Spectroscopy during planetary transits is a powerful tool to probe exoplanet atmospheres. We present the near-infrared transit spectroscopy of XO-2b obtained with Hubble Space Telescope NICMOS. Uniquely for NICMOS transit spectroscopy, a companion star of similar properties to XO-2 is present in the field of view. We derive improved star and planet parameters through a photometric white-light analysis. We show a clear correlation of the spectrum noise with instrumental parameters, in particular the angle of the spectral trace on the detector. An MCMC method using a decorrelation from instrumental parameters is used to extract the planetary spectrum. Spectra derived independently from each of the three visits have an rms of 430, 510, and 1000?ppm, respectively. The same analysis is performed on the companion star after numerical injection of a transit with a depth constant at all wavelengths. The extracted spectra exhibit residuals of similar amplitude as for XO-2, which represent the level of remaining NICMOS systematics. This shows that extracting planetary spectra is at the limit of NICMOS's capability. We derive a spectrum for the planet XO-2b using the companion star as a reference. The derived spectrum can be represented by a theoretical model including atmospheric water vapor or by a flat spectrum model. We derive a 3σ upper limit of 1570?ppm on the presence of water vapor absorption in the atmosphere of XO-2b. In the Appendix, we perform a similar analysis for the gas giant planet XO-1b.
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