XLP Options History — April 2011

In April 2011, XLP traded between $30.07 and $31.52. ATM implied volatility averaged 9.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.2% (HV 20d: 7.4%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.27.

Notable Days

2011-04-15: Highest Volume — 14,092 contracts
2011-04-12: Largest IV drop — 31.8% change
2011-04-11: Highest IV Rank — 27.3%
2011-04-11: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.67	$30.07	$31.52	$30.07	$31.52
Max Pain	$29.95	$29.00	$30.00	$29.00	$30.00
ATM IV	9.6%	7.8%	11.8%	9.9%	7.8%
Expected Move	2.9%	2.2%	3.3%	2.8%	2.2%
HV 20d	7.4%	6.1%	9.9%	9.9%	6.5%
HV 60d	8.8%	8.6%	9.1%	8.9%	8.6%
IV Rank	14.1%	3.2%	27.3%	15.7%	3.2%
IV Percentile	11.4%	1.6%	42.1%	10.3%	1.6%
Term Structure	1.4%	0.7%	2.0%	1.8%	1.2%
VWIV	10.7%	8.2%	12.9%	9.9%	8.3%
Skew 25d	4.1%	2.9%	6.0%	5.5%	2.9%
Skew 10d	9.2%	7.0%	11.2%	9.2%	7.7%
Call IV 25d	8.5%	6.6%	10.2%	7.7%	8.1%
Put IV 25d	12.6%	11.0%	13.8%	13.2%	11.0%
Bid-Ask Spread %	31.61	9.42	55.95	48.73	9.42
Gamma HHI	0.24	0.19	0.29	0.20	0.25
Net GEX	6.4M	3.0M	9.7M	6.2M	9.7M
Net DEX	-94.2M	-157.7M	-64.3M	-64.3M	-157.7M
Net VEX	-1.3M	-1.4M	-1.2M	-1.3M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.27	0.13	35.94	2.92	0.68
Total Volume	4,301.4	574	14,092	1,603	965
Total OI	296,745.95	272,956	315,929	272,956	315,929

Daily Data (20 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
2011-04-01	$30.07	$29.00	9.9%	2.8%	9.9%	15.7%	9.9%	5.5%	1.8%	6.2M	-64.3M	-1.3M	2.92	48.73	409	1,194	153,666	119,290
2011-04-04	$30.13	$30.00	9.8%	3.3%	9.8%	14.9%	11.3%	3.8%	1.0%	6.8M	-66.4M	-1.2M	2.88	14.80	355	1,023	153,760	120,479
2011-04-05	$30.16	$30.00	10.3%	3.2%	9.4%	18.5%	11.2%	3.6%	1.2%	7.6M	-69.2M	-1.2M	10.98	31.64	525	5,763	153,948	120,422
2011-04-06	$30.25	$30.00	10.6%	3.2%	9.3%	20.2%	12.1%	4.1%	1.3%	5.9M	-74.2M	-1.3M	0.52	12.26	2,500	1,288	154,290	125,028
2011-04-07	$30.34	$30.00	10.7%	3.2%	9.0%	20.3%	10.9%	3.9%	1.3%	6.8M	-78.7M	-1.3M	35.94	39.13	165	5,930	156,427	126,231
2011-04-08	$30.25	$30.00	10.0%	3.2%	9.1%	16.5%	9.1%	4.1%	1.3%	3.0M	-68.1M	-1.3M	0.29	36.34	4,242	1,225	156,453	131,908
2011-04-11	$30.46	$30.00	11.8%	3.3%	8.8%	27.3%	10.4%	4.1%	1.4%	5.7M	-89.2M	-1.3M	3.37	40.37	1,262	4,258	161,895	134,352
2011-04-12	$30.51	$30.00	8.1%	3.1%	7.5%	4.7%	10.7%	2.9%	0.7%	5.2M	-90.6M	-1.3M	1.62	15.57	2,705	4,375	161,453	136,454
2011-04-13	$30.52	$30.00	9.5%	3.1%	6.1%	13.4%	12.2%	4.5%	1.3%	5.3M	-97.9M	-1.4M	12.80	54.52	276	3,532	164,005	138,890
2011-04-14	$30.71	$30.00	9.3%	2.7%	6.2%	12.1%	10.8%	5.0%	1.5%	7.7M	-110.8M	-1.4M	1.51	40.47	2,015	3,035	164,033	142,055
2011-04-15	$30.89	$30.00	8.5%	2.4%	6.1%	7.6%	10.6%	3.7%	2.0%	7.6M	-126.9M	-1.4M	3.30	55.95	3,277	10,815	165,071	144,472
2011-04-18	$30.64	$30.00	9.0%	2.6%	6.3%	10.4%	10.0%	4.7%	1.4%	5.0M	-69.1M	-1.4M	0.35	24.50	424	150	158,367	141,589
2011-04-19	$30.68	$30.00	8.4%	2.4%	6.2%	7.0%	8.2%	4.5%	1.8%	5.1M	-76.6M	-1.4M	3.12	43.92	863	2,690	158,397	141,671
2011-04-20	$30.91	$30.00	9.1%	2.6%	6.5%	11.0%	11.2%	3.1%	1.8%	4.8M	-93.9M	-1.4M	0.17	43.85	818	142	158,611	144,104
2011-04-21	$30.90	$30.00	9.0%	2.6%	6.1%	10.6%	11.3%	5.3%	1.5%	6.3M	-94.5M	-1.4M	3.28	13.03	408	1,337	158,893	144,204
2011-04-25	$30.82	$30.00	9.5%	2.7%	6.3%	13.6%	12.1%	4.1%	1.4%	5.9M	-89.9M	-1.4M	0.61	53.61	529	325	159,072	145,248
2011-04-26	$30.96	$30.00	9.9%	2.9%	6.3%	16.0%	12.9%	6.0%	1.4%	6.5M	-99.6M	-1.3M	0.13	15.86	4,845	642	159,292	145,424
2011-04-27	$31.23	$30.00	10.5%	3.0%	6.6%	19.1%	12.5%	3.5%	1.1%	7.6M	-123.9M	-1.4M	0.17	10.41	5,781	998	162,484	145,824
2011-04-28	$31.43	$30.00	10.7%	3.1%	6.7%	20.6%	8.2%	3.5%	0.9%	8.8M	-142.0M	-1.4M	0.68	27.85	2,942	2,000	164,866	146,362
2011-04-29	$31.52	$30.00	7.8%	2.2%	6.5%	3.2%	8.3%	2.9%	1.2%	9.7M	-157.7M	-1.4M	0.68	9.42	574	391	167,567	148,362