XLP Options History — February 2015

In February 2015, XLP traded between $48.59 and $50.05. ATM implied volatility averaged 12.7%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.2% (HV 20d: 13.9%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 4 of 18 trading days. Term structure was in contango for 8 of 18 days. Put/call ratio averaged 8.24.

Notable Days

2015-02-26: Highest Volume — 45,915 contracts
2015-02-17: Largest IV spike — 13.0% change
2015-02-02: Highest IV Rank — 78.4%
2015-02-06: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.40	$48.59	$50.05	$48.59	$50.05
Max Pain	$48.17	$48.00	$49.00	$49.00	$48.00
ATM IV	12.7%	10.5%	14.8%	14.8%	10.5%
Expected Move	3.7%	3.0%	4.2%	4.1%	3.1%
HV 20d	13.9%	11.7%	15.3%	15.3%	11.7%
HV 60d	12.4%	12.2%	12.6%	12.2%	12.3%
IV Rank	56.5%	35.2%	78.4%	78.4%	35.2%
IV Percentile	80.8%	54.8%	95.6%	95.6%	54.8%
Term Structure	0.1%	-1.6%	1.5%	0.1%	-0.3%
VWIV	14.1%	11.4%	16.7%	15.9%	11.7%
Skew 25d	3.4%	2.3%	4.0%	4.0%	2.9%
Skew 10d	7.5%	3.9%	9.7%	9.7%	7.8%
Call IV 25d	11.3%	9.1%	13.1%	13.1%	9.1%
Put IV 25d	14.7%	12.0%	17.2%	17.2%	12.0%
Bid-Ask Spread %	8.33	6.25	13.65	13.65	8.45
Gamma HHI	0.17	0.13	0.22	0.17	0.16
Net GEX	-6.1M	-18.8M	2.8M	-11.4M	1.1M
Net DEX	-78.3M	-109.6M	-23.7M	-29.3M	-95.3M
Net VEX	-1.1M	-1.1M	-971.0K	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.24	0.45	20.58	2.24	16.82
Total Volume	20,290.722	2,644	45,915	4,658	39,935
Total OI	143,530.556	129,060	169,644	129,292	147,733

Daily Data (18 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
2015-02-02	$48.59	$49.00	14.8%	4.1%	15.3%	78.4%	15.9%	4.0%	0.1%	-11.4M	-29.3M	-1.1M	2.24	13.65	1,436	3,222	47,528	81,764
2015-02-03	$49.02	$49.00	13.3%	3.7%	15.3%	63.0%	15.0%	3.4%	-0.0%	-8.6M	-51.9M	-1.1M	2.19	8.38	3,631	7,956	48,279	80,781
2015-02-04	$49.01	$49.00	13.8%	3.9%	15.3%	68.4%	15.4%	3.5%	-0.2%	-7.7M	-62.3M	-1.1M	3.03	9.61	2,467	7,463	49,577	81,751
2015-02-05	$49.28	$48.00	13.0%	4.1%	14.2%	59.5%	15.0%	3.7%	-0.2%	-5.8M	-82.4M	-1.0M	2.70	7.48	2,124	5,735	49,505	81,150
2015-02-06	$49.03	$48.00	14.0%	4.2%	13.3%	70.1%	16.0%	3.7%	-0.1%	-5.3M	-68.6M	-1.0M	6.50	9.05	2,387	15,524	49,454	80,535
2015-02-09	$48.70	$48.00	14.5%	4.2%	13.3%	75.3%	16.7%	4.0%	0.3%	-18.8M	-23.7M	-1.1M	2.92	8.54	1,824	5,325	49,007	88,738
2015-02-10	$49.29	$48.00	12.9%	4.0%	14.0%	59.0%	14.7%	3.3%	1.3%	-15.1M	-67.5M	-1.0M	2.38	8.44	2,305	5,485	49,311	89,739
2015-02-11	$49.48	$48.00	12.5%	4.0%	14.0%	55.4%	15.7%	3.3%	1.5%	-14.2M	-83.1M	-1.0M	1.72	8.14	2,411	4,155	49,601	90,489
2015-02-12	$49.69	$48.00	12.4%	3.6%	14.0%	53.9%	13.0%	3.4%	-0.0%	-6.6M	-103.3M	-985.4K	1.19	6.63	3,818	4,552	49,686	90,584
2015-02-13	$49.51	$48.00	12.2%	3.6%	14.1%	52.3%	14.6%	3.3%	0.1%	-4.6M	-104.4M	-971.0K	16.65	6.73	2,157	35,914	51,451	90,662
2015-02-17	$49.47	$48.00	13.8%	4.0%	14.0%	68.4%	13.6%	3.5%	-1.6%	-8.8M	-82.5M	-1.1M	17.17	8.62	2,096	35,979	50,968	114,912
2015-02-18	$49.74	$48.00	12.1%	3.5%	14.0%	50.8%	14.0%	3.1%	0.7%	-2.6M	-95.9M	-1.1M	18.75	8.48	1,941	36,394	51,287	115,707
2015-02-19	$49.42	$48.00	13.0%	3.8%	14.1%	60.2%	15.8%	3.2%	-1.0%	-6.0M	-83.3M	-1.1M	0.45	7.57	1,826	818	51,225	117,134
2015-02-20	$49.60	$48.00	11.7%	3.3%	13.7%	46.8%	12.6%	3.6%	1.2%	-593.8K	-85.8M	-1.1M	2.17	9.90	1,457	3,157	51,186	118,458
2015-02-23	$49.70	$48.00	11.9%	3.5%	13.3%	48.8%	11.6%	3.4%	0.3%	349.7K	-83.3M	-1.1M	14.10	6.25	2,453	34,591	48,415	90,712
2015-02-25	$49.76	$48.00	10.6%	3.2%	13.3%	36.2%	11.4%	2.3%	-0.1%	2.8M	-109.6M	-1.0M	16.76	7.11	2,183	36,597	49,473	87,671
2015-02-26	$49.85	$48.00	10.6%	3.0%	12.8%	35.5%	11.4%	3.0%	-0.1%	2.7M	-97.9M	-1.1M	20.58	7.02	2,128	43,787	50,003	89,074
2015-02-27	$50.05	$48.00	10.5%	3.1%	11.7%	35.2%	11.7%	2.9%	-0.3%	1.1M	-95.3M	-1.1M	16.82	8.45	2,241	37,694	50,514	97,219