XLP Options History — October 2008

In October 2008, XLP traded between $22.22 and $27.80. ATM implied volatility averaged 41.5%, placing in the 72.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.4% (HV 20d: 39.1%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 2.14.

Notable Days

2008-10-08: Highest Volume — 17,558 contracts
2008-10-16: Largest IV drop — 44.7% change
2008-10-06: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.58	$22.22	$27.80	$27.80	$24.12
Max Pain	$25.83	$25.00	$28.00	$28.00	$25.00
ATM IV	41.5%	24.7%	69.0%	24.7%	40.8%
Expected Move	10.6%	7.1%	14.1%	7.1%	11.7%
HV 20d	39.1%	27.7%	51.0%	27.7%	51.0%
HV 60d	28.0%	21.5%	34.8%	21.5%	34.6%
IV Rank	72.9%	41.7%	100.0%	77.7%	54.7%
IV Percentile	98.3%	96.0%	100.0%	99.2%	96.0%
Term Structure	-2.9%	-5.8%	0.9%	-2.8%	-0.3%
VWIV	36.0%	24.4%	45.9%	24.4%	40.7%
Skew 25d	9.8%	2.9%	14.5%	2.9%	13.0%
Skew 10d	22.8%	3.3%	41.6%	3.5%	26.2%
Call IV 25d	32.0%	21.6%	42.5%	21.6%	33.0%
Put IV 25d	41.8%	24.5%	56.5%	24.5%	46.0%
Bid-Ask Spread %	42.87	23.73	76.58	42.87	39.69
Gamma HHI	0.30	0.16	0.38	0.18	0.35
Net GEX	-2.5M	-3.4M	-592.2K	-592.2K	-3.0M
Net DEX	87.7M	13.0M	128.8M	13.0M	78.0M
Net VEX	-373.0K	-415.0K	-291.7K	-410.4K	-415.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.15	8.78	2.15	0.15
Total Volume	4,316.739	1,115	17,558	1,115	3,865
Total OI	125,029.609	100,421	145,135	100,421	130,917

Daily Data (23 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
2008-10-01	$27.80	$28.00	24.7%	7.1%	27.7%	77.7%	24.4%	2.9%	-2.8%	-592.2K	13.0M	-410.4K	2.15	42.87	354	761	47,695	52,726
2008-10-02	$27.45	$28.00	29.6%	8.5%	28.0%	99.0%	26.6%	3.9%	-4.7%	-982.6K	21.2M	-410.3K	1.35	29.41	1,043	1,413	47,965	53,109
2008-10-03	$27.23	$28.00	28.3%	8.1%	27.8%	93.3%	28.2%	3.5%	-3.3%	-1.1M	25.6M	-408.7K	2.10	24.64	1,299	2,731	49,003	54,305
2008-10-06	$26.44	$27.00	37.8%	8.3%	28.0%	100.0%	26.1%	8.2%	-1.8%	-1.6M	49.6M	-374.6K	0.55	50.03	2,592	1,423	50,164	54,217
2008-10-07	$25.60	$27.00	37.0%	9.0%	29.7%	97.2%	30.6%	9.9%	-3.7%	-1.6M	63.8M	-344.9K	7.56	53.86	1,664	12,574	51,600	54,675
2008-10-08	$24.90	$27.00	46.9%	10.4%	30.3%	100.0%	37.2%	7.4%	-4.9%	-2.3M	81.1M	-360.6K	8.78	61.71	1,795	15,763	52,953	64,908
2008-10-09	$23.40	$27.00	53.6%	11.6%	35.6%	100.0%	39.8%	10.1%	-1.1%	-2.8M	116.4M	-356.3K	3.24	76.58	1,058	3,431	53,885	79,725
2008-10-10	$23.60	$27.00	45.6%	12.1%	35.9%	82.9%	41.6%	9.2%	-5.8%	-2.6M	122.4M	-355.3K	0.84	63.28	3,714	3,126	54,718	79,672
2008-10-13	$24.70	$25.00	49.1%	9.9%	41.1%	90.3%	36.7%	12.4%	-3.3%	-3.0M	93.4M	-406.8K	0.75	53.90	1,794	1,342	57,513	81,176
2008-10-14	$24.75	$25.00	48.9%	9.7%	41.1%	90.0%	34.9%	8.6%	-1.0%	-3.2M	105.8M	-401.0K	2.64	39.65	368	970	58,742	81,996
2008-10-15	$23.90	$25.00	69.0%	10.4%	41.0%	100.0%	33.6%	6.1%	-1.9%	-3.4M	128.8M	-317.5K	2.04	32.12	855	1,746	58,816	82,411
2008-10-16	$24.13	$25.00	38.1%	10.9%	41.2%	50.5%	37.9%	11.3%	-2.1%	-3.0M	117.6M	-375.3K	2.12	42.10	1,183	2,509	59,481	83,444
2008-10-17	$24.31	$25.00	37.5%	10.8%	41.5%	49.5%	37.6%	11.7%	-1.7%	-3.2M	114.0M	-383.2K	1.10	46.19	2,002	2,209	60,327	84,808
2008-10-20	$24.51	$25.00	32.7%	9.4%	41.8%	41.7%	37.3%	12.9%	0.9%	-2.9M	82.1M	-402.6K	3.50	60.73	792	2,770	46,702	73,345
2008-10-21	$24.28	$25.00	37.4%	10.7%	41.7%	49.4%	36.4%	9.4%	-4.7%	-3.2M	90.5M	-381.5K	0.75	38.57	869	654	47,217	75,135
2008-10-22	$23.90	$25.00	37.5%	10.8%	41.9%	49.5%	41.1%	5.9%	-2.6%	-3.1M	105.6M	-353.4K	0.63	35.93	1,543	975	47,707	75,733
2008-10-23	$24.00	$25.00	38.5%	11.0%	40.5%	51.1%	37.3%	12.1%	-2.9%	-3.1M	102.2M	-368.5K	1.22	32.38	1,180	1,441	48,593	76,452
2008-10-24	$22.80	$25.00	44.4%	12.7%	43.3%	60.5%	45.9%	12.5%	-2.7%	-2.4M	113.6M	-318.0K	1.01	27.18	1,609	1,630	49,463	76,969
2008-10-27	$22.22	$25.00	49.2%	14.1%	42.5%	68.3%	45.7%	14.0%	-5.7%	-2.2M	120.2M	-291.7K	1.04	23.73	786	816	50,541	78,017
2008-10-28	$23.75	$25.00	39.2%	11.2%	48.0%	52.1%	42.0%	14.5%	-1.4%	-3.0M	88.2M	-380.8K	0.41	33.80	1,538	623	50,643	78,233
2008-10-29	$23.29	$25.00	45.8%	13.1%	47.8%	62.7%	28.2%	13.1%	-5.1%	-2.8M	95.3M	-362.5K	0.27	44.94	5,628	1,535	51,318	78,522
2008-10-30	$24.27	$25.00	42.1%	12.1%	51.0%	56.9%	37.3%	13.7%	-3.7%	-3.0M	88.3M	-401.0K	4.99	32.72	219	1,093	50,148	79,992
2008-10-31	$24.12	$25.00	40.8%	11.7%	51.0%	54.7%	40.7%	13.0%	-0.3%	-3.0M	78.0M	-415.0K	0.15	39.69	3,367	498	50,037	80,880