%13.9%6.2%1.0%4.7M-42.0M-676.8K0.4616.379,9304,59880,589110,194
2009-10-07$25.71$26.0012.6%3.8%7.7%4.6%14.4%6.1%1.6%6.0M-53.5M-685.3K0.9916.363,1523,11687,081110,576
2009-10-08$25.86$26.0011.0%3.8%7.6%1.9%13.8%3.9%1.3%7.9M-67.3M-724.4K0.6618.0476450290,889114,379
2009-10-09$25.92$26.008.6%3.5%7.5%0.0%12.2%2.3%2.1%10.4M-72.9M-662.0K1.8728.8221440088,230111,612
2009-10-12$26.03$26.0013.1%3.7%7.5%7.4%11.6%3.6%0.6%10.3M-77.9M-647.7K8.1413.054435888,037111,494
2009-10-13$25.94$26.0011.3%3.8%7.3%4.4%13.1%6.5%1.3%11.4M-73.2M-663.6K0.0115.70484489,714113,349
2009-10-14$26.03$26.0013.0%3.5%6.9%7.2%14.2%5.3%1.9%11.9M-82.8M-655.7K1.8113.931,4362,59489,658113,313
2009-10-15$26.23$26.0012.4%3.6%7.0%6.3%12.4%3.1%1.6%10.1M-100.9M-617.3K0.5824.891,01158789,087115,119
2009-10-16$26.37$26.0012.2%3.5%7.0%8.3%11.9%2.6%1.5%7.2M-111.2M-605.5K0.0312.697,98921988,514115,625
2009-10-19$26.52$26.0010.3%3.0%6.8%4.0%10.5%1.7%1.3%4.6M-96.1M-582.2K1.2716.119781,23879,145110,115
2009-10-20$26.49$26.0012.3%3.5%6.9%8.8%11.9%3.0%2.0%4.6M-95.5M-581.5K0.0214.5076,4001,62679,708110,430
2009-10-21$26.29$27.0012.5%3.6%7.7%9.1%11.3%-0.4%1.9%12.0M-130.1M-853.8K0.3120.677,0322,203135,981111,239
2009-10-22$26.33$27.0012.4%3.6%7.3%8.9%11.9%-0.6%2.3%14.3M-145.0M-896.7K0.2811.332,696766149,386112,930
2009-10-23$26.07$27.0012.8%3.7%8.4%9.7%12.7%1.1%2.4%12.5M-115.1M-896.5K0.0210.7556,290917150,720112,944
2009-10-26$25.87$27.0014.4%4.1%9.0%13.5%16.5%6.2%0.9%18.6M-123.4M-1.0M9.4119.591,40413,211205,658113,392
2009-10-27$25.89$27.0014.7%4.2%8.9%14.3%11.2%6.5%0.7%17.3M-130.7M-1.2M0.5114.61768391215,418143,178
2009-10-28$25.82$27.0015.3%4.4%9.0%15.8%15.1%6.6%1.1%15.8M-117.9M-1.2M1.349.891,6762,247215,579143,354
2009-10-29$26.24$27.0014.8%4.2%9.8%14.5%16.4%3.6%1.1%20.0M-171.0M-1.1M1.1123.732,6973,002207,070125,144
2009-10-30$25.83$27.0016.5%4.7%11.6%18.7%16.1%5.9%0.6%15.7M-112.9M-1.1M0.7524.401,122837207,969126,197