XLP Options History — June 2007

Name: XLP Options Analytics - June 2007
Creator: Options Analysis Suite

In June 2007, XLP traded between $26.86 and $28.00. ATM implied volatility averaged 11.7%. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.4% (HV 20d: 9.4%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.80.

Notable Days

2007-06-14: Highest Volume — 8,288 contracts
2007-06-07: Largest IV spike — 52.1% change
2007-06-08: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.36	$26.86	$28.00	$27.90	$27.05
Max Pain	$27.19	$26.00	$28.00	$26.00	$27.00
ATM IV	11.7%	7.7%	18.7%	7.7%	12.1%
Expected Move	3.0%	2.2%	3.7%	2.2%	3.5%
HV 20d	9.4%	8.1%	10.4%	8.1%	9.3%
HV 60d	8.4%	8.1%	9.1%	9.0%	8.1%
Term Structure	0.9%	0.0%	2.0%	0.2%	0.7%
VWIV	10.9%	8.7%	13.4%	8.7%	10.1%
Skew 25d	3.3%	-0.9%	5.9%	-0.9%	1.4%
Skew 10d	4.1%	-0.2%	8.1%	-0.2%	1.1%
Call IV 25d	8.5%	6.5%	10.4%	9.0%	8.8%
Put IV 25d	11.8%	8.1%	14.6%	8.1%	10.2%
Bid-Ask Spread %	25.87	14.74	34.77	24.34	16.99
Gamma HHI	0.37	0.29	0.53	0.32	0.29
Net GEX	797.7K	-140.0K	2.2M	583.2K	196.4K
Net DEX	-30.7M	-44.0M	-19.2M	-43.9M	-21.9M
Net VEX	-252.2K	-301.0K	-203.9K	-208.3K	-288.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.00	24.99	0.00	0.00
Total Volume	1,234.143	36	8,288	53	36
Total OI	45,634.286	39,630	48,357	45,061	46,687

Daily Data (21 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
2007-06-01	$27.90	$26.00	7.7%	2.2%	8.1%	0.0%	8.7%	-0.9%	0.2%	583.2K	-43.9M	-208.3K	0.00	24.34	53	0	23,334	21,727
2007-06-04	$28.00	$28.00	10.0%	2.7%	8.1%	0.0%	9.4%	3.8%	1.5%	826.8K	-44.0M	-203.9K	0.13	18.03	300	39	23,351	21,727
2007-06-05	$27.83	$28.00	9.7%	2.7%	8.5%	0.0%	10.1%	2.1%	1.6%	1.3M	-40.6M	-219.5K	0.07	29.17	214	14	23,651	21,766
2007-06-06	$27.65	$28.00	9.6%	2.9%	8.4%	0.0%	10.1%	3.0%	0.4%	1.4M	-37.7M	-232.0K	0.18	33.83	209	37	23,843	21,780
2007-06-07	$27.30	$28.00	14.6%	3.4%	9.7%	0.0%	11.3%	3.6%	0.2%	1.7M	-32.1M	-238.9K	3.28	34.77	61	200	23,705	21,817
2007-06-08	$27.46	$28.00	16.6%	3.7%	9.6%	0.0%	9.3%	5.2%	0.1%	915.0K	-33.0M	-236.3K	0.11	26.54	143	16	23,696	22,009
2007-06-11	$27.61	$27.00	12.7%	2.9%	9.7%	0.0%	0.0%	3.9%	1.0%	1.4M	-36.2M	-224.2K	0.00	29.77	1,774	0	23,746	22,009
2007-06-12	$27.35	$27.00	18.7%	3.6%	10.3%	0.0%	12.8%	3.1%	0.7%	2.2M	-34.4M	-243.7K	0.07	32.38	595	42	25,359	22,009
2007-06-13	$27.56	$27.00	15.5%	2.2%	10.4%	0.0%	13.4%	4.6%	1.6%	1.5M	-38.4M	-239.9K	0.03	29.61	742	21	25,800	22,029
2007-06-14	$27.60	$27.00	9.8%	2.8%	9.7%	0.0%	0.0%	2.2%	1.1%	1.9M	-40.4M	-234.1K	0.00	21.34	8,288	0	26,135	22,050
2007-06-15	$27.49	$27.00	11.4%	3.3%	9.8%	0.0%	13.1%	2.0%	2.0%	780.0K	-32.3M	-237.3K	0.00	27.24	158	0	22,358	22,050
2007-06-18	$27.35	$27.00	10.7%	3.1%	9.6%	0.0%	9.9%	2.9%	1.1%	597.9K	-30.6M	-229.4K	0.01	28.54	326	4	21,157	18,473
2007-06-19	$27.15	$27.00	10.3%	2.9%	9.5%	0.0%	10.3%	3.5%	0.4%	631.5K	-29.6M	-232.1K	24.99	17.59	271	6,773	21,468	18,477
2007-06-20	$27.12	$27.00	10.2%	2.9%	9.5%	0.0%	12.2%	5.9%	1.6%	-140.0K	-19.2M	-300.3K	7.74	26.08	359	2,780	21,700	25,248
2007-06-21	$27.20	$27.00	10.7%	3.1%	9.5%	0.0%	0.0%	3.6%	1.2%	-23.5K	-21.8M	-301.0K	0.00	21.76	430	0	22,054	26,303
2007-06-22	$27.05	$27.00	11.4%	3.3%	9.6%	0.0%	0.0%	5.6%	0.1%	177.5K	-20.8M	-285.2K	1.03	27.67	297	306	22,363	22,803
2007-06-25	$26.93	$27.00	11.2%	3.2%	9.4%	0.0%	11.2%	4.9%	0.9%	162.2K	-20.7M	-280.7K	0.19	27.87	996	187	22,648	23,089
2007-06-26	$26.86	$27.00	12.3%	3.5%	9.2%	0.0%	0.0%	4.8%	0.0%	145.8K	-19.4M	-293.9K	0.00	30.38	75	0	23,329	23,273
2007-06-27	$27.07	$27.00	11.4%	3.3%	9.5%	0.0%	0.0%	2.7%	1.2%	215.6K	-22.6M	-288.0K	0.00	14.74	135	0	23,364	23,270
2007-06-28	$27.02	$27.00	10.0%	2.9%	9.5%	0.0%	10.1%	1.7%	1.6%	242.6K	-24.4M	-278.6K	0.00	24.71	36	0	23,393	23,270
2007-06-29	$27.05	$27.00	12.1%	3.5%	9.3%	0.0%	0.0%	1.4%	0.7%	196.4K	-21.9M	-288.2K	0.00	16.99	36	0	23,417	23,270