XLP Options History — September 2007

In September 2007, XLP traded between $26.75 and $27.98. ATM implied volatility averaged 13.4%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.2% (HV 20d: 11.2%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.65.

Notable Days

2007-09-20: Highest Volume — 16,982 contracts
2007-09-18: Largest IV drop — 24.5% change
2007-09-14: Highest IV Rank — 80.5%
2007-09-14: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.39	$26.75	$27.98	$27.19	$27.98
Max Pain	$26.79	$23.00	$27.00	$27.00	$27.00
ATM IV	13.4%	9.2%	17.3%	14.0%	10.5%
Expected Move	3.9%	2.6%	5.0%	4.0%	3.0%
HV 20d	11.2%	9.4%	14.3%	14.0%	10.1%
HV 60d	12.7%	12.4%	13.1%	12.6%	13.0%
IV Rank	55.5%	28.8%	80.5%	59.7%	37.3%
IV Percentile	71.3%	31.1%	96.0%	81.0%	46.8%
Term Structure	1.3%	-0.6%	2.9%	1.8%	2.1%
VWIV	13.8%	9.1%	18.7%	14.0%	14.9%
Skew 25d	4.0%	-0.4%	9.4%	0.3%	-0.4%
Skew 10d	4.0%	0.7%	9.4%	1.9%	1.1%
Call IV 25d	11.3%	8.4%	14.1%	11.5%	9.0%
Put IV 25d	15.3%	8.6%	21.2%	11.8%	8.6%
Bid-Ask Spread %	31.55	17.32	73.21	17.62	20.26
Gamma HHI	0.43	0.35	0.53	0.38	0.51
Net GEX	706.9K	-551.0K	2.5M	-196.1K	1.4M
Net DEX	-23.9M	-44.4M	-3.5M	-14.2M	-34.1M
Net VEX	-245.6K	-274.7K	-204.4K	-269.6K	-209.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.65	0.00	13.51	0.38	4.55
Total Volume	1,608.421	11	16,982	11	244
Total OI	55,562.842	46,610	61,882	54,543	50,979

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
2007-09-04	$27.19	$27.00	14.0%	4.0%	14.0%	59.7%	14.0%	0.3%	1.8%	-196.1K	-14.2M	-269.6K	0.38	17.62	8	3	24,947	29,596
2007-09-05	$26.94	$27.00	14.7%	4.2%	14.3%	64.2%	14.7%	2.6%	1.1%	-410.3K	-5.8M	-274.5K	0.63	36.24	213	135	24,950	29,593
2007-09-06	$26.87	$27.00	13.4%	3.9%	12.6%	56.0%	13.5%	4.4%	1.9%	-242.5K	-11.4M	-268.7K	0.93	31.76	83	77	25,066	29,707
2007-09-07	$26.75	$23.00	16.0%	4.6%	11.1%	72.5%	16.1%	8.8%	0.1%	-507.2K	-3.8M	-274.7K	13.51	56.17	37	500	25,035	29,742
2007-09-10	$26.82	$27.00	16.6%	4.9%	11.0%	75.8%	0.0%	9.4%	0.0%	-551.0K	-3.5M	-273.9K	1.43	73.21	105	150	25,062	30,242
2007-09-11	$27.00	$27.00	14.2%	4.9%	11.2%	61.1%	0.0%	5.5%	-0.4%	-207.9K	-12.9M	-260.7K	0.00	31.76	5,246	2	25,057	30,238
2007-09-12	$27.14	$27.00	15.4%	5.0%	9.6%	68.7%	18.7%	6.2%	-0.6%	1.9M	-22.6M	-271.3K	0.10	34.81	239	23	30,000	30,240
2007-09-13	$27.22	$27.00	16.3%	4.7%	9.4%	74.0%	16.1%	5.9%	0.2%	2.5M	-27.6M	-260.1K	0.56	24.10	259	145	29,997	30,258
2007-09-14	$27.38	$27.00	17.3%	5.0%	9.5%	80.5%	14.8%	7.2%	-0.6%	2.4M	-26.8M	-262.2K	0.12	47.77	82	10	29,982	30,358
2007-09-17	$27.22	$27.00	17.0%	4.9%	9.8%	78.9%	0.0%	4.9%	0.5%	2.2M	-22.6M	-260.7K	0.73	25.00	22	16	29,959	30,363
2007-09-18	$27.75	$27.00	12.9%	3.7%	11.5%	52.4%	15.8%	4.1%	2.2%	1.5M	-39.3M	-240.8K	0.19	36.68	543	105	29,958	30,359
2007-09-19	$27.77	$27.00	11.2%	3.2%	11.5%	41.7%	12.7%	4.6%	2.9%	839.8K	-36.7M	-236.8K	5.35	23.47	84	449	29,758	30,401
2007-09-20	$27.80	$27.00	12.1%	3.5%	11.5%	47.4%	0.0%	3.0%	2.3%	1.1M	-40.9M	-229.8K	0.00	22.85	16,950	32	29,784	30,815
2007-09-21	$27.66	$27.00	11.7%	3.4%	11.7%	45.0%	13.2%	3.5%	1.8%	1.4M	-44.4M	-229.3K	0.12	27.08	89	11	31,062	30,820
2007-09-24	$27.64	$27.00	10.3%	3.0%	11.6%	36.3%	11.3%	2.9%	2.3%	-436.7K	-23.4M	-212.5K	1.22	23.99	114	139	20,814	25,796
2007-09-25	$27.60	$27.00	9.2%	2.6%	11.4%	28.8%	11.1%	3.0%	2.9%	-444.0K	-23.0M	-217.7K	1.26	29.97	126	159	20,921	25,935
2007-09-26	$27.79	$27.00	11.0%	3.2%	10.6%	40.7%	11.0%	-0.3%	1.6%	-361.6K	-27.2M	-204.4K	0.00	19.31	4,051	15	20,974	25,976
2007-09-27	$27.89	$27.00	9.9%	2.8%	10.3%	33.7%	9.1%	0.3%	2.1%	1.5M	-34.2M	-209.8K	0.21	17.32	78	16	24,979	25,971
2007-09-28	$27.98	$27.00	10.5%	3.0%	10.1%	37.3%	14.9%	-0.4%	2.1%	1.4M	-34.1M	-209.2K	4.55	20.26	44	200	25,008	25,971