XLP Options History — February 2009

In February 2009, XLP traded between $20.36 and $22.52. ATM implied volatility averaged 27.6%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.8% (HV 20d: 24.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 19.26.

Notable Days

2009-02-27: Highest Volume — 36,861 contracts
2009-02-09: Largest IV spike — 26.9% change
2009-02-23: Highest IV Rank — 39.4%
2009-02-23: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.54	$20.36	$22.52	$21.96	$20.36
Max Pain	$24.79	$24.00	$25.00	$24.00	$25.00
ATM IV	27.6%	21.8%	31.2%	27.4%	30.5%
Expected Move	7.9%	6.5%	8.9%	7.9%	8.8%
HV 20d	24.7%	18.3%	28.1%	18.3%	28.0%
HV 60d	26.8%	22.4%	29.1%	27.9%	22.4%
IV Rank	33.5%	24.3%	39.4%	33.3%	38.3%
IV Percentile	72.3%	63.5%	79.8%	73.0%	78.2%
Term Structure	-1.6%	-5.5%	0.8%	0.6%	-2.6%
VWIV	29.2%	23.6%	36.7%	28.3%	30.0%
Skew 25d	9.3%	6.1%	11.6%	8.1%	7.6%
Skew 10d	20.9%	14.7%	30.9%	22.9%	16.7%
Call IV 25d	23.8%	20.0%	28.9%	24.7%	25.6%
Put IV 25d	33.1%	29.4%	40.5%	32.7%	33.2%
Bid-Ask Spread %	20.64	14.31	33.53	24.14	15.92
Gamma HHI	0.32	0.22	0.49	0.24	0.38
Net GEX	-1.9M	-3.0M	-1.2M	-1.3M	-2.5M
Net DEX	60.0M	45.4M	74.6M	49.9M	74.2M
Net VEX	-148.4K	-163.8K	-134.7K	-155.5K	-139.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	19.26	0.33	133.56	1.33	113.12
Total Volume	4,675	268	36,861	768	36,861
Total OI	89,284.895	81,542	104,977	81,542	89,717

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
2009-02-02	$21.96	$24.00	27.4%	7.9%	18.3%	33.3%	28.3%	8.1%	0.6%	-1.3M	49.9M	-155.5K	1.33	24.14	330	438	38,582	42,960
2009-02-03	$22.44	$24.00	27.7%	7.9%	20.4%	33.7%	30.0%	11.1%	0.4%	-1.2M	45.4M	-160.4K	1.71	23.90	728	1,243	38,673	42,878
2009-02-04	$21.83	$24.00	26.9%	7.7%	21.7%	32.5%	26.7%	6.1%	-1.5%	-1.3M	50.8M	-147.1K	3.14	26.08	281	883	39,094	42,912
2009-02-05	$22.14	$24.00	25.6%	7.3%	22.6%	30.3%	24.3%	9.5%	-0.8%	-1.3M	50.3M	-144.0K	2.56	33.53	470	1,202	39,084	43,376
2009-02-06	$22.52	$25.00	21.8%	6.5%	23.4%	24.3%	29.0%	9.3%	0.8%	-1.2M	45.6M	-148.1K	1.27	22.49	268	341	39,314	44,063
2009-02-09	$22.30	$25.00	27.7%	7.9%	22.9%	33.7%	23.6%	10.2%	-3.5%	-1.3M	48.2M	-143.4K	0.33	18.72	202	66	39,420	44,340
2009-02-10	$21.58	$25.00	24.5%	7.7%	25.4%	28.5%	32.6%	10.8%	-1.4%	-1.5M	55.2M	-134.7K	15.38	14.47	224	3,446	39,451	44,346
2009-02-11	$21.70	$25.00	27.0%	7.4%	25.4%	32.6%	30.2%	10.1%	-0.7%	-1.6M	56.4M	-138.8K	0.94	18.88	1,660	1,559	39,607	46,862
2009-02-12	$21.90	$25.00	25.3%	7.3%	24.7%	29.9%	28.4%	10.4%	0.8%	-1.4M	53.0M	-141.3K	1.95	20.52	1,081	2,110	41,137	47,514
2009-02-13	$21.56	$25.00	24.3%	7.0%	25.1%	28.3%	29.5%	9.5%	-0.6%	-1.2M	54.9M	-136.7K	22.31	22.40	472	10,531	42,069	47,201
2009-02-17	$21.25	$25.00	30.8%	8.8%	25.0%	38.6%	26.2%	9.2%	-5.5%	-2.3M	70.2M	-152.1K	4.16	22.06	275	1,143	42,401	57,358
2009-02-18	$21.36	$25.00	30.9%	8.8%	25.0%	38.8%	34.1%	9.7%	-3.7%	-2.4M	68.8M	-151.7K	23.99	21.66	179	4,294	42,532	57,928
2009-02-19	$21.63	$25.00	26.2%	7.5%	25.5%	31.4%	26.6%	10.0%	-0.7%	-2.3M	65.9M	-163.8K	1.37	20.96	690	942	42,610	61,521
2009-02-20	$21.30	$25.00	30.0%	8.6%	25.9%	37.5%	25.8%	9.7%	-3.0%	-3.0M	72.4M	-157.0K	13.67	22.68	104	1,422	42,983	61,994
2009-02-23	$20.75	$25.00	31.2%	8.9%	27.0%	39.4%	36.7%	11.6%	-2.2%	-2.1M	67.6M	-153.0K	19.49	14.31	261	5,086	30,389	55,039
2009-02-24	$21.15	$25.00	28.8%	8.3%	28.0%	35.5%	32.0%	6.7%	-5.3%	-2.6M	68.9M	-155.9K	4.21	14.56	680	2,866	30,573	58,728
2009-02-25	$20.95	$25.00	26.2%	7.5%	27.9%	31.4%	31.8%	9.0%	-0.0%	-2.7M	68.3M	-152.7K	133.56	16.18	43	5,743	31,122	59,305
2009-02-26	$20.49	$25.00	30.7%	8.8%	28.1%	38.6%	28.4%	7.5%	-2.3%	-2.5M	74.6M	-143.0K	1.49	18.73	281	420	31,142	58,188
2009-02-27	$20.36	$25.00	30.5%	8.8%	28.0%	38.3%	30.0%	7.6%	-2.6%	-2.5M	74.2M	-139.6K	113.12	15.92	323	36,538	31,309	58,408