  Spectroscopy during planetary transits is a powerful tool to probe exoplanet
atmospheres. We present the near-infrared transit spectroscopy of XO-2b
obtained with HST 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 3 visits
have a 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' 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 3-sigma upper limit of 1570 ppm on the presence of water
vapor absorption in the atmosphere of XO-2b. In an appendix, we perform a
similar analysis for the gas giant planet XO-1b.
