XLP Options History — February 2011

In February 2011, XLP traded between $28.98 and $29.80. ATM implied volatility averaged 10.0%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.5% (HV 20d: 8.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 5.51.

Notable Days

2011-02-11: Highest Volume — 15,405 contracts
2011-02-24: Largest IV spike — 57.4% change
2011-02-24: Highest IV Rank — 40.6%
2011-02-24: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.45	$28.98	$29.80	$29.09	$29.72
Max Pain	$28.32	$28.00	$30.00	$30.00	$28.00
ATM IV	10.0%	7.3%	13.3%	11.6%	8.0%
Expected Move	2.9%	2.1%	3.8%	3.3%	2.3%
HV 20d	8.5%	7.6%	9.4%	7.6%	8.2%
HV 60d	8.1%	7.1%	8.5%	8.4%	7.1%
IV Rank	22.1%	6.7%	40.6%	30.8%	10.5%
IV Percentile	15.1%	0.4%	61.1%	30.6%	1.2%
Term Structure	1.0%	0.1%	2.3%	0.1%	0.8%
VWIV	11.3%	7.3%	15.7%	13.8%	13.6%
Skew 25d	4.0%	2.8%	5.8%	5.8%	3.6%
Skew 10d	8.8%	5.6%	11.3%	9.9%	6.9%
Call IV 25d	9.3%	6.9%	11.2%	8.1%	9.8%
Put IV 25d	13.3%	11.4%	14.8%	13.9%	13.4%
Bid-Ask Spread %	28.84	10.36	50.03	37.33	41.80
Gamma HHI	0.24	0.19	0.39	0.20	0.20
Net GEX	4.5M	1.1M	12.7M	2.3M	3.0M
Net DEX	-60.2M	-79.6M	-28.9M	-36.5M	-64.7M
Net VEX	-1.0M	-1.1M	-983.1K	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.51	0.00	50.98	5.72	1.23
Total Volume	5,008.158	712	15,405	2,815	3,727
Total OI	263,601.105	248,227	282,375	249,539	278,377

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
2011-02-01	$29.09	$30.00	11.6%	3.3%	7.6%	30.8%	13.8%	5.8%	0.1%	2.3M	-36.5M	-1.1M	5.72	37.33	419	2,396	140,492	109,047
2011-02-02	$28.98	$30.00	11.1%	3.2%	7.6%	28.1%	14.7%	5.0%	0.7%	1.1M	-28.9M	-1.0M	0.80	35.00	2,257	1,811	140,214	109,121
2011-02-03	$29.13	$30.00	10.2%	2.9%	7.9%	23.3%	9.7%	5.4%	1.3%	1.6M	-39.2M	-1.0M	1.67	36.75	931	1,551	139,195	109,032
2011-02-04	$29.30	$28.00	10.4%	3.3%	8.1%	24.3%	10.5%	3.0%	1.4%	3.2M	-51.3M	-1.0M	0.19	16.61	3,943	758	139,240	109,131
2011-02-07	$29.30	$28.00	10.7%	3.4%	7.8%	26.1%	11.3%	2.8%	0.3%	4.0M	-53.6M	-1.0M	0.71	28.89	417	295	142,496	109,548
2011-02-08	$29.48	$28.00	10.2%	3.2%	8.1%	22.9%	10.4%	4.3%	2.0%	6.2M	-76.7M	-995.5K	0.44	17.90	997	434	142,769	109,501
2011-02-09	$29.55	$28.00	9.4%	2.2%	8.1%	18.7%	10.3%	4.1%	1.8%	6.8M	-76.4M	-1.0M	0.52	21.88	3,317	1,734	142,701	109,839
2011-02-10	$29.41	$28.00	11.9%	3.4%	7.8%	32.4%	10.5%	3.7%	0.7%	4.1M	-63.5M	-1.0M	0.72	30.38	1,059	764	143,582	110,496
2011-02-11	$29.63	$28.00	9.6%	2.8%	8.2%	19.9%	9.7%	3.4%	2.0%	8.3M	-70.3M	-1.0M	0.00	18.83	15,362	43	143,359	110,937
2011-02-14	$29.37	$28.00	11.9%	3.4%	8.8%	32.7%	10.6%	3.1%	0.6%	5.5M	-76.2M	-1.0M	15.07	22.86	279	4,205	158,622	110,952
2011-02-15	$29.42	$28.00	11.6%	3.3%	8.9%	31.1%	10.0%	3.8%	0.9%	4.9M	-65.8M	-983.1K	4.72	10.36	1,574	7,437	158,625	107,278
2011-02-16	$29.52	$28.00	7.5%	2.2%	8.9%	8.0%	10.4%	4.5%	1.7%	5.0M	-64.9M	-1.0M	13.55	34.43	560	7,590	157,441	114,099
2011-02-17	$29.71	$28.00	9.5%	2.7%	9.0%	19.3%	12.3%	3.4%	1.4%	9.1M	-75.2M	-1.1M	2.90	29.50	1,253	3,635	157,419	121,018
2011-02-18	$29.80	$28.00	9.2%	2.6%	9.0%	17.5%	9.3%	3.3%	2.3%	12.7M	-79.6M	-1.0M	0.43	30.40	7,690	3,317	158,542	123,833
2011-02-22	$29.59	$28.00	8.4%	2.4%	9.4%	12.9%	12.5%	5.1%	0.4%	2.4M	-61.2M	-1.1M	1.94	19.90	1,375	2,665	150,509	122,709
2011-02-23	$29.52	$28.00	8.5%	2.4%	9.4%	13.3%	11.4%	4.6%	0.3%	2.3M	-59.8M	-1.1M	2.04	35.10	1,799	3,664	150,669	123,740
2011-02-24	$29.40	$28.00	13.3%	3.8%	9.4%	40.6%	15.7%	3.5%	0.3%	1.3M	-48.4M	-1.1M	50.98	50.03	46	2,345	152,148	126,184
2011-02-25	$29.55	$28.00	7.3%	2.1%	8.8%	6.7%	7.3%	3.9%	0.6%	2.0M	-52.3M	-1.1M	1.11	29.98	1,659	1,847	150,330	125,226
2011-02-28	$29.72	$28.00	8.0%	2.3%	8.2%	10.5%	13.6%	3.6%	0.8%	3.0M	-64.7M	-1.1M	1.23	41.80	1,668	2,059	151,479	126,898