XLP Options History — February 2017

In February 2017, XLP traded between $52.40 and $55.27. ATM implied volatility averaged 9.8%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.9% (HV 20d: 7.9%). Max pain ranged from $51.50 to $53.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 2.06.

Notable Days

2017-02-07: Highest Volume — 44,836 contracts
2017-02-27: Largest IV spike — 8.2% change
2017-02-28: Highest IV Rank — 27.2%
2017-02-28: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.96	$52.40	$55.27	$52.40	$55.10
Max Pain	$52.29	$51.50	$53.00	$51.50	$53.00
ATM IV	9.8%	8.9%	10.8%	9.9%	10.8%
Expected Move	3.0%	2.7%	3.4%	2.8%	3.4%
HV 20d	7.9%	7.0%	8.7%	8.0%	7.2%
HV 60d	9.9%	8.9%	12.0%	12.0%	8.9%
IV Rank	10.4%	0.0%	27.2%	8.5%	27.2%
IV Percentile	7.4%	0.0%	32.1%	4.4%	32.1%
Term Structure	0.3%	-0.9%	1.7%	0.2%	0.3%
VWIV	11.1%	9.9%	12.7%	10.0%	12.1%
Skew 25d	2.4%	1.5%	3.4%	2.6%	2.0%
Skew 10d	6.5%	4.4%	8.8%	6.7%	4.5%
Call IV 25d	9.3%	8.3%	10.8%	9.3%	9.8%
Put IV 25d	11.7%	10.6%	12.7%	11.9%	11.8%
Bid-Ask Spread %	9.15	4.76	15.05	15.05	13.65
Gamma HHI	0.14	0.11	0.17	0.14	0.12
Net GEX	-8.5M	-24.9M	2.1M	-24.9M	-785.4K
Net DEX	-42.1M	-147.8M	82.8M	82.8M	-94.5M
Net VEX	-1.4M	-1.6M	-1.1M	-1.6M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	1.11	4.17	2.48	2.31
Total Volume	27,886.579	13,576	44,836	13,576	35,573
Total OI	304,360.263	271,217	336,932	271,217	333,941

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
2017-02-01	$52.40	$51.50	9.9%	2.8%	8.0%	8.5%	10.0%	2.6%	0.2%	-24.9M	82.8M	-1.6M	2.48	15.05	3,905	9,671	53,168	218,049
2017-02-02	$52.78	$52.00	9.6%	3.2%	8.3%	5.5%	12.7%	2.9%	0.4%	-18.0M	27.2M	-1.4M	2.85	6.83	3,658	10,426	53,924	221,713
2017-02-03	$53.00	$52.00	9.7%	3.2%	8.4%	6.6%	11.5%	2.8%	0.3%	-7.5M	9.0M	-1.4M	2.12	9.56	5,023	10,650	54,176	222,311
2017-02-06	$52.73	$52.00	10.0%	3.2%	8.7%	9.1%	11.7%	2.0%	1.0%	-18.3M	23.7M	-1.4M	1.61	5.64	8,296	13,331	53,236	224,114
2017-02-07	$53.15	$52.00	9.8%	3.1%	8.5%	7.7%	11.2%	2.1%	0.8%	-14.9M	17.9M	-1.3M	1.22	6.60	20,175	24,661	58,471	230,119
2017-02-08	$53.39	$52.00	9.2%	3.1%	8.1%	1.7%	11.4%	1.5%	1.7%	-9.7M	30.9M	-1.3M	2.48	5.92	9,650	23,942	70,706	241,297
2017-02-09	$53.63	$52.00	9.3%	2.9%	8.2%	2.6%	11.4%	2.5%	0.6%	-7.9M	-4.9M	-1.3M	1.13	10.20	12,457	14,122	70,942	241,496
2017-02-10	$53.63	$52.00	8.9%	2.7%	8.1%	0.0%	11.3%	2.0%	0.8%	-7.4M	561.9K	-1.4M	1.66	4.76	12,877	21,429	73,014	241,703
2017-02-13	$53.64	$52.00	9.4%	2.8%	8.1%	5.6%	9.9%	2.7%	0.7%	-15.6M	-4.1M	-1.3M	1.11	5.42	8,696	9,614	75,780	248,306
2017-02-14	$53.61	$52.00	9.4%	2.7%	7.0%	4.8%	10.9%	2.7%	0.6%	-17.3M	6.7M	-1.3M	3.62	9.83	6,040	21,893	77,252	249,791
2017-02-15	$54.12	$52.00	10.0%	2.9%	7.6%	15.3%	10.5%	2.8%	0.2%	-11.8M	-69.8M	-1.3M	1.85	12.08	10,130	18,745	77,894	254,819
2017-02-16	$54.13	$52.00	10.0%	2.9%	7.3%	15.7%	10.7%	2.0%	-0.3%	-6.1M	-106.2M	-1.3M	2.39	6.76	8,631	20,658	81,521	253,716
2017-02-17	$54.47	$52.00	10.1%	3.0%	7.3%	17.5%	10.3%	2.2%	-0.9%	-2.8M	-147.8M	-1.3M	1.45	6.22	13,755	19,922	79,338	257,594
2017-02-21	$55.08	$53.00	9.8%	2.9%	8.0%	13.3%	11.2%	2.2%	0.0%	2.1M	-123.4M	-1.1M	1.40	9.37	11,430	15,959	55,168	221,182
2017-02-22	$54.96	$53.00	9.7%	3.0%	7.9%	11.8%	10.8%	2.1%	-0.1%	1.7M	-115.3M	-1.2M	4.17	12.86	4,070	16,983	59,086	225,908
2017-02-23	$55.12	$53.00	10.0%	3.0%	7.9%	15.0%	11.0%	3.4%	-0.2%	-3.8M	-109.6M	-1.3M	1.25	8.68	13,478	16,850	59,581	228,186
2017-02-24	$55.27	$53.00	9.6%	2.9%	7.6%	9.3%	11.3%	3.2%	-0.1%	-845.0K	-125.8M	-1.4M	1.72	14.42	12,265	21,139	69,141	232,438
2017-02-27	$54.99	$53.00	10.3%	3.2%	7.3%	20.6%	11.7%	1.9%	0.1%	1.9M	-97.5M	-1.5M	2.31	10.06	12,004	27,737	70,753	243,011
2017-02-28	$55.10	$53.00	10.8%	3.4%	7.2%	27.2%	12.1%	2.0%	0.3%	-785.4K	-94.5M	-1.6M	2.31	13.65	10,752	24,821	75,983	257,958