XLP Options History — November 2009

In November 2009, XLP traded between $25.91 and $27.18. ATM implied volatility averaged 14.4%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.1% (HV 20d: 12.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-11-09: Highest Volume — 4,134 contracts
  • 2009-11-12: Largest IV spike — 19.0% change
  • 2009-11-03: Highest IV Rank — 20.5%
  • 2009-11-03: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.66$25.91$27.18$26.08$26.78
Max Pain$25.40$25.00$27.00$27.00$25.00
ATM IV14.4%12.1%17.3%16.8%15.0%
Expected Move4.3%3.8%5.0%4.8%4.3%
HV 20d12.3%9.8%13.2%12.0%9.8%
HV 60d9.6%9.3%9.9%9.3%9.7%
IV Rank14.3%8.2%20.5%19.2%18.6%
IV Percentile17.2%2.8%32.9%30.2%25.8%
Term Structure0.2%-0.7%1.1%1.1%-0.4%
VWIV14.8%10.2%19.7%16.6%14.3%
Skew 25d5.0%2.3%7.6%2.9%3.3%
Skew 10d6.5%0.9%12.7%3.6%3.5%
Call IV 25d11.7%8.9%15.4%15.4%12.2%
Put IV 25d16.7%13.9%20.2%18.3%15.5%
Bid-Ask Spread %15.608.5639.3020.8716.91
Gamma HHI0.690.530.780.560.75
Net GEX29.1M16.8M38.1M18.3M35.9M
Net DEX-227.7M-309.1M-117.9M-141.1M-236.8M
Net VEX-958.4K-1.1M-826.8K-1.1M-826.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.053.470.490.32
Total Volume1,6091214,134699953
Total OI332,575.55322,582337,814334,494325,182

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$26.08$27.0016.8%4.8%12.0%19.2%16.6%2.9%1.1%18.3M-141.1M-1.1M0.4920.87468231208,451126,043
2009-11-03$25.91$27.0017.3%5.0%12.0%20.5%19.7%7.6%0.1%16.8M-117.9M-1.1M0.2017.21881172208,695126,271
2009-11-04$26.01$27.0016.7%4.8%12.0%19.0%10.2%7.2%0.9%18.2M-139.4M-1.1M0.7039.30629443209,121126,373
2009-11-05$26.13$27.0015.9%4.6%11.9%17.2%0.0%6.8%0.7%19.9M-146.9M-1.0M0.2317.319823209,211126,427
2009-11-06$26.20$25.0013.7%4.8%11.9%11.9%17.6%4.1%-0.7%21.9M-159.8M-1.0M2.2515.521,2302,770209,157126,450
2009-11-09$26.63$25.0012.7%4.1%13.1%9.5%14.0%6.8%0.5%27.3M-218.0M-1.0M0.0917.253,787347208,193126,785
2009-11-10$26.62$25.0012.4%4.4%13.0%8.9%14.9%6.0%-0.3%26.9M-220.6M-1.0M0.1215.02849101210,944126,870
2009-11-11$26.70$25.0012.1%4.1%13.0%8.2%13.3%5.9%0.9%28.6M-228.1M-990.3K0.0513.4769934208,355126,868
2009-11-12$26.54$25.0014.4%4.1%13.0%13.7%13.4%3.3%0.7%26.6M-210.4M-991.0K2.3916.68291696207,993126,869
2009-11-13$26.72$25.0014.6%4.2%13.1%14.1%15.5%2.8%0.3%28.6M-235.5M-985.6K3.4714.233701,283207,905126,544
2009-11-16$26.87$25.0014.6%4.2%13.1%14.1%14.6%2.4%-0.1%31.4M-265.0M-942.5K0.6810.20588400207,745127,487
2009-11-17$27.00$25.0014.3%4.1%13.2%13.3%14.2%6.6%0.3%32.8M-274.1M-928.5K0.9511.617773207,840127,724
2009-11-18$26.98$25.0014.5%4.1%12.8%13.8%16.8%2.3%-0.3%32.9M-275.5M-921.6K0.8211.43341280207,826127,752
2009-11-19$26.85$25.0014.4%4.1%13.0%13.7%14.5%5.5%-0.1%33.6M-254.3M-907.0K0.5612.261,115626207,748127,688
2009-11-20$26.89$25.0013.5%3.9%12.3%11.5%14.1%6.0%0.7%35.4M-256.6M-896.9K1.3312.111,7392,306208,215127,637
2009-11-23$27.12$25.0013.7%3.9%12.0%14.2%13.7%5.5%0.5%35.6M-298.1M-884.6K0.9116.492,0951,909206,467116,115
2009-11-24$27.18$25.0013.1%3.8%12.0%13.1%13.1%5.0%0.2%38.0M-308.2M-856.7K0.1210.201,961240207,598115,629
2009-11-25$27.13$25.0013.3%3.8%12.0%13.6%13.3%5.1%0.3%38.1M-309.1M-859.1K0.458.56777353208,609115,783
2009-11-27$26.88$25.0015.0%4.3%11.5%18.6%17.1%4.7%-0.3%34.7M-259.6M-868.5K0.7915.28529416208,887116,054
2009-11-30$26.78$25.0015.0%4.3%9.8%18.6%14.3%3.3%-0.4%35.9M-236.8M-826.8K0.3216.91724229209,019116,163