XLP Options History — October 2014

In October 2014, XLP traded between $44.04 and $46.72. ATM implied volatility averaged 12.3%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.7% (HV 20d: 13.0%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 6.30.

Notable Days

2014-10-22: Highest Volume — 87,075 contracts
2014-10-09: Largest IV spike — 18.1% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-16: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.44	$44.04	$46.72	$44.89	$46.72
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	12.3%	9.9%	17.0%	11.5%	10.4%
Expected Move	3.7%	3.3%	4.5%	3.4%	3.4%
HV 20d	13.0%	9.8%	15.7%	9.8%	13.8%
HV 60d	10.4%	9.2%	11.5%	9.3%	10.4%
IV Rank	48.3%	24.6%	100.0%	34.8%	34.0%
IV Percentile	76.5%	36.1%	100.0%	78.6%	51.2%
Term Structure	-0.0%	-1.0%	0.6%	-0.0%	0.4%
VWIV	15.9%	10.5%	19.9%	14.1%	16.9%
Skew 25d	4.2%	3.2%	6.2%	4.1%	3.2%
Skew 10d	8.6%	6.3%	14.5%	8.1%	8.3%
Call IV 25d	10.6%	8.6%	14.3%	10.2%	8.8%
Put IV 25d	14.8%	12.0%	20.3%	14.3%	12.0%
Bid-Ask Spread %	41.06	30.14	56.37	37.27	30.14
Gamma HHI	0.20	0.13	0.37	0.32	0.19
Net GEX	-9.4M	-25.7M	10.0M	-22.6M	8.6M
Net DEX	-145.3M	-335.2M	92.9M	-62.2M	-335.2M
Net VEX	-1.6M	-1.9M	-1.5M	-1.5M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.30	0.16	25.23	1.56	3.67
Total Volume	30,199.043	2,688	87,075	3,864	43,444
Total OI	272,071.957	236,061	328,690	238,766	320,865

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
2014-10-01	$44.89	$44.00	11.5%	3.4%	9.8%	34.8%	14.1%	4.1%	-0.0%	-22.6M	-62.2M	-1.5M	1.56	37.27	1,507	2,357	121,787	116,979
2014-10-02	$44.91	$44.00	11.3%	3.5%	9.8%	33.7%	13.1%	4.1%	0.6%	-21.4M	-74.5M	-1.5M	1.93	32.67	1,438	2,778	123,066	117,549
2014-10-03	$45.44	$44.00	10.2%	3.6%	10.5%	24.6%	13.5%	3.3%	-0.1%	-23.3M	-137.0M	-1.5M	0.16	42.26	4,012	641	123,961	119,015
2014-10-06	$45.46	$44.00	10.7%	3.6%	10.1%	28.8%	0.0%	3.7%	0.0%	-16.4M	-156.4M	-1.5M	25.23	32.94	1,248	31,490	126,211	112,879
2014-10-07	$45.19	$44.00	11.8%	3.6%	10.3%	37.6%	10.5%	4.0%	0.1%	-15.5M	-126.5M	-1.5M	0.64	37.22	2,688	1,729	127,409	108,652
2014-10-08	$45.86	$44.00	10.3%	3.3%	11.4%	25.3%	14.8%	3.3%	-0.0%	-8.4M	-238.1M	-1.5M	4.81	38.72	6,114	29,418	130,132	110,107
2014-10-09	$45.39	$44.00	12.2%	3.6%	12.1%	40.1%	12.2%	4.2%	-0.1%	-9.6M	-169.2M	-1.5M	4.21	44.79	3,033	12,775	130,470	110,583
2014-10-10	$45.61	$44.00	13.9%	3.6%	11.9%	53.5%	14.4%	5.1%	-1.0%	-11.4M	-170.0M	-1.5M	4.76	56.37	5,223	24,883	131,845	115,203
2014-10-13	$44.98	$44.00	16.1%	4.0%	12.8%	71.1%	14.8%	4.6%	-0.6%	-16.1M	-66.0M	-1.6M	18.23	43.33	1,604	29,238	133,026	120,003
2014-10-14	$45.13	$44.00	14.6%	3.9%	12.6%	78.7%	16.1%	5.0%	-0.2%	-25.7M	-65.9M	-1.6M	6.77	37.44	3,997	27,048	133,816	128,644
2014-10-15	$44.47	$44.00	16.8%	4.4%	13.5%	100.0%	17.8%	5.7%	-0.2%	-20.8M	54.6M	-1.6M	5.77	41.05	4,950	28,583	132,762	139,856
2014-10-16	$44.04	$44.00	17.0%	4.5%	13.8%	100.0%	17.2%	6.2%	-0.3%	-10.1M	92.9M	-1.5M	2.11	33.51	3,801	8,034	132,648	140,152
2014-10-17	$44.63	$44.00	14.2%	3.9%	14.8%	72.4%	15.0%	5.0%	-0.7%	-16.5M	19.5M	-1.5M	9.95	36.11	1,805	17,967	135,304	138,834
2014-10-20	$45.26	$44.00	12.0%	4.0%	15.7%	50.4%	19.9%	4.5%	0.3%	76.7K	-165.5M	-1.5M	5.32	48.07	7,335	39,013	132,398	113,589
2014-10-21	$45.40	$44.00	11.4%	4.1%	15.4%	43.5%	19.6%	4.2%	0.2%	-463.9K	-170.9M	-1.5M	6.79	46.73	6,345	43,075	134,854	123,944
2014-10-22	$45.57	$44.00	12.3%	3.7%	14.8%	53.5%	19.7%	4.3%	-0.2%	-489.3K	-181.8M	-1.7M	6.92	45.90	10,999	76,076	135,219	148,042
2014-10-23	$45.47	$44.00	11.8%	4.1%	14.0%	48.4%	18.4%	4.3%	-0.5%	-21.7M	-108.0M	-1.9M	3.96	43.50	11,741	46,548	139,637	185,586
2014-10-24	$45.89	$44.00	10.7%	3.7%	14.3%	36.9%	15.3%	3.7%	-0.1%	-7.2M	-214.2M	-1.8M	6.47	46.32	9,308	60,246	140,229	188,461
2014-10-27	$46.02	$44.00	11.0%	3.6%	14.3%	39.7%	14.9%	3.7%	0.4%	248.8K	-240.1M	-1.7M	0.95	47.32	1,378	1,310	137,359	166,739
2014-10-28	$46.20	$44.00	10.8%	3.6%	14.3%	37.7%	17.3%	3.5%	0.1%	6.5M	-268.2M	-1.6M	5.62	45.79	497	2,792	137,666	166,859
2014-10-29	$46.16	$44.00	10.8%	3.5%	14.1%	37.8%	17.8%	3.3%	0.4%	5.1M	-259.4M	-1.6M	11.07	43.70	3,541	39,199	137,850	169,210
2014-10-30	$46.40	$44.00	9.9%	3.6%	14.2%	28.3%	17.5%	3.6%	0.5%	10.0M	-300.6M	-1.5M	8.08	33.25	3,674	29,696	137,928	180,327
2014-10-31	$46.72	$44.00	10.4%	3.4%	13.8%	34.0%	16.9%	3.2%	0.4%	8.6M	-335.2M	-1.5M	3.67	30.14	9,307	34,137	139,651	181,214