XLP Options History — September 2012

In September 2012, XLP traded between $35.37 and $36.38. ATM implied volatility averaged 10.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 0.2% (HV 20d: 10.0%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.63.

Notable Days

2012-09-20: Highest Volume — 131,875 contracts
2012-09-12: Largest IV spike — 45.5% change
2012-09-12: Highest IV Rank — 24.6%
2012-09-05: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.87	$35.37	$36.38	$35.69	$35.83
Max Pain	$35.84	$35.00	$36.00	$35.00	$36.00
ATM IV	10.2%	8.8%	13.2%	11.5%	9.7%
Expected Move	2.9%	2.5%	3.3%	3.3%	2.8%
HV 20d	10.0%	6.5%	11.6%	6.6%	11.4%
HV 60d	10.7%	10.3%	11.1%	10.5%	10.3%
IV Rank	9.1%	2.5%	24.6%	16.0%	6.6%
IV Percentile	19.5%	4.8%	63.5%	43.7%	13.5%
Term Structure	1.2%	-0.2%	2.6%	-0.2%	0.5%
VWIV	10.7%	8.9%	13.6%	13.5%	9.7%
Skew 25d	2.9%	1.4%	4.9%	3.3%	1.4%
Skew 10d	7.3%	3.9%	19.9%	8.2%	3.9%
Call IV 25d	9.3%	7.9%	10.8%	10.6%	9.6%
Put IV 25d	12.2%	10.5%	14.1%	13.9%	10.9%
Bid-Ask Spread %	35.87	7.34	100.44	41.81	100.44
Gamma HHI	0.15	0.13	0.19	0.13	0.16
Net GEX	2.9M	-7.8M	14.2M	-2.3M	4.3M
Net DEX	-83.6M	-180.7M	-20.4M	-48.3M	-61.6M
Net VEX	-2.0M	-2.2M	-1.7M	-2.2M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.63	0.01	28.14	0.44	28.14
Total Volume	12,794	628	131,875	628	3,584
Total OI	491,752.947	410,291	533,254	500,732	415,571

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
2012-09-04	$35.69	$35.00	11.5%	3.3%	6.6%	16.0%	13.5%	3.3%	-0.2%	-2.3M	-48.3M	-2.2M	0.44	41.81	435	193	187,390	313,342
2012-09-05	$35.58	$35.00	11.6%	3.3%	6.5%	16.2%	13.6%	3.3%	-0.1%	-3.7M	-43.1M	-2.1M	0.86	33.06	5,307	4,560	187,495	313,448
2012-09-06	$36.05	$35.00	11.0%	3.2%	7.8%	13.3%	12.1%	4.9%	0.1%	7.1M	-155.2M	-1.9M	1.51	32.28	1,646	2,482	192,635	317,970
2012-09-07	$35.76	$36.00	10.0%	2.8%	8.3%	8.2%	9.6%	3.7%	2.4%	1.0M	-86.2M	-2.1M	1.85	44.23	3,864	7,157	193,748	318,361
2012-09-10	$35.69	$36.00	11.0%	2.9%	8.3%	13.5%	11.3%	3.7%	2.0%	-827.6K	-65.5M	-2.0M	1.39	29.55	3,137	4,360	197,315	323,903
2012-09-11	$35.58	$36.00	9.1%	2.8%	8.4%	3.8%	11.6%	3.9%	2.0%	-3.9M	-45.9M	-2.0M	14.25	39.63	110	1,567	199,801	326,783
2012-09-12	$35.37	$36.00	13.2%	3.3%	8.5%	24.6%	11.5%	3.7%	1.1%	-7.8M	-20.4M	-2.0M	2.17	29.62	496	1,076	199,848	328,177
2012-09-13	$36.02	$36.00	9.9%	2.8%	10.8%	7.6%	11.1%	3.3%	1.6%	7.6M	-143.0M	-1.8M	0.23	33.24	5,186	1,199	199,642	328,784
2012-09-14	$35.78	$36.00	10.2%	2.9%	11.1%	9.5%	11.9%	3.3%	1.0%	870.8K	-95.1M	-2.0M	2.97	29.80	10,100	30,001	199,737	328,803
2012-09-17	$35.91	$36.00	10.3%	2.9%	11.1%	9.5%	11.5%	3.2%	1.3%	2.1M	-99.2M	-1.9M	11.15	29.19	202	2,252	201,906	329,750
2012-09-18	$36.11	$36.00	10.0%	2.9%	11.3%	8.2%	9.7%	2.9%	1.8%	8.9M	-136.8M	-1.9M	0.35	31.58	965	342	201,914	329,858
2012-09-19	$36.17	$36.00	9.6%	2.8%	11.1%	6.5%	9.3%	2.7%	1.9%	12.8M	-161.5M	-1.9M	0.55	30.82	2,491	1,372	202,243	329,665
2012-09-20	$36.38	$36.00	8.8%	2.5%	11.2%	2.5%	8.9%	1.5%	2.6%	14.2M	-180.7M	-2.2M	0.01	35.05	131,061	814	202,728	330,526
2012-09-21	$35.97	$36.00	9.2%	2.6%	11.6%	4.4%	9.8%	2.2%	1.7%	-855.8K	-74.8M	-1.8M	0.60	32.19	3,674	2,195	167,954	330,697
2012-09-24	$36.07	$36.00	9.3%	2.7%	11.2%	4.6%	9.9%	2.4%	0.7%	4.8M	-39.7M	-2.0M	0.72	39.20	649	466	150,014	260,277
2012-09-25	$35.89	$36.00	9.3%	2.7%	11.4%	4.6%	9.3%	1.6%	0.6%	4.3M	-52.3M	-1.8M	0.34	7.34	1,307	443	150,272	260,419
2012-09-26	$35.81	$36.00	9.9%	2.8%	11.4%	7.7%	10.0%	2.3%	0.5%	3.4M	-48.3M	-1.8M	0.57	29.45	1,080	617	150,266	260,459
2012-09-27	$35.94	$36.00	9.5%	2.7%	11.5%	5.6%	9.5%	2.0%	0.7%	3.6M	-31.6M	-2.0M	0.81	32.99	3,707	2,989	150,973	260,632
2012-09-28	$35.83	$36.00	9.7%	2.8%	11.4%	6.6%	9.7%	1.4%	0.5%	4.3M	-61.6M	-1.7M	28.14	100.44	123	3,461	153,355	262,216