XLP Options History — August 2012

In August 2012, XLP traded between $35.06 and $35.90. ATM implied volatility averaged 10.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 0.5% (HV 20d: 11.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.83.

Notable Days

2012-08-17: Highest Volume — 64,113 contracts
2012-08-30: Largest IV spike — 22.8% change
2012-08-01: Highest IV Rank — 23.9%
2012-08-01: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.62	$35.06	$35.90	$35.46	$35.46
Max Pain	$34.30	$34.00	$35.00	$35.00	$35.00
ATM IV	10.8%	9.4%	13.3%	13.3%	13.0%
Expected Move	3.2%	2.8%	3.8%	3.8%	3.7%
HV 20d	11.3%	6.2%	13.0%	9.9%	6.2%
HV 60d	11.4%	10.5%	11.9%	11.1%	10.5%
IV Rank	12.2%	5.1%	23.9%	23.9%	23.3%
IV Percentile	22.9%	7.9%	58.7%	53.6%	56.7%
Term Structure	1.0%	-0.6%	2.3%	0.3%	-0.6%
VWIV	12.3%	10.3%	17.3%	14.2%	13.6%
Skew 25d	3.2%	2.6%	4.0%	4.0%	3.3%
Skew 10d	6.6%	3.6%	8.7%	8.1%	7.9%
Call IV 25d	10.0%	8.6%	10.8%	10.6%	10.3%
Put IV 25d	13.2%	11.8%	14.6%	14.6%	13.6%
Bid-Ask Spread %	32.09	24.73	64.06	42.26	31.87
Gamma HHI	0.15	0.12	0.21	0.14	0.13
Net GEX	1.3M	-6.1M	8.7M	-2.8M	-3.7M
Net DEX	-96.6M	-149.9M	-23.6M	-87.7M	-50.1M
Net VEX	-2.3M	-2.5M	-2.1M	-2.3M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.83	0.15	15.32	6.60	3.37
Total Volume	12,366.739	1,690	64,113	7,864	3,717
Total OI	508,303.174	487,279	537,176	500,006	498,443

Daily Data (23 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
2012-08-01	$35.46	$35.00	13.3%	3.8%	9.9%	23.9%	14.2%	4.0%	0.3%	-2.8M	-87.7M	-2.3M	6.60	42.26	1,035	6,829	191,100	308,906
2012-08-02	$35.06	$35.00	11.5%	3.3%	10.7%	15.3%	11.6%	2.6%	1.2%	-6.1M	-49.5M	-2.4M	0.70	31.08	5,007	3,491	191,581	309,260
2012-08-03	$35.75	$34.00	9.8%	2.8%	12.7%	7.2%	10.3%	3.2%	0.9%	1.5M	-120.9M	-2.2M	2.14	35.76	1,152	2,464	192,181	308,620
2012-08-06	$35.71	$34.00	10.5%	3.2%	12.7%	10.7%	10.6%	3.8%	1.4%	2.0M	-135.1M	-2.1M	0.15	27.10	2,272	338	192,814	309,580
2012-08-07	$35.54	$34.00	10.6%	3.3%	12.9%	10.7%	11.7%	3.7%	1.5%	-707.3K	-100.4M	-2.2M	0.16	25.21	1,532	245	192,687	309,709
2012-08-08	$35.73	$34.00	9.6%	3.1%	13.0%	6.2%	10.6%	3.5%	1.9%	2.6M	-130.4M	-2.1M	0.36	36.31	1,727	626	191,404	309,786
2012-08-09	$35.64	$34.00	10.0%	3.2%	13.0%	8.0%	12.4%	3.2%	1.6%	-200.9K	-106.1M	-2.2M	0.19	34.96	26,010	5,046	191,478	310,299
2012-08-10	$35.63	$34.00	9.6%	3.2%	12.5%	6.2%	11.8%	3.4%	1.8%	2.4M	-113.0M	-2.3M	1.66	24.84	1,071	1,775	214,005	316,025
2012-08-13	$35.61	$34.00	10.8%	3.2%	12.3%	12.4%	17.3%	3.4%	1.7%	643.6K	-111.3M	-2.3M	0.18	26.44	1,429	261	214,172	316,847
2012-08-14	$35.76	$34.00	10.4%	3.2%	12.3%	10.2%	15.8%	3.4%	1.6%	5.1M	-138.0M	-2.2M	7.27	24.73	686	4,990	214,858	314,974
2012-08-15	$35.79	$34.00	9.4%	3.1%	12.3%	5.1%	12.3%	3.6%	1.9%	5.7M	-128.6M	-2.2M	1.51	26.38	5,658	8,548	213,327	318,102
2012-08-16	$35.85	$34.00	10.8%	3.1%	12.2%	12.3%	11.7%	3.5%	2.0%	5.6M	-119.1M	-2.4M	1.14	27.60	1,480	1,685	214,346	322,830
2012-08-17	$35.90	$34.00	10.5%	3.0%	12.0%	10.9%	11.6%	2.7%	2.3%	7.5M	-149.9M	-2.2M	0.89	64.06	33,973	30,140	214,338	322,773
2012-08-20	$35.84	$34.00	10.4%	3.0%	11.4%	10.2%	11.8%	2.6%	0.7%	8.7M	-123.2M	-2.3M	0.97	34.42	9,001	8,714	205,441	289,882
2012-08-21	$35.66	$34.00	10.4%	3.0%	11.5%	10.3%	11.3%	3.1%	0.5%	5.4M	-100.5M	-2.3M	4.29	28.50	1,551	6,660	214,092	298,256
2012-08-22	$35.59	$34.00	10.7%	3.1%	11.6%	11.8%	13.4%	3.1%	0.5%	1.4M	-71.0M	-2.3M	1.32	38.82	11,108	14,652	198,946	288,333
2012-08-23	$35.29	$34.00	12.1%	3.5%	10.8%	18.7%	12.8%	2.9%	0.1%	-5.2M	-23.6M	-2.3M	10.02	29.18	2,009	20,131	209,362	301,523
2012-08-24	$35.60	$34.00	10.4%	3.0%	10.3%	10.2%	11.2%	3.3%	0.8%	-2.5M	-54.9M	-2.3M	15.32	30.57	922	14,128	191,362	303,623
2012-08-27	$35.63	$35.00	10.3%	2.9%	10.3%	9.6%	11.1%	2.8%	0.8%	2.1M	-91.5M	-2.1M	0.38	29.51	4,835	1,858	191,648	297,800
2012-08-28	$35.67	$35.00	10.6%	3.0%	10.3%	11.2%	12.3%	2.6%	0.5%	1.2M	-79.3M	-2.3M	0.70	28.74	10,559	7,355	195,442	298,584
2012-08-29	$35.60	$35.00	10.7%	3.1%	10.1%	11.5%	10.9%	2.6%	0.6%	479.2K	-80.2M	-2.5M	1.34	29.18	1,262	1,693	205,644	305,066
2012-08-30	$35.44	$35.00	13.1%	3.8%	9.4%	23.8%	12.6%	3.0%	-0.6%	-1.4M	-57.3M	-2.1M	4.51	30.50	2,690	12,120	186,274	305,250
2012-08-31	$35.46	$35.00	13.0%	3.7%	6.2%	23.3%	13.6%	3.3%	-0.6%	-3.7M	-50.1M	-2.2M	3.37	31.87	850	2,867	187,619	310,824