XLP Options History — December 2009

In December 2009, XLP traded between $26.24 and $27.15. ATM implied volatility averaged 13.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 10.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2009-12-10: Highest Volume — 110,789 contracts
  • 2009-12-22: Largest IV drop — 22.8% change
  • 2009-12-18: Highest IV Rank — 22.6%
  • 2009-12-18: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.78$26.24$27.15$27.15$26.47
Max Pain$24.95$24.00$26.00$25.00$26.00
ATM IV13.1%10.6%15.0%14.5%14.1%
Expected Move3.7%3.0%4.3%4.1%4.0%
HV 20d10.4%9.5%11.4%10.4%10.0%
HV 60d10.4%9.9%10.9%10.0%10.8%
IV Rank14.7%6.9%22.6%17.1%19.3%
IV Percentile12.4%1.2%31.7%21.0%22.6%
Term Structure1.2%-0.7%2.8%-0.7%0.9%
VWIV13.6%9.8%29.9%14.5%9.8%
Skew 25d4.1%0.5%7.2%6.0%1.9%
Skew 10d6.4%0.1%10.7%7.1%0.1%
Call IV 25d11.1%9.6%13.6%9.8%12.2%
Put IV 25d15.3%10.6%17.9%15.8%14.1%
Bid-Ask Spread %10.197.4917.3013.539.24
Gamma HHI0.760.600.860.780.65
Net GEX41.1M16.3M71.2M40.6M25.5M
Net DEX-217.8M-389.2M-81.3M-301.0M-101.1M
Net VEX-690.6K-1.0M-487.5K-805.1K-487.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0014.480.001.21
Total Volume15,367.727177110,7895,5851,463
Total OI305,544.136225,914415,191325,289230,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$27.15$25.0014.5%4.1%10.4%17.1%14.5%6.0%-0.7%40.6M-301.0M-805.1K0.0013.535,56916208,975116,314
2009-12-02$27.12$25.0014.3%4.1%9.9%16.8%11.7%0.5%-0.7%41.9M-305.8M-821.0K2.5010.728652,166213,879116,323
2009-12-03$26.91$25.0014.2%4.1%10.5%16.5%13.9%4.7%0.3%40.4M-269.6M-812.4K0.0217.3081,8641,933213,882117,586
2009-12-04$27.05$24.0013.5%3.9%10.6%14.1%13.0%3.2%1.6%69.6M-389.2M-1.0M1.4013.559401,320295,026119,001
2009-12-07$27.02$24.0014.9%4.0%10.6%19.5%14.1%3.5%1.6%71.2M-388.9M-977.8K0.4513.58687309295,651119,540
2009-12-08$26.71$24.0014.2%4.1%10.1%17.3%14.7%7.2%1.5%49.2M-250.4M-853.8K1.149.819531,091245,374119,570
2009-12-09$26.76$24.0013.9%4.0%10.1%16.2%13.4%5.9%1.9%51.9M-256.8M-837.9K1.558.09118183246,205120,023
2009-12-10$26.85$24.0013.3%3.8%10.1%15.7%13.1%5.7%2.0%58.7M-275.1M-819.9K0.0010.73110,298491246,191120,065
2009-12-11$27.00$24.0012.7%3.6%10.0%14.3%12.9%5.5%2.8%62.9M-314.6M-836.6K0.328.00382124250,324120,386
2009-12-14$27.10$24.0013.0%3.7%9.8%15.4%12.1%2.6%2.6%49.9M-278.0M-617.3K14.487.872012,910198,330120,412
2009-12-15$26.99$24.0013.0%3.7%9.7%15.4%12.8%5.6%2.1%54.4M-236.7M-632.8K0.008.4315,10173197,718123,144
2009-12-16$26.86$24.0012.4%3.6%9.7%13.4%11.9%4.8%2.6%43.2M-234.7M-658.3K0.018.207,82957211,533122,746
2009-12-17$26.54$24.0013.8%3.9%10.6%18.2%29.9%3.2%0.7%35.0M-165.1M-598.7K0.0211.5582,3301,580203,129122,800
2009-12-18$26.24$26.0015.0%4.3%11.2%22.6%13.9%3.4%0.9%16.3M-81.3M-560.4K0.369.505,5852,025181,224124,040
2009-12-21$26.38$26.0014.0%4.0%11.4%19.0%14.2%3.5%0.7%22.0M-107.9M-558.1K2.628.288072,116129,10996,805
2009-12-22$26.56$26.0010.8%3.1%11.2%7.7%13.3%2.7%1.3%25.5M-117.5M-562.2K0.258.842,239556129,33298,305
2009-12-23$26.58$26.0010.6%3.0%11.1%6.9%12.7%4.2%1.4%26.3M-127.4M-569.2K3.278.37290949131,26898,761
2009-12-24$26.68$26.0011.5%3.3%11.3%10.2%11.7%3.4%0.6%27.4M-140.7M-563.1K0.287.49432121131,28698,377
2009-12-28$26.73$26.0010.7%3.1%10.9%7.1%11.1%5.0%1.2%30.5M-145.3M-536.3K0.6510.83363237131,11698,498
2009-12-29$26.78$26.0011.4%3.3%10.8%9.9%12.0%4.4%0.6%30.9M-152.6M-537.3K0.349.4813245131,21298,468
2009-12-30$26.73$26.0011.6%3.3%9.5%10.5%11.9%4.3%1.1%31.3M-151.0M-520.2K0.9610.70685655131,23698,442
2009-12-31$26.47$26.0014.1%4.0%10.0%19.3%9.8%1.9%0.9%25.5M-101.1M-487.5K1.219.24661802131,27199,094