XLP Options History — February 2012

In February 2012, XLP traded between $32.25 and $33.23. ATM implied volatility averaged 11.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.2% (HV 20d: 7.0%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 5.75.

Notable Days

2012-02-01: Highest Volume — 25,659 contracts
2012-02-09: Largest IV drop — 11.1% change
2012-02-06: Highest IV Rank — 24.4%
2012-02-07: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.77	$32.25	$33.23	$32.25	$33.23
Max Pain	$31.45	$31.00	$32.00	$32.00	$32.00
ATM IV	11.2%	10.0%	12.5%	12.2%	10.7%
Expected Move	3.3%	2.9%	3.6%	3.5%	3.1%
HV 20d	7.0%	5.8%	7.8%	7.8%	5.8%
HV 60d	11.3%	9.1%	13.2%	13.2%	9.1%
IV Rank	18.4%	12.8%	24.4%	22.7%	15.9%
IV Percentile	23.4%	13.5%	38.1%	32.1%	16.7%
Term Structure	1.2%	-3.0%	3.2%	0.7%	0.1%
VWIV	12.0%	9.1%	15.5%	12.9%	11.2%
Skew 25d	3.2%	0.3%	4.7%	2.8%	2.4%
Skew 10d	6.8%	-0.3%	9.5%	5.5%	5.0%
Call IV 25d	10.4%	9.4%	12.6%	11.0%	10.6%
Put IV 25d	13.7%	12.5%	15.4%	13.7%	12.9%
Bid-Ask Spread %	30.89	23.90	39.77	34.64	32.44
Gamma HHI	0.25	0.16	0.36	0.31	0.16
Net GEX	-978.6K	-11.6M	14.6M	-11.0M	4.0M
Net DEX	-61.9M	-115.0M	-9.0M	-9.0M	-96.1M
Net VEX	-1.3M	-1.4M	-1.2M	-1.2M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.75	0.11	55.19	4.83	1.29
Total Volume	8,975.6	875	25,659	25,659	4,871
Total OI	279,261.1	253,505	310,320	253,505	277,988

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
2012-02-01	$32.25	$32.00	12.2%	3.5%	7.8%	22.7%	12.9%	2.8%	0.7%	-11.0M	-9.0M	-1.2M	4.83	34.64	4,404	21,255	114,401	139,104
2012-02-02	$32.38	$32.00	11.4%	3.3%	7.7%	19.0%	11.4%	2.5%	1.0%	-11.6M	-21.3M	-1.2M	55.19	36.68	166	9,162	116,663	157,300
2012-02-03	$32.48	$31.00	11.5%	3.6%	7.7%	19.5%	15.5%	3.1%	1.3%	-9.6M	-30.4M	-1.2M	2.73	26.56	6,189	16,905	116,697	159,783
2012-02-06	$32.43	$31.00	12.5%	3.6%	7.3%	24.4%	12.7%	3.8%	1.5%	-10.2M	-43.6M	-1.2M	0.11	35.68	790	85	118,676	164,805
2012-02-07	$32.49	$31.00	11.2%	3.6%	7.3%	18.4%	12.6%	3.5%	1.2%	-11.0M	-34.9M	-1.2M	5.39	26.05	597	3,218	118,234	164,842
2012-02-08	$32.46	$31.00	11.8%	3.6%	6.9%	21.0%	11.5%	3.6%	1.4%	-10.5M	-36.9M	-1.2M	0.43	26.41	2,872	1,243	118,431	164,288
2012-02-09	$32.66	$31.00	10.5%	3.0%	6.8%	15.0%	11.2%	3.7%	2.1%	-2.9M	-62.9M	-1.2M	1.46	39.21	2,365	3,454	120,199	164,560
2012-02-10	$32.61	$31.00	10.9%	3.1%	6.8%	17.1%	11.7%	4.7%	2.7%	-6.6M	-47.8M	-1.2M	1.14	26.31	5,156	5,879	119,737	162,837
2012-02-13	$32.75	$31.00	11.3%	3.3%	6.9%	18.9%	11.4%	4.1%	1.9%	-455.0K	-69.4M	-1.2M	0.39	26.83	1,349	530	123,887	166,333
2012-02-14	$32.83	$31.00	11.2%	3.2%	6.9%	18.1%	11.1%	4.3%	2.5%	2.9M	-80.8M	-1.3M	0.88	31.43	4,956	4,365	123,162	166,765
2012-02-15	$32.82	$31.00	12.0%	3.4%	6.9%	22.1%	13.5%	4.3%	2.1%	3.1M	-82.0M	-1.3M	10.62	30.01	1,307	13,883	125,938	169,146
2012-02-16	$33.03	$31.00	11.1%	3.2%	7.2%	17.6%	13.6%	3.3%	3.2%	11.6M	-115.0M	-1.2M	2.17	39.77	5,438	11,792	126,029	171,303
2012-02-17	$33.09	$31.00	11.5%	3.3%	7.2%	19.5%	11.8%	3.0%	2.6%	14.6M	-110.4M	-1.4M	2.40	38.39	4,819	11,585	129,995	180,325
2012-02-21	$32.90	$32.00	11.1%	3.2%	7.6%	17.7%	11.3%	3.5%	0.7%	2.6M	-54.7M	-1.4M	1.28	26.03	1,913	2,454	122,249	138,071
2012-02-22	$32.78	$32.00	10.7%	3.1%	7.3%	16.2%	11.0%	3.5%	0.4%	2.3M	-50.0M	-1.4M	0.41	23.90	2,012	823	123,118	140,156
2012-02-23	$32.94	$32.00	10.0%	2.9%	6.8%	12.8%	10.1%	3.3%	0.6%	3.1M	-68.1M	-1.4M	1.07	32.28	2,161	2,311	123,555	140,884
2012-02-24	$33.15	$32.00	10.8%	3.1%	7.0%	16.5%	10.7%	2.6%	0.4%	3.7M	-73.5M	-1.4M	0.57	29.00	6,105	3,472	125,266	141,484
2012-02-27	$33.07	$32.00	11.0%	3.2%	6.1%	17.5%	14.6%	2.5%	0.2%	2.9M	-75.9M	-1.4M	0.90	27.19	658	594	129,185	144,851
2012-02-28	$33.12	$32.00	11.3%	3.2%	5.9%	18.7%	9.1%	0.3%	-3.0%	3.3M	-75.9M	-1.4M	21.63	29.03	370	8,004	129,659	145,316
2012-02-29	$33.23	$32.00	10.7%	3.1%	5.8%	15.9%	11.2%	2.4%	0.1%	4.0M	-96.1M	-1.4M	1.29	32.44	2,129	2,742	129,842	148,146