XLP Options History — February 2007 In February 2007, XLP traded between $26.20 and $27.05. ATM implied volatility averaged 8.4%. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 2.6% (HV 20d: 5.8%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.79.
Notable Days 2007-02-27 : Highest Volume — 1,049 contracts2007-02-27 : Largest IV spike — 89.8% change2007-02-28 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $26.68 $26.20 $27.05 $26.75 $26.30 Max Pain $25.05 $25.00 $26.00 $26.00 $25.00 ATM IV 8.4% 5.4% 15.1% 5.4% 15.1% Expected Move 2.4% 1.6% 4.3% 1.6% 4.3% HV 20d 5.8% 4.5% 10.1% 5.7% 10.1% Term Structure 0.5% -2.7% 2.3% 2.2% -2.6% VWIV 10.2% 6.2% 15.1% 6.2% 15.1% Skew 25d 1.3% -2.1% 4.0% 1.0% 3.9% Skew 10d 1.2% -2.0% 4.5% 2.3% 0.3% Call IV 25d 8.3% 6.7% 11.2% 8.1% 9.2% Put IV 25d 9.6% 6.6% 13.6% 9.1% 13.0% Bid-Ask Spread % 22.86 11.31 93.53 21.94 11.31 Gamma HHI 0.50 0.33 0.60 0.51 0.33 Net GEX 1.6M 1.3M 2.0M 1.6M 1.4M Net DEX -33.6M -39.3M -22.0M -36.1M -23.2M Net VEX -251.3K -266.7K -234.1K -255.8K -266.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.00 5.50 0.00 0.26 Total Volume 137.526 0 1,049 96 432 Total OI 43,381.789 42,478 43,681 43,568 43,681
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $26.75 $26.00 5.4% 1.6% 5.7% 0.0% 0.0% 1.0% 2.2% 1.6M -36.1M -255.8K 0.00 21.94 96 0 23,648 19,920 2007-02-02 $26.80 $25.00 8.3% 2.3% 5.7% 0.0% 0.0% 1.9% 1.3% 1.5M -35.1M -259.1K 0.00 21.80 0 0 23,585 19,920 2007-02-05 $26.71 $25.00 10.5% 1.9% 5.1% 0.0% 6.2% 2.4% 0.6% 1.4M -34.9M -255.2K 4.83 93.53 6 29 23,585 19,920 2007-02-06 $26.67 $25.00 5.8% 1.8% 5.2% 0.0% 7.5% 1.8% 1.4% 1.6M -35.1M -253.0K 0.00 22.82 25 0 23,585 19,949 2007-02-07 $26.61 $25.00 5.6% 1.7% 5.3% 0.0% 10.1% 2.1% 1.8% 1.5M -33.6M -254.2K 0.03 24.55 31 1 23,593 19,949 2007-02-08 $26.56 $25.00 6.3% 1.8% 5.2% 0.0% 9.6% 2.5% 1.1% 1.5M -31.4M -260.7K 0.11 14.96 19 2 23,623 19,949 2007-02-09 $26.52 $25.00 5.9% 1.7% 4.5% 0.0% 10.4% 4.0% 2.3% 1.4M -30.4M -261.6K 0.00 15.15 20 0 23,637 19,949 2007-02-12 $26.46 $25.00 10.1% 2.9% 4.5% 0.0% 0.0% 2.0% -1.1% 1.3M -31.2M -260.4K 0.00 24.45 0 0 23,647 19,949 2007-02-13 $26.55 $25.00 7.9% 2.3% 4.7% 0.0% 0.0% 2.4% -0.0% 1.5M -32.6M -253.2K 0.00 21.47 16 0 23,647 19,949 2007-02-14 $26.71 $25.00 6.6% 1.9% 5.0% 0.0% 11.6% 1.3% 1.0% 1.7M -33.5M -252.4K 5.50 15.67 2 11 23,663 19,949 2007-02-15 $26.87 $25.00 8.3% 2.4% 5.4% 0.0% 8.4% -1.4% 0.8% 1.8M -36.2M -242.8K 0.00 16.41 28 0 23,665 19,953 2007-02-16 $26.91 $25.00 8.1% 2.3% 5.4% 0.0% 11.6% -0.8% 1.5% 1.8M -37.8M -238.5K 0.00 12.10 37 0 23,686 19,953 2007-02-20 $27.05 $25.00 8.8% 2.5% 5.6% 0.0% 8.5% -0.5% 0.3% 1.6M -39.3M -234.7K 0.00 11.81 676 0 23,543 18,935 2007-02-21 $26.90 $25.00 8.4% 2.4% 6.0% 0.0% 0.0% -0.4% 0.4% 1.9M -39.0M -234.1K 0.02 13.98 43 1 24,074 18,935 2007-02-22 $26.80 $25.00 7.3% 2.1% 6.1% 0.0% 8.9% -2.0% 0.3% 2.0M -37.4M -235.5K 0.00 18.18 45 0 24,112 18,934 2007-02-23 $26.82 $25.00 8.9% 2.6% 5.5% 0.0% 0.0% 3.6% 0.6% 1.9M -35.1M -245.3K 0.00 20.91 0 0 24,119 18,934 2007-02-26 $26.81 $25.00 7.6% 2.2% 5.4% 0.0% 0.0% -2.1% 0.1% 1.9M -35.0M -247.9K 0.00 14.17 44 0 24,119 18,934 2007-02-27 $26.20 $25.00 14.5% 4.2% 9.9% 0.0% 14.0% 2.4% -2.7% 1.4M -22.0M -263.4K 1.93 39.19 358 691 24,127 18,934 2007-02-28 $26.30 $25.00 15.1% 4.3% 10.1% 0.0% 15.1% 3.9% -2.6% 1.4M -23.2M -266.7K 0.26 11.31 342 90 24,238 19,443
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