XLP Options History — February 2010

In February 2010, XLP traded between $25.95 and $27.16. ATM implied volatility averaged 14.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.2% (HV 20d: 12.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 3.84.

Notable Days

2010-02-18: Highest Volume — 18,464 contracts
2010-02-04: Largest IV spike — 37.5% change
2010-02-11: Highest IV Rank — 35.5%
2010-02-08: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.65	$25.95	$27.16	$26.40	$27.03
Max Pain	$25.42	$25.00	$27.00	$27.00	$25.00
ATM IV	14.6%	11.7%	17.3%	15.6%	13.1%
Expected Move	4.2%	3.3%	5.1%	4.5%	3.7%
HV 20d	12.3%	8.8%	13.6%	8.8%	12.7%
HV 60d	10.7%	9.7%	11.0%	9.7%	10.8%
IV Rank	26.4%	16.8%	35.5%	29.9%	21.5%
IV Percentile	33.8%	9.5%	59.9%	44.4%	18.7%
Term Structure	0.5%	-0.9%	2.2%	0.7%	-0.2%
VWIV	15.0%	8.3%	18.9%	15.6%	13.4%
Skew 25d	5.5%	1.9%	7.6%	1.9%	5.7%
Skew 10d	8.3%	0.9%	15.3%	0.9%	6.6%
Call IV 25d	11.7%	8.3%	16.6%	12.6%	9.3%
Put IV 25d	17.2%	13.9%	21.0%	14.4%	15.0%
Bid-Ask Spread %	20.42	12.85	28.06	21.42	18.97
Gamma HHI	0.31	0.21	0.48	0.36	0.27
Net GEX	3.3M	603.7K	8.2M	3.9M	2.5M
Net DEX	-40.4M	-83.9M	10.3M	-36.9M	-67.9M
Net VEX	-1.2M	-1.5M	-971.8K	-986.7K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.84	0.04	38.42	0.26	1.37
Total Volume	6,236.895	367	18,464	2,634	797
Total OI	213,419.158	176,220	251,804	177,021	250,218

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
2010-02-01	$26.40	$27.00	15.6%	4.5%	8.8%	29.9%	15.6%	1.9%	0.7%	3.9M	-36.9M	-986.7K	0.26	21.42	2,086	548	91,823	85,198
2010-02-02	$26.78	$27.00	12.6%	3.6%	9.8%	19.8%	15.8%	4.3%	1.3%	4.7M	-61.0M	-994.6K	1.07	20.39	463	496	91,894	85,708
2010-02-03	$26.59	$27.00	11.7%	3.3%	10.2%	16.8%	14.2%	2.8%	2.2%	4.2M	-50.4M	-971.8K	2.54	19.90	4,734	12,009	90,217	86,003
2010-02-04	$26.05	$27.00	16.0%	4.6%	12.5%	31.3%	15.9%	2.1%	1.7%	1.5M	-875.7K	-1.1M	0.04	21.23	1,517	65	92,641	97,589
2010-02-05	$25.98	$25.00	16.6%	4.9%	12.5%	33.2%	17.2%	6.2%	-0.2%	1.0M	5.6M	-1.1M	2.87	28.06	1,641	4,708	90,281	97,571
2010-02-08	$25.95	$25.00	17.2%	5.1%	12.4%	35.3%	16.9%	5.2%	-0.0%	603.7K	10.3M	-1.1M	0.60	23.37	230	137	91,316	102,089
2010-02-09	$26.26	$25.00	17.0%	5.0%	13.2%	34.6%	17.4%	6.3%	-0.2%	1.8M	-10.6M	-1.1M	5.47	21.90	495	2,709	91,364	102,181
2010-02-10	$26.23	$25.00	15.8%	4.8%	13.0%	30.5%	17.0%	5.8%	-0.1%	1.4M	-2.4M	-1.1M	2.04	19.71	2,479	5,053	91,780	104,695
2010-02-11	$26.44	$25.00	17.3%	5.0%	13.1%	35.5%	18.9%	7.5%	-0.9%	2.4M	-17.1M	-1.1M	1.15	21.10	4,555	5,233	93,458	109,305
2010-02-12	$26.44	$25.00	16.6%	4.8%	13.1%	33.2%	18.5%	6.5%	-0.4%	1.6M	-12.2M	-1.2M	38.42	22.91	250	9,605	96,765	114,180
2010-02-16	$26.71	$25.00	14.0%	4.0%	13.5%	24.6%	14.7%	5.5%	1.4%	4.3M	-31.6M	-1.2M	2.11	18.27	570	1,202	98,673	123,386
2010-02-17	$26.90	$25.00	14.0%	4.0%	13.6%	24.6%	15.0%	6.2%	0.8%	7.6M	-54.2M	-1.2M	0.35	20.00	2,463	860	99,405	124,207
2010-02-18	$27.06	$25.00	12.8%	3.7%	13.5%	20.6%	12.4%	3.1%	1.6%	7.5M	-72.5M	-1.2M	0.94	24.36	9,514	8,950	101,584	124,872
2010-02-19	$27.12	$25.00	13.4%	3.8%	12.3%	22.7%	13.4%	7.6%	1.1%	8.2M	-83.9M	-1.4M	0.19	16.23	1,967	376	110,302	133,791
2010-02-22	$27.12	$25.00	13.3%	3.8%	12.2%	22.3%	13.3%	6.9%	-0.7%	2.1M	-70.4M	-1.3M	0.87	12.85	9,548	8,324	103,761	130,608
2010-02-23	$26.97	$25.00	13.1%	3.7%	12.5%	21.4%	13.4%	6.8%	0.3%	2.3M	-56.7M	-1.5M	12.04	17.66	255	3,069	112,918	138,886
2010-02-24	$27.14	$25.00	13.9%	4.0%	12.6%	24.1%	13.8%	7.1%	-0.0%	2.9M	-78.6M	-1.4M	0.40	18.23	6,552	2,597	113,041	134,455
2010-02-25	$27.16	$25.00	12.6%	3.6%	12.6%	20.0%	8.3%	6.5%	0.4%	2.5M	-75.9M	-1.4M	0.18	21.40	2,074	370	111,748	137,051
2010-02-26	$27.03	$25.00	13.1%	3.7%	12.7%	21.5%	13.4%	5.7%	-0.2%	2.5M	-67.9M	-1.3M	1.37	18.97	336	461	113,012	137,206