XLP Options History — February 2013

In February 2013, XLP traded between $36.82 and $38.22. ATM implied volatility averaged 10.0%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.8% (HV 20d: 7.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.59.

Notable Days

2013-02-01: Highest Volume — 23,155 contracts
2013-02-15: Largest IV spike — 94.4% change
2013-02-15: Highest IV Rank — 83.4%
2013-02-15: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.63	$36.82	$38.22	$37.14	$38.09
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	10.0%	5.8%	15.9%	9.0%	10.8%
Expected Move	2.9%	1.7%	4.6%	2.7%	3.1%
HV 20d	7.3%	5.8%	8.9%	5.8%	8.9%
HV 60d	11.6%	10.9%	12.3%	12.2%	11.1%
IV Rank	30.8%	0.0%	83.4%	16.3%	42.4%
IV Percentile	32.4%	0.0%	99.2%	8.3%	48.0%
Term Structure	0.2%	-1.0%	1.4%	0.6%	-0.3%
VWIV	11.7%	6.1%	16.4%	10.8%	12.3%
Skew 25d	3.5%	2.2%	5.3%	3.1%	3.7%
Skew 10d	7.8%	4.9%	10.4%	8.5%	8.6%
Call IV 25d	9.0%	7.4%	11.9%	8.5%	9.8%
Put IV 25d	12.5%	9.6%	17.2%	11.6%	13.5%
Bid-Ask Spread %	35.42	22.36	44.31	43.38	34.42
Gamma HHI	0.28	0.18	0.43	0.18	0.37
Net GEX	22.4M	14.7M	29.9M	14.7M	23.8M
Net DEX	-310.0M	-375.7M	-234.9M	-235.9M	-340.7M
Net VEX	-1.3M	-1.5M	-1.2M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.59	0.01	11.77	0.05	11.77
Total Volume	7,488.789	259	23,155	23,155	15,108
Total OI	295,967.053	253,380	322,689	253,380	322,551

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
2013-02-01	$37.14	$35.00	9.0%	2.7%	5.8%	16.3%	10.8%	3.1%	0.6%	14.7M	-235.9M	-1.3M	0.05	43.38	22,099	1,056	140,509	112,871
2013-02-04	$36.82	$35.00	10.1%	2.9%	6.9%	27.1%	11.6%	3.9%	0.6%	16.5M	-234.9M	-1.2M	0.58	39.91	2,685	1,552	162,430	113,690
2013-02-05	$37.24	$35.00	10.1%	2.9%	7.0%	26.9%	16.4%	3.9%	0.7%	18.2M	-277.6M	-1.2M	6.69	34.18	401	2,682	164,220	114,663
2013-02-06	$37.31	$35.00	9.8%	2.9%	6.7%	24.1%	12.6%	3.6%	0.8%	19.1M	-277.3M	-1.4M	4.16	22.36	213	886	164,506	116,356
2013-02-07	$37.48	$35.00	10.7%	3.1%	6.8%	33.4%	11.9%	3.6%	0.2%	22.4M	-303.1M	-1.3M	0.44	41.33	8,417	3,711	164,544	117,109
2013-02-08	$37.48	$35.00	10.5%	3.0%	6.7%	31.3%	12.1%	3.6%	0.5%	19.5M	-299.8M	-1.5M	1.62	42.56	3,857	6,265	172,277	119,311
2013-02-11	$37.48	$35.00	11.1%	3.2%	6.7%	36.6%	11.9%	3.4%	-0.4%	21.0M	-307.8M	-1.4M	0.82	40.28	142	117	175,700	124,504
2013-02-12	$37.40	$35.00	10.5%	3.0%	6.9%	31.1%	11.4%	3.2%	-0.2%	22.8M	-303.5M	-1.4M	0.05	26.75	10,375	526	175,696	124,564
2013-02-13	$37.42	$35.00	10.6%	3.0%	6.9%	32.1%	14.7%	2.5%	-0.7%	23.9M	-305.8M	-1.3M	1.32	43.40	1,606	2,113	172,301	125,058
2013-02-14	$37.54	$35.00	8.2%	2.4%	6.8%	9.0%	9.7%	3.7%	1.4%	23.3M	-313.7M	-1.4M	0.01	27.74	1,250	10	171,179	126,881
2013-02-15	$37.61	$35.00	15.9%	4.6%	6.6%	83.4%	11.9%	3.0%	0.4%	21.9M	-317.7M	-1.2M	2.77	44.31	1,806	4,995	171,894	126,881
2013-02-19	$37.98	$35.00	5.8%	1.7%	7.1%	0.0%	6.1%	2.2%	1.2%	24.9M	-331.1M	-1.3M	0.29	38.60	1,793	529	165,758	128,444
2013-02-20	$37.91	$35.00	6.8%	1.9%	7.2%	8.2%	8.5%	4.2%	0.5%	25.1M	-317.8M	-1.3M	0.15	33.92	4,655	678	166,908	128,918
2013-02-21	$38.04	$35.00	9.8%	2.8%	7.2%	33.6%	10.5%	2.9%	0.1%	27.2M	-356.1M	-1.2M	1.04	35.68	3,712	3,856	171,295	129,337
2013-02-22	$38.22	$35.00	9.5%	2.7%	7.3%	31.5%	9.9%	2.5%	-0.2%	29.9M	-375.7M	-1.3M	0.16	35.21	2,103	341	173,812	133,053
2013-02-25	$37.77	$35.00	12.0%	3.4%	8.7%	52.3%	14.9%	5.3%	-1.0%	23.6M	-307.6M	-1.4M	3.60	31.19	2,486	8,958	175,410	133,319
2013-02-26	$37.83	$35.00	8.4%	2.4%	8.7%	22.3%	13.7%	4.8%	0.2%	23.1M	-327.9M	-1.3M	10.07	33.86	925	9,316	176,871	137,865
2013-02-27	$38.12	$35.00	10.8%	3.1%	8.9%	42.7%	11.7%	3.2%	-0.8%	24.5M	-355.4M	-1.2M	3.53	23.90	2,442	8,621	177,375	145,314
2013-02-28	$38.09	$35.00	10.8%	3.1%	8.9%	42.4%	12.3%	3.7%	-0.3%	23.8M	-340.7M	-1.2M	11.77	34.42	1,183	13,925	177,444	145,107