XLP Options History — October 2012

In October 2012, XLP traded between $35.25 and $36.50. ATM implied volatility averaged 11.4%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 2.0% (HV 20d: 9.4%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.10.

Notable Days

2012-10-02: Highest Volume — 262,220 contracts
2012-10-23: Largest IV spike — 22.4% change
2012-10-31: Highest IV Rank — 35.9%
2012-10-31: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.91	$35.25	$36.50	$36.10	$35.39
Max Pain	$36.00	$36.00	$36.00	$36.00	$36.00
ATM IV	11.4%	10.1%	13.6%	10.1%	13.6%
Expected Move	3.3%	2.9%	3.9%	2.9%	3.9%
HV 20d	9.4%	8.0%	11.6%	11.6%	9.0%
HV 60d	10.2%	9.1%	10.5%	10.4%	9.1%
IV Rank	20.8%	8.6%	35.9%	8.6%	35.9%
IV Percentile	45.7%	17.9%	81.3%	17.9%	81.3%
Term Structure	0.8%	0.3%	1.2%	0.4%	0.4%
VWIV	11.6%	10.6%	13.4%	10.9%	12.8%
Skew 25d	2.6%	1.7%	3.5%	2.2%	3.3%
Skew 10d	5.9%	2.1%	12.6%	4.4%	7.9%
Call IV 25d	10.4%	9.5%	11.5%	9.5%	11.3%
Put IV 25d	13.0%	11.7%	14.7%	11.7%	14.6%
Bid-Ask Spread %	30.94	8.83	68.36	29.94	28.37
Gamma HHI	0.33	0.17	0.46	0.18	0.22
Net GEX	31.3M	3.6M	57.4M	4.3M	11.0M
Net DEX	-152.3M	-317.3M	33.5M	-53.5M	3.7M
Net VEX	-2.5M	-3.2M	-1.7M	-1.8M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.10	0.01	41.05	19.05	0.68
Total Volume	18,599.048	1,625	262,220	4,832	3,519
Total OI	666,748.286	417,300	724,276	417,545	724,276

Daily Data (21 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
2012-10-01	$36.10	$36.00	10.1%	2.9%	11.6%	8.6%	10.9%	2.2%	0.4%	4.3M	-53.5M	-1.8M	19.05	29.94	241	4,591	153,353	264,192
2012-10-02	$36.09	$36.00	11.0%	3.1%	11.5%	13.2%	10.8%	1.7%	0.3%	5.1M	-84.8M	-1.7M	0.01	29.42	258,689	3,531	153,420	263,880
2012-10-03	$36.20	$36.00	10.7%	3.1%	11.4%	15.9%	10.7%	2.0%	0.6%	48.5M	-279.4M	-3.1M	0.18	46.46	12,221	2,148	410,491	266,997
2012-10-04	$36.37	$36.00	10.8%	3.1%	10.6%	16.4%	10.7%	2.0%	0.5%	51.9M	-317.3M	-3.2M	2.27	33.05	1,759	3,997	411,251	269,234
2012-10-05	$36.50	$36.00	10.3%	3.1%	10.1%	13.1%	10.9%	2.6%	1.2%	57.4M	-298.1M	-3.2M	1.68	29.74	738	1,239	411,442	267,584
2012-10-08	$36.39	$36.00	11.1%	3.2%	10.2%	18.6%	10.6%	2.8%	1.0%	54.2M	-311.8M	-3.2M	0.72	22.02	1,805	1,302	411,247	268,343
2012-10-09	$36.08	$36.00	10.9%	3.3%	10.6%	17.7%	11.5%	2.8%	1.1%	43.5M	-229.9M	-2.9M	0.66	27.75	4,371	2,877	412,813	269,615
2012-10-10	$35.91	$36.00	10.9%	3.3%	10.5%	17.7%	12.8%	2.6%	1.0%	39.2M	-203.8M	-2.8M	0.41	24.47	1,151	474	415,455	271,636
2012-10-11	$35.81	$36.00	11.2%	3.2%	8.3%	19.3%	12.1%	2.6%	1.1%	36.5M	-185.9M	-2.8M	0.64	27.77	992	634	415,943	271,863
2012-10-12	$35.88	$36.00	11.2%	3.2%	8.0%	19.2%	11.7%	2.6%	1.2%	34.2M	-130.1M	-2.6M	5.51	32.23	358	1,972	416,656	272,666
2012-10-15	$36.10	$36.00	11.1%	3.2%	8.2%	18.9%	11.1%	2.4%	1.0%	45.6M	-233.5M	-2.8M	0.22	42.88	4,050	905	416,821	271,007
2012-10-16	$36.19	$36.00	11.1%	3.2%	8.0%	18.8%	11.7%	2.2%	0.9%	49.1M	-269.8M	-2.8M	14.44	28.77	402	5,803	417,998	272,487
2012-10-17	$36.34	$36.00	11.5%	3.3%	8.1%	21.5%	11.8%	2.4%	0.7%	52.2M	-301.0M	-2.9M	0.44	35.57	5,559	2,467	418,157	277,287
2012-10-18	$36.13	$36.00	10.8%	3.1%	8.1%	16.4%	10.8%	2.1%	1.1%	27.2M	-112.3M	-2.0M	3.34	38.92	2,078	6,944	418,374	278,661
2012-10-19	$35.70	$36.00	11.0%	3.2%	8.2%	18.2%	11.4%	2.6%	0.9%	22.5M	-65.3M	-2.3M	2.44	23.33	686	1,676	419,168	283,173
2012-10-22	$35.73	$36.00	10.7%	3.1%	8.2%	16.1%	11.6%	2.4%	0.9%	24.9M	-90.1M	-2.4M	10.53	25.59	897	9,446	414,869	275,953
2012-10-23	$35.26	$36.00	13.1%	3.8%	9.2%	32.6%	12.6%	3.3%	0.4%	15.4M	-24.4M	-2.3M	1.82	23.46	5,082	9,228	415,156	284,288
2012-10-24	$35.25	$36.00	12.8%	3.7%	9.2%	30.6%	12.1%	3.2%	0.5%	3.6M	33.5M	-1.9M	0.17	22.89	2,821	483	417,674	285,014
2012-10-25	$35.46	$36.00	13.4%	3.8%	9.4%	34.5%	13.4%	3.2%	0.6%	17.3M	-31.6M	-2.4M	0.91	8.83	3,673	3,331	419,827	284,402
2012-10-26	$35.33	$36.00	13.3%	3.8%	9.4%	33.8%	11.7%	3.5%	0.4%	13.5M	-13.3M	-2.2M	41.05	68.36	391	16,049	423,067	285,974
2012-10-31	$35.39	$36.00	13.6%	3.9%	9.0%	35.9%	12.8%	3.3%	0.4%	11.0M	3.7M	-2.2M	0.68	28.37	2,100	1,419	423,099	301,177