XLP Options History — January 2010

In January 2010, XLP traded between $26.20 and $26.98. ATM implied volatility averaged 11.8%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.6% (HV 20d: 9.1%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.93.

Notable Days

2010-01-19: Highest Volume — 37,216 contracts
2010-01-13: Largest IV spike — 43.4% change
2010-01-28: Highest IV Rank — 32.9%
2010-01-28: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.59	$26.20	$26.98	$26.67	$26.20
Max Pain	$27.00	$27.00	$27.00	$27.00	$27.00
ATM IV	11.8%	6.6%	16.5%	11.0%	15.7%
Expected Move	3.7%	3.1%	4.7%	3.6%	4.5%
HV 20d	9.1%	7.8%	10.2%	10.2%	8.9%
HV 60d	10.7%	9.7%	11.0%	10.8%	9.7%
IV Rank	15.9%	0.0%	32.9%	8.2%	30.2%
IV Percentile	16.9%	0.0%	52.0%	2.4%	44.8%
Term Structure	1.2%	0.2%	1.9%	1.1%	0.9%
VWIV	12.8%	10.6%	16.4%	12.4%	13.0%
Skew 25d	4.7%	2.4%	5.9%	2.7%	3.7%
Skew 10d	6.8%	3.7%	11.0%	4.9%	5.1%
Call IV 25d	10.5%	7.7%	14.1%	11.9%	13.9%
Put IV 25d	15.1%	12.6%	18.1%	14.6%	17.7%
Bid-Ask Spread %	19.52	12.57	27.45	19.57	27.45
Gamma HHI	0.63	0.31	0.98	0.78	0.31
Net GEX	26.8M	2.9M	89.2M	34.6M	2.9M
Net DEX	-87.6M	-194.1M	-27.6M	-136.9M	-27.6M
Net VEX	-616.6K	-988.8K	-371.2K	-478.3K	-988.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.02	5.49	0.29	0.59
Total Volume	6,247.895	641	37,216	1,890	1,761
Total OI	196,745.211	97,887	249,516	230,556	176,016

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
2010-01-04	$26.67	$27.00	11.0%	3.6%	10.2%	8.2%	12.4%	2.7%	1.1%	34.6M	-136.9M	-478.3K	0.29	19.57	1,467	423	131,016	99,540
2010-01-05	$26.68	$27.00	11.0%	3.4%	10.0%	8.3%	12.1%	5.6%	1.2%	34.6M	-126.9M	-460.5K	0.09	17.97	5,545	485	131,439	99,594
2010-01-06	$26.66	$27.00	9.8%	3.3%	10.0%	4.0%	12.0%	5.3%	1.4%	34.7M	-128.3M	-472.7K	0.19	19.87	539	102	136,548	100,067
2010-01-07	$26.66	$27.00	8.5%	3.2%	9.1%	0.0%	11.3%	5.9%	1.1%	38.1M	-127.1M	-479.4K	0.50	19.40	2,406	1,193	138,530	102,037
2010-01-08	$26.57	$27.00	6.6%	3.1%	9.1%	0.0%	11.6%	5.7%	1.0%	32.5M	-106.8M	-460.5K	2.32	12.57	447	1,035	138,761	103,128
2010-01-11	$26.64	$27.00	6.7%	3.4%	9.1%	0.3%	13.2%	5.3%	0.3%	31.4M	-101.6M	-415.7K	0.98	16.77	1,159	1,135	138,827	104,072
2010-01-12	$26.79	$27.00	8.0%	3.4%	9.1%	4.7%	11.7%	5.1%	1.5%	56.8M	-131.8M	-438.7K	0.02	22.09	6,274	118	139,675	105,135
2010-01-13	$26.98	$27.00	11.4%	3.2%	9.4%	16.1%	11.6%	5.7%	1.5%	73.8M	-194.1M	-462.1K	0.13	15.79	4,040	538	144,455	105,061
2010-01-14	$26.90	$27.00	11.3%	3.2%	9.3%	15.5%	12.6%	5.4%	1.2%	89.2M	-159.5M	-438.6K	0.30	15.35	3,495	1,036	142,615	105,491
2010-01-15	$26.77	$27.00	10.7%	3.1%	9.3%	13.8%	12.6%	5.3%	1.7%	53.1M	-126.2M	-371.2K	0.08	16.40	2,441	192	142,773	106,089
2010-01-19	$26.93	$27.00	10.9%	3.1%	8.5%	14.5%	11.4%	4.9%	1.9%	3.0M	-59.9M	-411.7K	0.89	17.09	19,725	17,491	51,610	46,277
2010-01-20	$26.73	$27.00	11.1%	3.2%	7.8%	14.9%	12.6%	4.4%	1.4%	4.1M	-50.7M	-751.4K	0.31	15.85	6,562	2,011	73,098	63,202
2010-01-21	$26.35	$27.00	13.9%	4.0%	9.3%	24.2%	10.6%	3.7%	1.3%	3.8M	-37.2M	-805.4K	1.61	18.26	304	490	79,480	65,988
2010-01-22	$26.29	$27.00	15.7%	4.5%	9.0%	30.3%	14.1%	2.4%	1.1%	3.2M	-34.7M	-817.0K	5.49	23.61	1,574	8,646	79,575	65,497
2010-01-25	$26.34	$27.00	14.9%	4.3%	9.0%	27.7%	13.2%	3.7%	1.6%	3.1M	-29.9M	-854.1K	1.04	20.37	1,210	1,257	79,791	72,500
2010-01-26	$26.31	$27.00	15.3%	4.4%	8.9%	28.7%	15.2%	5.0%	1.4%	3.1M	-27.9M	-867.5K	0.84	25.41	684	572	80,916	73,754
2010-01-27	$26.37	$27.00	14.9%	4.3%	8.9%	27.6%	15.1%	4.8%	1.6%	3.3M	-28.1M	-857.6K	1.03	24.75	2,403	2,472	81,378	74,125
2010-01-28	$26.30	$27.00	16.5%	4.7%	8.9%	32.9%	16.4%	3.9%	0.2%	3.0M	-29.6M	-883.8K	0.93	22.28	9,071	8,407	83,532	76,567
2010-01-29	$26.20	$27.00	15.7%	4.5%	8.9%	30.2%	13.0%	3.7%	0.9%	2.9M	-27.6M	-988.8K	0.59	27.45	1,107	654	91,066	84,950